标题
Estimation and simulation for multivariate tempered stable distributions
作者
关键词
-
出版物
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
Volume -, Issue -, Pages 1-25
出版商
Informa UK Limited
发表日期
2021-09-02
DOI
10.1080/00949655.2021.1962878
参考文献
相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。- On the transition laws of p-tempered $$\alpha $$-stable OU-processes
- (2021) Michael Grabchak COMPUTATIONAL STATISTICS
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- (2020) Michael Grabchak JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
- Forward-looking portfolio selection with multivariate non-Gaussian models
- (2020) Michele Leonardo Bianchi et al. QUANTITATIVE FINANCE
- Exact Simulation of a Truncated Lévy Subordinator
- (2020) Angelos Dassios et al. ACM Transactions on Modeling and Computer Simulation
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
- (2020) Michael Grabchak STATISTICS & PROBABILITY LETTERS
- Modelling tail risk with tempered stable distributions: an overview
- (2019) Hasan Fallahgoul et al. ANNALS OF OPERATIONS RESEARCH
- Rejection sampling for tempered Lévy processes
- (2018) Michael Grabchak STATISTICS AND COMPUTING
- Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
- (2018) Boris Buchmann et al. BERNOULLI
- Elliptical tempered stable distribution
- (2016) Hassan A. Fallahgoul et al. QUANTITATIVE FINANCE
- Computing Generalized Method of Moments and Generalized Empirical Likelihood withR
- (2015) Pierre Chaussé Journal of Statistical Software
- Exponential stock models driven by tempered stable processes
- (2014) Uwe Küchler et al. JOURNAL OF ECONOMETRICS
- On estimating the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions
- (2014) Mohammad Mohammadi et al. METRIKA
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
- (2012) Young Shin Kim et al. ANNALS OF OPERATIONS RESEARCH
- On a new Class of Tempered Stable Distributions: Moments and Regular Variation
- (2012) Michael Grabchak JOURNAL OF APPLIED PROBABILITY
- Sampling Exponentially Tilted Stable Distributions
- (2011) Marius Hofert ACM Transactions on Modeling and Computer Simulation
- Tempered Infinitely Divisible Distributions and Processes
- (2011) M. L. Bianchi et al. THEORY OF PROBABILITY AND ITS APPLICATIONS
- On simulation of tempered stable random variates
- (2010) Reiichiro Kawai et al. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
- Do financial returns have finite or infinite variance? A paradox and an explanation
- (2010) Michael Grabchak et al. QUANTITATIVE FINANCE
- Random variate generation for exponentially and polynomially tilted stable distributions
- (2009) Luc Devroye ACM Transactions on Modeling and Computer Simulation
- A nonparametric test for equality of distributions with mixed categorical and continuous data
- (2008) Qi Li et al. JOURNAL OF ECONOMETRICS
Add your recorded webinar
Do you already have a recorded webinar? Grow your audience and get more views by easily listing your recording on Peeref.
Upload NowBecome a Peeref-certified reviewer
The Peeref Institute provides free reviewer training that teaches the core competencies of the academic peer review process.
Get Started