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Tempered stable and tempered infinitely divisible GARCH models

✍ Scribed by Young Shin Kim; Svetlozar T. Rachev; Michele Leonardo Bianchi; Frank J. Fabozzi


Book ID
116615570
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
539 KB
Volume
34
Category
Article
ISSN
0378-4266

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Tempered stable LΓ©vy motion and transien
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The space-fractional diffusion equation models anomalous super-diffusion. Its solutions are transition densities of a stable LΓ©vy motion, representing the accumulation of powerlaw jumps. The tempered stable LΓ©vy motion uses exponential tempering to cool these jumps. A tempered fractional diffusion e