The times change: multivariate subordination. Empirical facts

DOI10.1080/14697688.2010.481635zbMath1242.91214OpenAlexW2035971174MaRDI QIDQ2893067

Frederic Abergel, Nicolas Huth

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.481635

zbMATH Keywords

econophysicsquantitative financecorrelation modellingequity options

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Optimizing a basket against the efficient market hypothesis ⋮ Normally distributed high-frequency returns: a subordination approach

Cites Work

• There's more to volatility than volume
• The Epps effect revisited
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Variance Gamma Process and Option Pricing

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