The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to re ect the properties of trade, which it represents. The resulting process may...

A key issue in increasing women’s participation in productive activities is the possibility of achieving a high work-life balance, both in terms of personal wellbeing and in terms of fair career prospects. The crucial event that challenges any level of work-life balance working women achieve...

This paper constructs a class of multivariate Gaussian marked Poisson processes to model asset returns. The model proposed accommodates the cross section properties of trades, allows for returns to be correlated conditional on trading activity, and preserves the economic intuition of normality...

We analyse the effects of motherhood on women’s working career using WHIP, a database that records individual work histories together with childbearing events. We investigate two main issues: the career penalty and the wage penalty (better known in the literature as family wage gap). We focus...

Many studies have been devoted to analyse the effect of maternity on working mothers; they mostly refer to countries where female participation is high. Fewer studies consider Southern European countries. This paper aims at filling the gap analysing the effects of motherhood on women’s working...

Many studies have been devoted to analyse the effect of maternity on working mothers; they mostly refer to countries where female participation is high. Fewer studies consider Southern European countries. This paper aims at filling the gap analysing the effects of motherhood on women’s working...

The traditional multivariate Lévy process constructed by subordinating a Brownian motion through a univariate subordinator presents a number of drawbacks, including the lack of independence and a limited range of dependence. In order to face these, we investigate multivariate subordination,...

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....