In response to empirical evidence, we propose a continuous-time model for multivariate asset returns with a two-layered dependence structure. The price process is subject to multivariate information arrivals driving the market activity modeled by non-decreasing pure-jump Lévy processes. A Lévy...

We present an approach for modeling dependencies in exponential Lévy market models with arbitrary margins originated from time changed Brownian motions. Using weak subordination of Buchmann et al. (2016), we face a new layer of dependencies, superior to traditional approaches based on pathwise...