Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...