Bianchi, Michele Leonardo Rachev, Svetlozar T. Kim, Young Shin Fabozzi, Frank J.
Year of Publication:
Working paper series in economics 26
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.