Some Further Results on the Tempered Multistable Approach

Olivier Le Courtois
Additional contact information
Olivier Le Courtois: EM - EMLyon Business School

Post-Print from HAL

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 (search for similar items in EconPapers)
Date: 2018-06-01
Note: View the original document on HAL open archive server: https://hal.science/hal-02312142v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Asia Pacific Financial Markets, 2018, 25 (2), 87-109 p. ⟨10.1007/s10690-018-9240-y⟩

Downloads: (external link)
https://hal.science/hal-02312142v1/document (application/pdf)

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:hal:journl:hal-02312142

DOI: 10.1007/s10690-018-9240-y

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().