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Open Access 11-04-2018

Some Further Results on the Tempered Multistable Approach

Author: Olivier Le Courtois

Published in: Asia-Pacific Financial Markets | Issue 2/2018

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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.

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Title: Some Further Results on the Tempered Multistable Approach
Author: Olivier Le Courtois
Publication date: 11-04-2018
Publisher: Springer Japan
Published in: Asia-Pacific Financial Markets / Issue 2/2018
Print ISSN: 1387-2834
Electronic ISSN: 1573-6946
DOI: https://doi.org/10.1007/s10690-018-9240-y