Shin Kim, Young; Rachev, Svetlozar T.; Leonardo … - In: Journal of Banking & Finance 34 (2010) 9, pp. 2096-2109
In this paper, we introduce a new GARCH model with an infinitely divisible distributed innovation. This model, which we refer to as the rapidly decreasing tempered stable (RDTS) GARCH model, takes into account empirical facts that have been observed for stock and index returns, such as...