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- W3141413894 abstract "Time-changed Brownian motions are extensively applied as mathematical models for asset returns in Finance. Time change is interpreted as a switch to trade-related business time, different from calendar time. Time-changed Brownian motions can be generated by infinite divisible normal mixtures. The standard multivariate normal mean variance mixtures assume a common mixing variable. This corresponds to a multidimensional return process with a unique change of time for all assets under exam. The economic counterpart is uniqueness of trade or business time, which is not in line with empirical evidence. In this paper we propose a new multivariate definition of normal mean-variance mixtures with a flexible dependence structure, based on the economic intuition of both a common and an idiosyncratic component of business time. We analyze both the distribution and the related process. We use the above construction to introduce a multivariate generalized hyperbolic process with generalized hyperbolic margins. We conclude with a stock market example to show the ease of calibration of the model." @default.
- W3141413894 created "2021-04-13" @default.
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- W3141413894 date "2008-01-01" @default.
- W3141413894 modified "2023-09-24" @default.
- W3141413894 title "A Generalized Normal Mean Variance Mixture for Return Processes in Finance" @default.
- W3141413894 hasPublicationYear "2008" @default.
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