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Title:Tempered infinitely divisible distributions and processes PDF Logo
Authors:Bianchi, Michele Leonardo
Rachev, Svetlozar T.
Kim, Young Shin
Fabozzi, Frank J.
Issue Date:2011
Series/Report no.:Working paper series in economics 26
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.
Subjects:stable distributions
tempered stable distributions
tempered infinitely divisible distributions
modified tempered stable distributions
Persistent Identifier of the first edition:urn:nbn:de:swb:90-232379
Document Type:Working Paper
Appears in Collections:Working Paper Series in Economics, Karlsruher Institut für Technologie (KIT)

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