Masoliver, Jaume; Perello, Josep - In: Quantitative Finance 6 (2006) 5, pp. 423-433
We study the exponential Ornstein-Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behaviour in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the stationary volatility which are consistent with market...