On simulation of tempered stable random variates

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

Business, Economics, Finance +16

The Fine Structure of Asset Returns: An Empirical Investigation

Peter Carr, Hélyette Geman, Dilip B. Madan et al. · The Journal of Business · 2002 · 1.8K citations

Business, Economics, Finance +17

A Method for Simulating Stable Random Variables

J. Chambers, C. L. Mallows, B. W. Stuck · Journal of the American Statistical Association · 1976 · 1.1K citations

Business, Computer Science, Statistical Computing +11

Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

Rosario N. Mantegna, H. Eugene Stanley · Physical Review Letters · 1994 · 887 citations

Engineering, Mathematics, Dynamical Systems +7

Tempering stable processes

J. Rosiński · Stochastic Processes and their Applications · 2006 · 563 citations