Mixed Tempered Stable Distribution (Preprint Version)

Rroji, E., Mercuri, L. Mixed tempered stable distribution (2014) Quantitative Finance, 11 p., Forthcoming

18 Pages Posted: 13 Oct 2013 Last revised: 14 Nov 2014

See all articles by Edit Rroji

Edit Rroji

Polytechnic University of Milan - Department of Mathematics

Lorenzo Mercuri

University of Milan

Date Written: October 11, 2013

Abstract

In this paper we introduce a new parametric distribution, the Mixed Tempered Stable. We show that, by choosing appropriately the value of the distribution parameters, it is possible to obtain some well-known distributions as special cases. The better fit to market returns and to statistical factors, obtained performing the Independent Component Analysis, is due to its flexibility. The results are useful in risk management since factor modeling can be used for portfolio allocation and risk attribution.

Keywords: Independent Component Analysis; Tempered Stable distribution; Mixture Models; Economic Factors; Statistical Factors

JEL Classification: C13; C51; G12

Suggested Citation

Rroji, Edit and Mercuri, Lorenzo, Mixed Tempered Stable Distribution (Preprint Version) (October 11, 2013). Rroji, E., Mercuri, L. Mixed tempered stable distribution (2014) Quantitative Finance, 11 p., Forthcoming. Available at SSRN: https://ssrn.com/abstract=2339273 or http://dx.doi.org/10.2139/ssrn.2339273

Edit Rroji

Polytechnic University of Milan - Department of Mathematics ( email )

Via Bonardi, 9
Milano, MI 20133
Italy

Lorenzo Mercuri (Contact Author)

University of Milan ( email )

Via Festa del Perdono, 7
Milan, 20122
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
92
Abstract Views
747
rank
276,387
PlumX Metrics