Measures of dependence for Ornstein-Uhlenbeck processes with tempered stable distribution
In this paper we investigate the dependence structure for Ornstein-Uhlenbeck processes with totally skewed tempered stable structure. They are natural extension of Ornstein-Uhlenbeck processes with stable (and Gaussian) distribution. However for the stable models the covariance is not defined therefore in order to compare the structure of dependence of Ornstein-Uhlenbeck with tempered stable and stable structure we analyze another measures of dependence defined for infinitely divisible processes such as Levy correlation cascade and codifference. We show that for analyzed processes the Levy correlation cascade goes faster to zero as in the stable case, while the codifference of the stable Ornstein-Uhlenbeck process has the same form as in the tempered case.
|Date of creation:||2010|
|Date of revision:||2010|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
- Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
- Young Kim & Svetlozar Rachev & Michele Bianchi & Frank Fabozzi, 2009. "Computing VAR and AVaR in Infinitely Divisible Distributions," Yale School of Management Working Papers amz2569, Yale School of Management.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:28535. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.