Multiple time scales in volatility and leverage correlations: a stochastic volatility model
نویسندگان
چکیده
منابع مشابه
Multiple time scales in volatility and leverage correlations: An stochastic volatility model
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or ‘leverage’) correlations that are much shorter ranged. Different stochastic volatility models have been proposed in the past to account for both these correlations. However, in these mode...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2004
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486042000196155