Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele … - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2011
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 … distribution. Furthermore, we review the classical tempered stable (CTS) GARCH model, which has similar statistical properties. By …