14 citations · 40 across the 13 of their papers we have counts for
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math.PR2014
Elliptical Tempered Stable Distribution and Fractional Calculus
Hassan A. Fallahgoul, Young S. Kim
A definition for elliptical tempered stable distribution, based on the characteristic function, have been explained which involve a unique spectral measure. This definition provide…
q-fin.PM2014
Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi, Young Shin Kim, Ivan Mitov
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alter…