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Journal Articles Quantitative Finance Year : 2012

The times change: multivariate subordination, empirical facts

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.
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hal-00620841 , version 1 (09-09-2011)

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Nicolas Huth, Frédéric Abergel. The times change: multivariate subordination, empirical facts. Quantitative Finance, 2012, 12 (1), pp.1-10. ⟨10.1080/14697688.2010.481635⟩. ⟨hal-00620841⟩
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