Multiple time scales in volatility and leverage correlations: a stochastic volatility model

DOI10.1080/1350486042000196155zbMath1093.91537arXivcond-mat/0302095OpenAlexW3121753698MaRDI QIDQ4650903

Jean-Philippe Bouchaud, Jaume Masoliver, Josep Perelló

Publication date: 18 February 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0302095

Mathematics Subject Classification ID

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