Heterogeneous expectations and long-range correlation of the volatility of asset returns

DOI10.1080/14697688.2010.542771zbMath1277.91199arXiv0808.1538MaRDI QIDQ2866365

No author found.

Publication date: 13 December 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.1538

zbMATH Keywords

long memory; bounded rationality; aggregation model; realized volatility

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62H20: Measures of association (correlation, canonical correlation, etc.)

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