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research article

Elliptical tempered stable distribution

Fallahgoul, Hassan A.
•
Kim, Young S.
•
Fabozzi, Frank J.
2016
Quantitative Finance

Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its characteristic function, which involves a unique spectral measure. This definition provides a framework for creating a connection between the infinite divisible distribution (in particular the ETS distribution) with fractional calculus. In addition, a definition for the ETS copula is discussed. A simulation study shows the accuracy of this definition, in comparison to the normal copula for measuring the dependency of data. An empirical study of stock market index returns for 20 countries shows the usefulness of the theoretical results.

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Type
research article
DOI
10.1080/14697688.2015.1111522
Web of Science ID

WOS:000379836500007

Author(s)
Fallahgoul, Hassan A.
Kim, Young S.
Fabozzi, Frank J.
Date Issued

2016

Publisher

Routledge Journals, Taylor & Francis Ltd

Published in
Quantitative Finance
Volume

16

Issue

7

Start page

1069

End page

1087

Subjects

Elliptical distribution

•

Tempered stable distribution

•

Fractional calculus

•

C5

•

G12

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-LM  
Available on Infoscience
October 18, 2016
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/129879
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