Wylomanska, Agnieszka (2010): Measures of dependence for OrnsteinUhlenbeck processes with tempered stable distribution. Forthcoming in:

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Abstract
In this paper we investigate the dependence structure for OrnsteinUhlenbeck processes with totally skewed tempered stable structure. They are natural extension of OrnsteinUhlenbeck 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 OrnsteinUhlenbeck 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 OrnsteinUhlenbeck process has the same form as in the tempered case.
Item Type:  MPRA Paper 

Original Title:  Measures of dependence for OrnsteinUhlenbeck processes with tempered stable distribution 
English Title:  Measures of dependence for OrnsteinUhlenbeck processes with tempered stable distribution 
Language:  English 
Keywords:  truncated Levy flight, tempered stable, OrnsteinUhlenbeck process, structure of dependence 
Subjects:  C  Mathematical and Quantitative Methods > C0  General > C02  Mathematical Methods 
Item ID:  28535 
Depositing User:  Agnieszka Wylomanska 
Date Deposited:  02. Feb 2011 02:19 
Last Modified:  30. Dec 2015 09:30 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/28535 