A0388
Title: On multivariate extensions of the Mixed Tempered Stable distribution
Authors: Asmerilda Hitaj - Milano Bicocca (Italy) [presenting]
Friedrich Hubalek - Vienna University of Technology (Austria)
Lorenzo Mercuri - University of Milan (Italy)
Edit Rroji - University of Trieste (Italy)
Abstract: A generalization of Normal Variance Mean Mixtures, named multivariate Mixed Tempered Stable distribution, is studied. Properties of this distribution and its capacity in capturing fat tails are discussed based on simulation analysis. We point out that this distribution is suitable in reproducing stylized facts and different dependence structures between asset returns.
