The times change: multivariate subordination, empirical facts
AbstractThe normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.
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Date of creation: Jan 2012
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Publication status: Published, Quantitative Finance, 2012, 12, 1, 1-10
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-22 (All new papers)
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