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1 juin 2018
- handle: 10670/1.noy3lw
- hal: hal-02312142
- doi: 10.1007/s10690-018-9240-y
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s10690-018-9240-y
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Mots-clés
Tempered multistable process Non-stationarity Dependence Asymmetry Kurtosis VaR Characteristic functionSujets proches
Parliamentary government Representation Self-government Political representation Funds Funding Finance, commerce, confiscations, etcCiter ce document
Olivier Le Courtois, « Some Further Results on the Tempered Multistable Approach », HAL-SHS : économie et finance, ID : 10.1007/s10690-018-9240-y
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Résumé
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 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.