Multivariate Mixed Tempered Stable Distribution
Statistical Finance
2016-10-04 v3 Statistics Theory
Statistics Theory
Abstract
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.
Cite
@article{arxiv.1609.00926,
title = {Multivariate Mixed Tempered Stable Distribution},
author = {Asmerilda Hitaj and Friedrich Hubalek and Lorenzo Mercuri and Edit Rroji},
journal= {arXiv preprint arXiv:1609.00926},
year = {2016}
}