Some Further Results on the Tempered Multistable Approach

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...

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Bibliographic Details
Published in:Asia-Pacific financial markets 2018-06, Vol.25 (2), p.87-109
Main Author: Le Courtois, Olivier
Format: Article
Language:English
Subjects:
Business administration
Characteristic functions
Econometrics
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics and Finance
Finance
Humanities and Social Sciences
International Economics
Kurtosis
Macroeconomics/Monetary Economics//Financial Economics
Representations
Securities markets
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Summary: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.
ISSN:1387-2834
1573-6946
DOI:10.1007/s10690-018-9240-y