Tempered stable Ornstein– Uhlenbeck processes: A practical view-Reference-Cited by-同舟云学术

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Tempered stable Ornstein– Uhlenbeck processes: A practical view

Published:2016-10-21 Issue:1 Volume:46 Page:423-445
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Bianchi Michele Leonardo¹,Rachev Svetlozar T.²,Fabozzi Frank J.³

Affiliation:

1. Regulation and Macroprudential Analysis Directorate, Bank of Italy, Rome, Italy

2. Department of Applied Mathematics and Statistics, Center for Finance, Stony Brook University, Stony Brook. New York, New York, USA.

3. EDHEC Business School, Nice, France

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2014.966834

Reference44 articles.

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimation for multivariate normal rapidly decreasing tempered stable distributions;Journal of Statistical Computation and Simulation;2023-07-17

2. Exact simulation of normal tempered stable processes of OU type with applications;Statistics and Computing;2022-09-27

3. A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance;Annals of Operations Research;2022-09-20

4. Fast simulation of tempered stable Ornstein–Uhlenbeck processes;Computational Statistics;2022-02-27

5. A Simple Model on Streamflow Management with a Dynamic Risk Measure;Proceedings of the Seventh International Conference on Mathematics and Computing;2022

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