Multivariate tempered stable additive subordination for financial models

被引：0
作者：
Patrizia Semeraro
机构：
[1] Politecnico di Torino,Department of Mathematical Science
来源：
Mathematics and Financial Economics | 2022年 / 16卷
关键词：
Tempered stable distributions; Sato processes; Multivariate additive subordination; Multivariate asset modeling; 60G51; 60E07;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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 and it is a generalization of multivariate Lévy processes with good fit properties on financial data. We specify the model to have unit time normal inverse Gaussian distribution and we discuss the ability of the model to fit time inhomogeneous correlations on real data.
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页码：685 / 712
页数：27
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