Multivariate tempered stable additive subordination for financial models
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Publication:6366704
DOI10.1007/S11579-022-00321-9arXiv2105.00844MaRDI QIDQ6366704FDOQ6366704
Publication date: 3 May 2021
Abstract: We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build additive inhomogeneous processes by subordination of a multiparameter Brownian motion. The resulting process is additive and time inhomogeneous. Furthermore, these processes are associated with the distribution at unit time of a class of L'evy process with good fit properties on fifinancial data. The main feature of the Sato subordinated Brownian motion is that it has time dependent correlation, whereas the L'evy counterpart does not. We provide a numerical illustration of the correlation dynamics.
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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