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 distributio...

Alternative specifications of univariate asymmetric Laplace models are described and investigated. A more general mixture model is then introduced. Bivariate extensions of these models are discussed in some detail, with particular emphasis on associated parameter estimation strategies. Multivariate versions of the models are briefly introduced.