Similar Search Results

Tempered stable and tempered infinitely divisible GARCH models

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2011

In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...

Persistent link: https://www.econbiz.de/10009010170

Tempered stable and tempered infinitely divisible GARCH models

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 34 (2010) 9, pp. 2096-2109

Persistent link: https://www.econbiz.de/10008732109

A new tempered stable distribution and its application to finance

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008

Persistent link: https://www.econbiz.de/10003781614

Financial market models with Lévy processes and time-varying volatility

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 32 (2008) 7, pp. 1363-1378

Persistent link: https://www.econbiz.de/10003749233

Financial models with Lévy processes and volatility clustering

Račev, Svetlozar T.; Kim, Young Shin; Bianchi, Michele … - 2011

Persistent link: https://www.econbiz.de/10008658750

A modified tempered stable distribution with volatility clustering

Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008

Persistent link: https://www.econbiz.de/10003981863

Learning for infinitely divisible GARCH models in option pricing

Zhu, Fumin; Bianchi, Michele Leonardo; Kim, Young Shin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 35-62

Persistent link: https://www.econbiz.de/10012594154

Barrier option pricing by branching processes

Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073

Persistent link: https://www.econbiz.de/10003928804

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746

A binomial-tree model for convertible bond pricing

Milanov, Krasimir; Kunčev, Ognjan I.; Fabozzi, Frank J.; … - In: The journal of fixed income 22 (2013) 3, pp. 79-94

Persistent link: https://www.econbiz.de/10009711223