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dc.contributor.authorBianchi, Michele Leonardoen_US
dc.contributor.authorRachev, Svetlozar T.en_US
dc.contributor.authorKim, Young Shinen_US
dc.contributor.authorFabozzi, Frank J.en_US
dc.date.accessioned2011-05-20en_US
dc.date.accessioned2011-05-23T09:50:06Z-
dc.date.available2011-05-23T09:50:06Z-
dc.date.issued2011en_US
dc.identifier.piurn:nbn:de:swb:90-232379-
dc.identifier.urihttp://hdl.handle.net/10419/45635-
dc.description.abstractIn this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosinsky , a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper properties of the Rosinski setting. Furthermore, we prove that the modified tempered stable distribution is TID and give some further parametric example.en_US
dc.language.isoengen_US
dc.publisherKIT [u.a.] Karlsruheen_US
dc.relation.ispartofseriesWorking paper series in economics 26en_US
dc.subject.ddc330en_US
dc.subject.keywordstable distributionsen_US
dc.subject.keywordtempered stable distributionsen_US
dc.subject.keywordtempered infinitely divisible distributionsen_US
dc.subject.keywordmodified tempered stable distributionsen_US
dc.titleTempered infinitely divisible distributions and processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn65939278Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:kitwps:26-
Appears in Collections:Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)

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