Modelling tail risk with tempered stable distributions: an overview

In this study, we investigate the performance of different parametric models with stable and tempered stable distributions for capturing the tail behaviour of log-returns (financial asset returns). First, we define and discuss the properties of stable and tempered stable random variables. We then sh...

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Vydané v:	Annals of operations research Ročník 299; číslo 1-2; s. 1253 - 1280
Hlavní autori:	Fallahgoul, Hasan, Loeper, Gregoire
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Predmet:	Analysis Business and Management Characteristic functions Combinatorics Computer simulation Distribution Empirical analysis Operations research Operations Research/Decision Theory Parameter estimation Performance indices Random variables Return on assets Risk management S.I.: Recent Developments in Financial Modeling and Risk Management Theory of Computation Australia G12 C5 Lévy process Tempered stable distribution Tail risk Stable distribution
ISSN:	0254-5330, 1572-9338
On-line prístup:	Získať plný text
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