Before revision:  By applying the presented approach to stocks included in three prominent indices (NYSE100, FTSE100 and SP500), we document that most of the apparent nonlinearity is due to univariate non-Gaussianity.
After revision:  By applying this multi-step approach to stocks included in three prominent indices (NYSE100, FTSE100 and SP500), we document that most of the apparent nonlinearity is due to univariate non-Gaussianity.