On Properties of the MixedTS Distribution and Its Multivariate Extension-Reference-Cited by-同舟云学术

On Properties of the MixedTS Distribution and Its Multivariate Extension

Published:2018-04-26 Issue:3 Volume:86 Page:512-540
ISSN:0306-7734
Container-title:International Statistical Review
language:en
Short-container-title:International Statistical Review

Author:

Hitaj Asmerilda¹^ORCID,Hubalek Friedrich²,Mercuri Lorenzo³,Rroji Edit¹

Affiliation:

1. Department of Statistics and Quantitative Methods; University of Milano-Bicocca; Milano Italy

2. Vienna University of Technology; Vienna Austria

3. Department of Economics, Management and Quantitative Methods; University of Milan, Milan, Italy, and CREST, Japan Science and Technology Agency; Tokyo Japan

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/insr.12265/fullpdf

Reference29 articles.

1. Normal variance-mean mixtures and z distributions;Barndorff-Nielsen;Int. Stat. Rev.,1982

2. Smile asymptotics II: models with known MGF;Benaim;J. Appl. Probab.,2008

3. Riding with the four horsemen and the multivariate normal tempered stable model;Bianchi;International Journal of Theoretical and Applied Finance,2016

4. Efficient estimation of general dynamic models with a continuum of moment conditions;Carrasco;J. Econ.,2007

Cited by 4 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. A two-step estimation procedure for locally stationary ARMA processes with tempered stable innovations;Brazilian Journal of Probability and Statistics;2023-03-01

2. 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

3. Modelling tail risk with tempered stable distributions: an overview;Annals of Operations Research;2019-04-01

4. Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization;Computational Management Science;2018-04-23