The times change: multivariate subordination, empirical facts

Nicolas Huth and Frédéric Abergel ()
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Nicolas Huth: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec
Frédéric Abergel: MAS - Mathématiques Appliquées aux Systèmes - EA 4037 - Ecole Centrale Paris, FiQuant - Chaire de finance quantitative - MICS - Mathématiques et Informatique pour la Complexité et les Systèmes - CentraleSupélec

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Abstract: 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: 2012-01
Note: View the original document on HAL open archive server: https://hal.science/hal-00620841
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Citations: View citations in EconPapers (5)

Published in Quantitative Finance, 2012, 12 (1), pp.1-10. ⟨10.1080/14697688.2010.481635⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00620841

DOI: 10.1080/14697688.2010.481635

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