Tempered Stable Processes with Time Varying Exponential Tails
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- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018495, HAL.
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- Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
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