Tempering stable processes

By J. Rosínski. 2007

575 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

How researchers see this paper

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

In Finance

In Management Science and Operations Research

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”
Models for Heavy-tailed Asset Returns (2010, background): “Around this time Rosinski coined the term under which the exponentially smoothed TLD is known today in the mathematics literature – tempered stable distribution (TSD; see Rosinski, 2007).”
Nonparametric Estimation for Lévy Models Based on Discrete-Sampling (2009, background): “This can be done so since the CGMY Lévy process is a tempered stable Lévy process, whose short-term increments behave like stable processes (see Rośinski [27] for details).”
On the Lamperti stable processes (2008, methodology): “Motivated by the works of Rosiński [31] and Houdré and Kawai [16], we study the short and long time behavior of Lamperti stable processes.”
Econometric analysis of jump-driven stochastic volatility models (2011, methodology): “Following Tauchen (1985), in Table 5 for each of the two models I report the t-statistics associated with the moments used in the estimation.”
Integer-valued Lévy processes and low latency financial econometrics (2012, background): “The class of tempered stable distributions was introduced by Tweedie (1984) (see also Hougaard (1986), Jørgensen (1987), Brix (1999) and Rosinski (2007)).”
Special, conjugate and complete scale functions for spectrally negative Lévy processes (2007, unknown): “[11], [61], [53], [16], [31] and the references therein.”
A note on the existence of transition probability densities of Lévy processes (2010, result): “These estimates extend previously known estimates for anisotropic stable and tempered stable processes, see [25], [21] and [24].”
Coupling property and gradient estimates of L\'{e}vy processes via the symbol (2010, unknown): “Tempered stable processes [22]:”
Activity Signature Functions for High-Frequency Data Analysis (2010, background): “3 The left compensator in (27) corresponds to a symmetric tempered stable process (Rosiński, 2007; Carr et al., 2002, 2003), also called the CGMY process, and β is the Blumenthal–Getoor index.”
The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing (2008, methodology): “in [17]).”
Tempered stable distributions and processes (2013, background): “In [33], a distribution η on (R,B(R)) is called tempered α-stable for α ∈ (0, 2) if it is infinitely divisible without Gaussian part and Lévy measure M , which in polar coordinates is of the form”
Estimates of Tempered Stable Densities (2008, methodology): “In [ 20 ], Rosi´ nski investigates the tempered stable process with the Levy measure given by (43) with Q(θ, ·) completely monotone for every θ ∈ S. We do not assume here that Q is completely monotone and consider a wider class of processes.”
On the conservativeness and the recurrence of symmetric jump-diffusions (2012, background): “2 is motivated by recent developments for layered stable processes [16] and tempering stable processes [29].”
Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type (2009, methodology): “To circumvent this problem we invoke the method proposed by Rosiński (2001, 2002, 2007).”
Transition density estimates for jump Lévy processes (2010, background): “Basic properties of tempered stable processes were investigated in [29].”
Tempered stable and tempered infinitely divisible GARCH models (2010, unknown): “1 in Rosiński (2007).”