Tempered stable Lévy motion driven by stable subordinator

Janusz Gajda () and Agnieszka Wyłomańska

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 15, 3168-3176

Abstract: In this article we propose a new model for financial data description. Combining two independent mechanisms, namely the tempered stable process and inverse stable subordinator, we obtain a new model which captures not only the tempered stable character of the underlying data but also such a property as periods in which the values of an asset stay on the same level. Moreover, we classify our system to the family of subdiffusive processes and investigate its tail behavior. We describe in detail testing and estimation procedures for the proposed model. In the last step we calibrate our model to the real data.

Keywords: Subordination; Tempered stable motion; Subdiffusion; Calibration (search for similar items in EconPapers)
Date: 2013
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:15:p:3168-3176

DOI: 10.1016/j.physa.2013.03.018

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