Some Further Results on the Tempered Multistable Approach |
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Authors: | Olivier Le Courtois |
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Affiliation: | 1.emlyon business school,Ecully Cedex,France |
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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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