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

Applied Mathematical Finance

Volumn 11, Issue 1, 2004, Pages 27-50

  Perelló, Josep ^a   Masoliver, Jaume ^a   Bouchaud, Jean Philippe ^b,c  

^a UNIVERSITY OF BARCELONA   (Spain)

^b CENTRE D ETUDES DE SACLAY   (France)

^c Science and Finance   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1842814048     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486042000196155     Document Type: Article

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