Elliptical tempered stable distribution

Hassan A. Fallahgoul, Young S. Kim and Frank Fabozzi ()

Quantitative Finance, 2016, vol. 16, issue 7, 1069-1087

Abstract: Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its characteristic function, which involves a unique spectral measure. This definition provides a framework for creating a connection between the infinite divisible distribution (in particular the ETS distribution) with fractional calculus. In addition, a definition for the ETS copula is discussed. A simulation study shows the accuracy of this definition, in comparison to the normal copula for measuring the dependency of data. An empirical study of stock market index returns for 20 countries shows the usefulness of the theoretical results.

Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2015.1111522 (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:quantf:v:16:y:2016:i:7:p:1069-1087

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2015.1111522

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().