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Tempered stable and tempered infinitely divisible GARCH models

  • Published:2010-09 Issue:9 Volume:34 Page:2096-2109
  • ISSN:0378-4266
  • Container-title:Journal of Banking & Finance
  • language:en
  • Short-container-title:Journal of Banking & Finance

Author:

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

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Special Functions of Mathematics For Engineers;Andrews,1998

2. Stochastic Simulation: Algorithms and Analysis;Asmussen,2007

3. Barndorff-Nielsen, O., Shephard, N., 2001. Normal modified stable processes. Economics Series Working Papers, University of Oxford.

4. A GARCH option pricing model with filtered historical simulation;Barone-Adesi;Review of Financial Studies,2008

5. Misspecification and domain issues in fitting GARCH (1,1) models: A Monte Carlo investigation;Bellini;Communications in Statistics: Simulation and Computation,2009

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