Tempered infinitely divisible distributions and processes

Michele Leonardo Bianchi, Svetlozar T. Rachev, Young Shin Kim and Frank Fabozzi ()

No 26, Working Paper Series in Economics from Karlsruhe Institute of Technology (KIT), Department of Economics and Management

Abstract: In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosinsky , a modification of the tempering function allows one to obtain suitable properties. In particular, TID distributions may have exponential moments of any order and conserve all proper properties of the Rosinski setting. Furthermore, we prove that the modified tempered stable distribution is TID and give some further parametric example.

Keywords: stable distributions; tempered stable distributions; tempered infinitely divisible distributions; modified tempered stable distributions (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/45635/1/65939278X.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:kitwps:26

DOI: 10.5445/IR/1000023237

Access Statistics for this paper

More papers in Working Paper Series in Economics from Karlsruhe Institute of Technology (KIT), Department of Economics and Management Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().