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Karlsruher Institut für Technologie (KIT) >
Fakultät für Wirtschaftswissenschaften, Karlsruher Institut für Technologie (KIT) >
Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT) >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/45635
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Bianchi, Michele Leonardo | | en_US |
| dc.contributor.author | | Rachev, Svetlozar T. | | en_US |
| dc.contributor.author | | Kim, Young Shin | | en_US |
| dc.contributor.author | | Fabozzi, Frank J. | | en_US |
| dc.date.accessioned | | 2011-05-20 | | en_US |
| dc.date.accessioned | | 2011-05-23T09:50:06Z | | - |
| dc.date.available | | 2011-05-23T09:50:06Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.pi | | urn:nbn:de:swb:90-232379 | | - |
| dc.identifier.uri | | http://hdl.handle.net/10419/45635 | | - |
| dc.description.abstract | | In 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.iso | | eng | | en_US |
| dc.publisher | | KIT [u.a.] Karlsruhe | | en_US |
| dc.relation.ispartofseries | | Working paper series in economics 26 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | stable distributions | | en_US |
| dc.subject.keyword | | tempered stable distributions | | en_US |
| dc.subject.keyword | | tempered infinitely divisible distributions | | en_US |
| dc.subject.keyword | | modified tempered stable distributions | | en_US |
| dc.title | | Tempered infinitely divisible distributions and processes | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 65939278X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:kitwps:26 | | - |
| Appears in Collections: | | Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)
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