The times change: multivariate subordination, empirical facts
The normality of multi-asset returns in event time is shown empirically. A multivariate subordination mechanism is proposed in order to explain this phenomenon.
|Date of creation:||Jan 2012|
|Date of revision:|
|Publication status:||Published, Quantitative Finance, 2012, 12, 1, 1-10|
|Note:||View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00620841|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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