英文标题：
《Mixed Tempered Stable distribution》
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作者：
Edit Rroji, Lorenzo Mercuri
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最新提交年份：
2014
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英文摘要：
  In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. It has the same structure of the Normal Variance Mean Mixtures but the normality assumption leaves place to a semi-heavy tailed distribution. We show that, by choosing appropriately the parameters of the distribution and under the concrete specification of the mixing random variable, it is possible to obtain some well-known distributions as special cases.   We employ the Mixed Tempered Stable distribution which has many attractive features for modeling univariate returns. Our results suggest that it is enough flexible to accomodate different density shapes. Furthermore, the analysis applied to statistical time series shows that our approach provides a better fit than competing distributions that are common in the practice of finance.
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中文摘要：
本文引入了一种新的参数分布，即混合回火稳定分布。它的结构与正态-方差-均值混合分布相同，但正态性假设不适用于半重尾分布。我们证明，通过选择适当的分布参数，在混合随机变量的具体规范下，可以得到一些已知的分布作为特例。我们采用了混合回火稳定分布，它有许多吸引人的特征来模拟单变量收益。我们的结果表明，它足够灵活，以适应不同的密度形状。此外，应用于统计时间序列的分析表明，我们的方法比金融实践中常见的竞争分布更适合。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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