We consider a generalization of Normal Variance Mean Mixtures and name it multivariate Mixed Tempered Stable distribution. Properties of this distribution and its capacity in capturing fat tails are discussed supported by simulation analysis. We point out that this distribution is suitable in reproducing stylized facts and different dependence structures of asset returns.
On multivariate extensions of the Mixed Tempered Stable distribution / A. Hitaj, F. Hubalek, L. Mercuri, E. Rroji - In: Compstat 2016 / [a cura di] A. Colubi, A. Blanco, C. Gatu. - [s.l] : The International Statistical Institute/International Association for Statistical Computing, 2016. - ISBN 9789073592360. - pp. 159-166 (( Intervento presentato al 22. convegno International Conference on Computational Statistics tenutosi a Oviedo nel 2016.
On multivariate extensions of the Mixed Tempered Stable distribution
L. Mercuri;
2016
Abstract
We consider a generalization of Normal Variance Mean Mixtures and name it multivariate Mixed Tempered Stable distribution. Properties of this distribution and its capacity in capturing fat tails are discussed supported by simulation analysis. We point out that this distribution is suitable in reproducing stylized facts and different dependence structures of asset returns.
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