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|
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- 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.
- 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.
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