Financial market models with Lévy processes and time-varying volatility.

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Tempered stable distributions and processes in finance: numerical analysis (2010, methodology): “The paper is related to some previous works of the authors [13, 14] where the exponential Lévy and the tempered stable GARCH models has been studied.”
Tempered stable and tempered infinitely divisible GARCH models (2010, methodology): “For example Kim et al. (2008a,2008c) used the tempered stable distributions for ﬁtting residuals of the GARCH model.”
Tempered Infinitely Divisible Distributions and Processes (2011, background): “In the last example, the MTS distribution is considered, see [8, 6], the spectral measure is defined on an unbounded support and there exist exponential moments of some order.”