Multivariate tempered stable additive subordination for financial models
نویسندگان
چکیده
Abstract We study a class of multivariate tempered stable distributions and introduce the associated Sato subordinators. These subordinators are used to build additive inhomogeneous processes by subordination multiparameter Brownian motion. The resulting process is time it generalization Lévy with good fit properties on financial data. specify model have unit normal inverse Gaussian distribution we discuss ability correlations real
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2022
ISSN: ['1862-9679', '1862-9660']
DOI: https://doi.org/10.1007/s11579-022-00321-9