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 the presented approach to stocks included in three prominent indices (NYSE100, FTSE100 and SP500), we document that most of the apparent nonlinearity that has been observed is largely due to univariate non-Gaussianity.