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.

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Year of publication:	2012-01
Authors:	Huth, Nicolas ; Abergel, Frédéric
Institutions:	HAL

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00620841 Published, Quantitative Finance, 2012, 12, 1, 1-10
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009294617