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q-fin.ST2020★ 1 cited
Multivariate non-Gaussian models for financial applications
Michele Leonardo Bianchi, Asmerilda Hitaj, Gian Luca Tassinari
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing…
q-fin.ST2016
Multivariate Mixed Tempered Stable Distribution
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri +1
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its cap…