Stochastic volatility, power laws and long memory

Benoit B Mandelbrot comments on the paper by Blake LeBaron, on page 621 of this issue, by tracing the merits and pitfalls of power-law scaling models from antiquity to the present.

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Year of publication:	2001
Authors:	Mandelbrot, B. B.
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 1.2001, 6, p. 558-559
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009215010