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...

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...