The fractional multivariate normal tempered stable process |
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Authors: | Young Shin Kim |
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Institution: | Department of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, Karlsruhe Institute of Technology, Germany |
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Abstract: | In this paper, the multivariate process having long-range dependency is presented. The process is defined by the time-changed fractional Brownian motion whose subordinator is given by the fractional tempered stable subordinator. The fractional tempered stable subordinator is a generalization of the non-decreasing tempered stable process with long-range dependence. The multivariate process allows for (1) the long-range dependence in the endogenous noise, (2) the long-range dependence in time or the volatility, (3) the fat-tailed marginal distribution, and (4) an asymmetric dependence structure between elements. Numerical methods to generating sample paths for the process are discussed. |
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