Multi-modal tempered stable distributions and prosses with applications to finance

Ahmad Arefi and Reza Pourtaheri

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 17, 4133-4149

Abstract: The assumption of underlying return distribution plays an important role in asset pricing models. While the return distribution used in the traditional theories of asset pricing is the unimodal distribution, numerous studies which have investigated the empirical behavior of asset returns in financial markets use multi-modal distribution. We introduce a new parsimonious multi-modal distribution, referred to as the multi-modal tempered stable (MMTS) distribution. In this article we also generate the exponential Lévy market models and derive the value-at-risk (VaR) induced from them. To demonstrate the advantages, we will present the results of the parameter estimation and the VaRs for financial data.

Date: 2020
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2019.1594304 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:49:y:2020:i:17:p:4133-4149

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2019.1594304

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().