Tempered stable and tempered infinitely divisible GARCH models

Journal of Banking and Finance

Volumn 34, Issue 9, 2010, Pages 2096-2109

  Shin Kim, Young ^a   Rachev, Svetlozar T ^a,b,c   Leonardo Bianchi, Michele ^d   Fabozzi, Frank J ^e  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c FinAnalytica Inc   (United States)

^d Specialized Intermediaries Supervision Department   (Italy)

^e YALE SCHOOL OF MANAGEMENT   (United States)

Author keywords

GARCH model option pricing; Rapidly decreasing tempered stable distribution; Tempered infinitely divisible distribution; Tempered stable distribution

Indexed keywords

EID: 77954144448     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.01.015     Document Type: Article

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