Tempered Infinitely Divisible Distributions and Processes

By Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim, Frank J Fabozzi 3. 2011

61 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Frank J Fabozzi 3
2. Svetlozar T. Rachev
3. Michele Leonardo Bianchi
4. Young Shin Kim
5. Stoyan Stoyanov
6. Boryana Racheva-Yotova
7. Kenji Fukumizu
8. Yu Nishiyama

In Statistics and Probability

1. Yu Nishiyama
2. Svetlozar T. Rachev
3. Kenji Fukumizu
4. Stoyan Stoyanov
5. Frank J Fabozzi 3
6. Arthur Gretton
7. Bernhard Schölkopf
8. Bharath K. Sriperumbudur

Citations in the corpus

• Characteristic Kernels and Infinitely Divisible Distributions (2014, background): “kernels) CID kernels include Gaussian kernels, Laplace kernels, Cauchy kernels, α-stable kernels for each α ∈ (0, 2] (α = 2 corresponds to Gaussian kernels; α = 1 corresponds to Cauchy kernels), sub-Gaussian α-stable kernels, Student’s t kernels (Grosswald, 1976), GH kernels, normalized inverse Gaus”
• Tempered stable distributions and processes (2013, unknown): “, in [33, 39, 37, 3].”
• Tempered stable and tempered infinitely divisible GARCH models (2010, methodology): “The general method of generating TID distributed random numbers can be found in Bianchi et al. (2008) and we summarize it below.”
• Fat-Tailed Models for Risk Estimation (2011, background): “(2010), and Bianchi et al. (2010). Even though modifying the natural tail behavior of stable distributions may seem artificial, the idea behind the tail tampering technique is based on solid scientific grounds and is related to how temporal aggregation works.”