Financial Models with Levy Processes and Volatility Clustering

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

172 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

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

In Economics and Econometrics

1. Uwe Kuchler
2. Kenji Fukumizu
3. Yu Nishiyama
4. Stefan Tappe

In Finance

1. Uwe Kuchler
2. Stefan Tappe
3. Kenji Fukumizu
4. Yu Nishiyama
5. Markus Reiß
6. Michael H. Neumann

Citations in the corpus

• Characteristic Kernels and Infinitely Divisible Distributions (2014, background): “Tempered stable distributions can also be considered as examples (Rachev et al., 2011, Table 3.2, p. 77).”
• Tempered stable distributions and processes (2013, background): “In [32], tempered stable distributions are considered as one-dimensional infinitely divisible distributions with Lévy measure F (dx) = q(x)Fstable(dx), (2.”