Some Further Results on the Tempered Multistable Approach

Olivier Courtois ()
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Olivier Courtois: emlyon business school

Asia-Pacific Financial Markets, 2018, vol. 25, issue 2, No 2, 87-109

Abstract: Abstract This article provides new results on the tempered multistable approach. After a preliminary section recalling the main definitions, we show the correspondence between a series representation and a characteristic function representation for asymmetrical field-based tempered multistable processes and for asymmetrical independent increments tempered multistable processes. We also show that both processes are semimartingales, which is a convenient property in finance. Next, we study the structure of autocorrelations that is conveyed by this approach. Finally, we provide an illustration showing the term structures of Value-at-Risk that can be obtained with this model.

Keywords: Tempered multistable process; Non-stationarity; Dependence; Asymmetry; Kurtosis; VaR; Characteristic function; 60G51; 60G52; G130 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10690-018-9240-y

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