{"id":"https://openalex.org/W2927063380","doi":"https://doi.org/10.1007/s10479-019-03204-3","title":"Modelling tail risk with tempered stable distributions: an overview","display_name":"Modelling tail risk with tempered stable distributions: an overview","publication_year":2019,"publication_date":"2019-04-01","ids":{"openalex":"https://openalex.org/W2927063380","doi":"https://doi.org/10.1007/s10479-019-03204-3","mag":"2927063380"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-019-03204-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-019-03204-3","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112602121","display_name":"Hasan Fallahgoul","orcid":"https://orcid.org/0000-0002-3733-8000"},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Hasan Fallahgoul","raw_affiliation_strings":["School of Mathematical Sciences and Centre of Quantitative Finance and Investment Strategies, Monash University, Melbourne, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences and Centre of Quantitative Finance and Investment Strategies, Monash University, Melbourne, Australia","institution_ids":["https://openalex.org/I56590836"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5051304022","display_name":"Gr\u00e9goire Loeper","orcid":"https://orcid.org/0000-0002-5320-9516"},"institutions":[{"id":"https://openalex.org/I56590836","display_name":"Monash University","ror":"https://ror.org/02bfwt286","country_code":"AU","type":"education","lineage":["https://openalex.org/I56590836"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Gregoire Loeper","raw_affiliation_strings":["School of Mathematical Sciences and Centre of Quantitative Finance and Investment Strategies, Monash University, Melbourne, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical Sciences and Centre of Quantitative Finance and Investment Strategies, Monash University, Melbourne, Australia","institution_ids":["https://openalex.org/I56590836"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5112602121"],"corresponding_institution_ids":["https://openalex.org/I56590836"],"apc_list":{"value":2690,"currency":"USD","value_usd":2690},"apc_paid":null,"fwci":3.7088,"has_fulltext":false,"cited_by_count":29,"citation_normalized_percentile":{"value":0.93036224,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":98},"biblio":{"volume":"299","issue":"1-2","first_page":"1253","last_page":"1280"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.994700014591217,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9940000176429749,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6353757381439209},{"id":"https://openalex.org/keywords/stability","display_name":"Stability (learning theory)","score":0.5399373769760132},{"id":"https://openalex.org/keywords/parametric-statistics","display_name":"Parametric statistics","score":0.5209387540817261},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.42332881689071655},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3301686644554138},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.32086122035980225},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.26781603693962097},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.08744078874588013}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6353757381439209},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.5399373769760132},{"id":"https://openalex.org/C117251300","wikidata":"https://www.wikidata.org/wiki/Q1849855","display_name":"Parametric statistics","level":2,"score":0.5209387540817261},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.42332881689071655},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3301686644554138},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.32086122035980225},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.26781603693962097},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.08744078874588013},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-019-03204-3","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10479-019-03204-3","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03204-3","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-019-03204-3","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321456","display_name":"BNP Paribas Cardif","ror":"https://ror.org/02v616z87"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":86,"referenced_works":["https://openalex.org/W45326702","https://openalex.org/W87532316","https://openalex.org/W614061277","https://openalex.org/W1497630078","https://openalex.org/W1499969990","https://openalex.org/W1531532214","https://openalex.org/W1542184596","https://openalex.org/W1549477904","https://openalex.org/W1562804114","https://openalex.org/W1562951830","https://openalex.org/W1564609383","https://openalex.org/W1578580665","https://openalex.org/W1594603170","https://openalex.org/W1605693781","https://openalex.org/W1965967625","https://openalex.org/W1968851382","https://openalex.org/W1969248194","https://openalex.org/W1975462989","https://openalex.org/W1986033921","https://openalex.org/W1988957202","https://openalex.org/W1990701202","https://openalex.org/W1991627365","https://openalex.org/W1999996900","https://openalex.org/W2013219970","https://openalex.org/W2017413576","https://openalex.org/W2018952448","https://openalex.org/W2022894179","https://openalex.org/W2025952763","https://openalex.org/W2028995298","https://openalex.org/W2034010887","https://openalex.org/W2042068542","https://openalex.org/W2044967386","https://openalex.org/W2045345437","https://openalex.org/W2050335451","https://openalex.org/W2060164407","https://openalex.org/W2061160212","https://openalex.org/W2063371342","https://openalex.org/W2076007320","https://openalex.org/W2078411075","https://openalex.org/W2081493426","https://openalex.org/W2082534952","https://openalex.org/W2112539492","https://openalex.org/W2125862561","https://openalex.org/W2129889116","https://openalex.org/W2153999818","https://openalex.org/W2160980005","https://openalex.org/W2164130467","https://openalex.org/W2165714389","https://openalex.org/W2168361315","https://openalex.org/W2177425932","https://openalex.org/W2288946093","https://openalex.org/W2334626174","https://openalex.org/W2345171146","https://openalex.org/W2345365503","https://openalex.org/W2491984381","https://openalex.org/W2494067370","https://openalex.org/W2614237344","https://openalex.org/W2802016350","https://openalex.org/W2803989460","https://openalex.org/W2883188718","https://openalex.org/W2885264721","https://openalex.org/W2915749805","https://openalex.org/W2921072614","https://openalex.org/W2945403880","https://openalex.org/W3100436212","https://openalex.org/W3121395166","https://openalex.org/W3121574170","https://openalex.org/W3122531409","https://openalex.org/W3122666218","https://openalex.org/W3124950608","https://openalex.org/W3125092217","https://openalex.org/W4205112682","https://openalex.org/W4205637966","https://openalex.org/W4239953570","https://openalex.org/W4242689216","https://openalex.org/W4246756383","https://openalex.org/W4253781221","https://openalex.org/W4299432846","https://openalex.org/W4302364882","https://openalex.org/W4302802025","https://openalex.org/W6601890772","https://openalex.org/W6634630095","https://openalex.org/W6670095028","https://openalex.org/W6752026917","https://openalex.org/W6789562191","https://openalex.org/W7061786046"],"related_works":["https://openalex.org/W1979597421","https://openalex.org/W2007980826","https://openalex.org/W4245490552","https://openalex.org/W4225152035","https://openalex.org/W2061531152","https://openalex.org/W3002753104","https://openalex.org/W2077600819","https://openalex.org/W1587224694","https://openalex.org/W2911598644","https://openalex.org/W2142036596"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":2}],"updated_date":"2026-08-28T12:50:07.497085","created_date":"2025-10-10T00:00:00"}
