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In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation, referred to as the rapidly decreasing tempered stable (RDTS) GARCH model. This model allows the description of some stylized empirical facts observed for stock and index returns, such as volatility...
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In this paper, we construct the new class of tempered infinitely divisible (TID) distributions. Taking into account the tempered stable distribution class, as introduced by in the seminal work of Rosinsky , a modification of the tempering function allows one to obtain suitable properties. In...
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Although there has been increased interest in the application of the stable and geometric stable distributions in economics and finance, further application has been limited because their probability density function does not have an explicit solution. In this paper, we present three analytic...
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