4.3 Article

On the simulation of general tempered stable Ornstein-Uhlenbeck processes

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Computer Science, Theory & Methods

Rejection sampling for tempered Levy processes

Michael Grabchak

STATISTICS AND COMPUTING (2019)

Article Statistics & Probability

DOMAINS OF ATTRACTION FOR POSITIVE AND DISCRETE TEMPERED STABLE DISTRIBUTIONS

Michael Grabchak

JOURNAL OF APPLIED PROBABILITY (2018)

Article Statistics & Probability

Tempered stable Ornstein- Uhlenbeck processes: A practical view

Michele Leonardo Bianchi et al.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION (2017)

Article Business, Finance

A stochastic model for commodity pairs trading

Ahmet Goencue et al.

QUANTITATIVE FINANCE (2016)

Article Statistics & Probability

Infinite Variation Tempered Stable Ornstein-Uhlenbeck Processes with Discrete Observations

Reiichiro Kawai et al.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION (2012)

Article Statistics & Probability

On a new Class of Tempered Stable Distributions: Moments and Regular Variation

Michael Grabchak

JOURNAL OF APPLIED PROBABILITY (2012)

Article Statistics & Probability

UNDERSTANDING HEAVY TAILS IN A BOUNDED WORLD OR, IS A TRUNCATED HEAVY TAIL HEAVY OR NOT?

Arijit Chakrabarty et al.

STOCHASTIC MODELS (2012)

Article Computer Science, Interdisciplinary Applications

Exact simulation of tempered stable Ornstein-Uhlenbeck processes

Shibin Zhang

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION (2011)

Article Physics, Multidisciplinary

Subordinated α-stable Ornstein-Uhlenbeck process as a tool for financial data description

Joanna Janczura et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2011)

Article Statistics & Probability

TEMPERED INFINITELY DIVISIBLE DISTRIBUTIONS AND PROCESSES

M. L. Bianchi et al.

THEORY OF PROBABILITY AND ITS APPLICATIONS (2011)

Article Statistics & Probability

Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes

Reiichiro Kawai et al.

MONTE CARLO METHODS AND APPLICATIONS (2011)

Article Business, Finance

Do financial returns have finite or infinite variance? A paradox and an explanation

Michael Grabchak et al.

QUANTITATIVE FINANCE (2010)

Article Statistics & Probability

ON THE TRANSITION LAW OF TEMPERED STABLE ORNSTEIN-UHLENBECK PROCESSES

Shibin Zhang et al.

JOURNAL OF APPLIED PROBABILITY (2009)

Article Statistics & Probability

Tempering stable processes

Jan Rosinski

STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2007)

Article Business, Finance

Vasicek beyond the normal

R Norberg

MATHEMATICAL FINANCE (2004)

Article Statistics & Probability

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

OE Barndorff-Nielsen et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2002)

Review Statistics & Probability

Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics

OE Barndorff-Nielsen et al.

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY (2001)