introduce the normal tempered stable (NTS) copula based on the Lévy process. We also propose a novel backtesting method for …

GBM is that, due to the assumption of constant drift and volatility, stylized facts of financial time-series, such as … volatility clustering and heavy-tailedness in the returns distribution, cannot be captured. We propose a model where volatility … approach. A numerical study is carried out and backtesting results for a number of exchange rates are presented. The impact of …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …