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Article Dans Une Revue Asia Pacific Financial Markets Année : 2018

Some Further Results on the Tempered Multistable Approach

Résumé

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.
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hal-02312142 , version 1 (03-01-2024)

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Olivier Le Courtois. Some Further Results on the Tempered Multistable Approach. Asia Pacific Financial Markets, 2018, 25 (2), 87-109 p. ⟨10.1007/s10690-018-9240-y⟩. ⟨hal-02312142⟩

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