Some Further Results on the Tempered Multistable Approach

Asia-Pacific Financial Markets, Vol. 25, N°2, p. 87–109, 2018

26 Pages Posted: 1 Apr 2014 Last revised: 26 Apr 2019

See all articles by Olivier Le Courtois

Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

Date Written: March 31, 2014

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

JEL Classification: G130

Suggested Citation

Le Courtois, Olivier Arnaud, Some Further Results on the Tempered Multistable Approach (March 31, 2014). Asia-Pacific Financial Markets, Vol. 25, N°2, p. 87–109, 2018. Available at SSRN: https://ssrn.com/abstract=2418231 or http://dx.doi.org/10.2139/ssrn.2418231

Olivier Arnaud Le Courtois (Contact Author)

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control ( email )

23, av. Guy de Collongue
69134 Ecully Cedex
France

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