Perello, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - In: Applied Mathematical Finance 11 (2004) 1, pp. 27-50
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...