Generating Tempered Stable Random Variates from Mixture Representation

Piotr Jelonek ()

No 12/14, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: The paper presents a new method of random number generation for tempered stable distribution. This method is easy to implement, faster than other available approaches when tempering is moderate and more accurate than the benchmark. All the results are given as parametric formulas that may be directly used by practitioners.

Keywords: heavy tails; random number generation; tempered stable distribution (search for similar items in EconPapers)
JEL-codes: C15 C46 C63 (search for similar items in EconPapers)
Date: 2012-06
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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