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ArticleTempered stable and tempered infinitely divisible GARCH models

Young Shin Kim2010

Article2010

Tempered stable and tempered infinitely divisible GARCH models

Young Shin Kim · Svetlozar T. Rachev · Michele Leonardo Bianchi · Frank J. Fabozzi

99 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2003Financial Modelling with Jump Processes 2002The Fine Structure of Asset Returns: An Empirical Investigation 1995THE GARCH OPTION PRICING MODEL 2007Stochastic Simulation 2003Lévy processes in finance pricing financial derivatives 2000A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation

Cited by

2010Time series analysis for financial market meltdowns 2009Computing VAR and AVaR in Infinitely Divisible Distributions 2012Stable mixture GARCH models 2011Fat-Tailed Models for Risk Estimation 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 2019Exploiting intra-day patterns for market shock prediction: A machine learning approach

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2013GARCH Option Valuation:Theory and Evidencearticle · 8 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 6 shared references 2007Financial market models with Lévy processes and time-varying volatilityarticle · 6 shared references 2009Volatility Components, Affine Restrictions, and Nonnormal Innovationsarticle · 6 shared references 2008The Modifled Tempered Stable Distribution, GARCH Models and Option Pricingarticle · 6 shared references 2014Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Modelspreprint · 6 shared references

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Year2010

Typearticle

Published2010-02-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations99

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2010.01.015

openalex_workW2044967386

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2020Research on China's financial systemic risk contagion under jump and heavy-tailed risk