Corpus ID: 233481267

Multivariate tempered stable additive subordination for financial models

@inproceedings{Semeraro2021MultivariateTS,
  title={Multivariate tempered stable additive subordination for financial models},
  author={Patrizia Semeraro},
  year={2021}
}
We study a class of multivariate tempered stable distributions and introduce the associated class of tempered stable Sato subordinators. These Sato subordinators are used to build additive inhomogeneous processes by subordination of a multiparameter Brownian motion. The resulting process is additive and time inhomogeneous. Furthermore, these processes are associated with the distribution at unit time of a class of Lévy process with good fit properties on financial data. The main feature of the… Expand

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