Abstract
We introduce a methodology for the simulation and parameter estimation of multivariate tempered stable distributions with an emphasis on the bivariate case. Our approach is based on an approximation due to a discretization of the spectral measure. It is then applied to two bivariate financial datasets related to exchange rates. The first is comprised of exchange rates between standard currencies, while the second is based on exchange rates related to cryptocurrencies. Our approximation results hold for a wide class of multivariate infinitely divisible distributions.
Acknowledgments
The authors would like to thank the three anonymous referees whose comments lead to improvement in the presentation of this paper.
Disclosure statement
No potential conflict of interest was reported by the author(s).