1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.ST2016
Multivariate Mixed Tempered Stable Distribution
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri +1
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its cap…
q-fin.RM2014★ 1 cited
Parametric Risk Parity
Lorenzo Mercuri, Edit Rroji
Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independe…
q-fin.ST2014
Mixed Tempered Stable distribution
Edit Rroji, Lorenzo Mercuri
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 lea…