Tempered stable laws as random walk limits
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References listed on IDEAS
- Peter Carr & Hélyette Geman & Dilip B. Madan & Marc Yor, 2003. "Stochastic Volatility for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 13(3), pages 345-382.
- Aban, Inmaculada B. & Meerschaert, Mark M. & Panorska, Anna K., 2006. "Parameter Estimation for the Truncated Pareto Distribution," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 270-277, March.
- Sokolov, I.M & Chechkin, A.V & Klafter, J, 2004. "Fractional diffusion equation for a power-law-truncated Lévy process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(3), pages 245-251.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
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KeywordsRandom walk Tempered stable law Triangular array Infinitely divisible law;
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