On the simulation of general tempered stable Ornstein–Uhlenbeck processes

Domains of attraction for positive and discrete tempered stable distributions

(2018) Michael Grabchak   JOURNAL OF APPLIED PROBABILITY

Rejection sampling for tempered Lévy processes

(2018) Michael Grabchak   STATISTICS AND COMPUTING

A stochastic model for commodity pairs trading

(2016) Ahmet Göncü et al.   QUANTITATIVE FINANCE

On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes

(2016) Shibin Zhang et al.   JOURNAL OF APPLIED PROBABILITY

On a new Class of Tempered Stable Distributions: Moments and Regular Variation

(2012) Michael Grabchak   JOURNAL OF APPLIED PROBABILITY

Understanding Heavy Tails in a Bounded World or, is a Truncated Heavy Tail Heavy or Not?

(2012) Arijit Chakrabarty et al.   STOCHASTIC MODELS

Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations

(2011) Reiichiro Kawai et al.   COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION

Exact simulation of tempered stable Ornstein–Uhlenbeck processes

(2011) Shibin Zhang   JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION

Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description

(2011) Joanna Janczura et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Tempered Infinitely Divisible Distributions and Processes

(2011) M. L. Bianchi et al.   THEORY OF PROBABILITY AND ITS APPLICATIONS

Do financial returns have finite or infinite variance? A paradox and an explanation

(2010) Michael Grabchak et al.   QUANTITATIVE FINANCE