A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS (Q3022062)

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A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
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    title
    A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS (English)
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    publication date
    22 June 2005
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    zbMATH DE Number
    2177836
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    zbMATH Keywords
    mean reversion
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    skewness
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    fat tails
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    author
    Jaume Masoliver
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    Josep Perelló
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    arXiv ID
    cond-mat/0111334
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    OpenAlex ID
    W2038465616
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