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
Date Written: March 31, 2014
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: Suggested Citation