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A correlated stochastic volatility model measuring leverage and other stylized facts
Masoliver, Jaume
;
Perelló, Josep
- In:
International journal of theoretical and applied finance
5
(
2002
)
5
,
pp. 541-562
Persistent link: https://www.econbiz.de/10001687146
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Multiple time scales in volatility and leverage correlations : a stochastic volatility model
Perelló, Josep
;
Masoliver, Jaume
;
Bouchaud, Jean-Philippe
- In:
Applied mathematical finance
11
(
2004
)
1
,
pp. 27-50
Persistent link: https://www.econbiz.de/10002001537
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