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Multivariate Mixed Tempered Stable Distribution

The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure between components are investigated. We discuss a random number generating procedure and introduce an estimation methodology based on the minimization of a distance between empirical and theoretical characteristic functions. Asymptotic tail behavior of the univariate Mixed Tempered Stable is exploited in the estimation procedure in order to obtain a better model fitting. Advantages of the multivariate Mixed Tempered Stable distribution are discussed and illustrated via simulation study.

preprint2016arXivOpen access
Asmerilda HitajFriedrich HubalekLorenzo MercuriEdit Rroji
q-fin.STmath.STStatistics Theory
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Open access4 authors3 topics
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Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Asmerilda HitajFriedrich HubalekLorenzo MercuriEdit Rroji

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