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Some Further Results on the Tempered Multistable Approach
in Asia-Pacific Financial Markets, 25 (2)
Voir la revue «Asia Pacific Financial Markets»
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
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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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