On a universal mechanism for long-range volatility correlations

Author： Bouchaud J-P.   Giardina I.   Mzard M.  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.1, Iss.2, 2001-02, pp. : 212-216

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Robust estimation of historical volatility and correlations in risk management

By Tchernitser Alexander   Rubisov Dmitri  

Quantitative Finance, Vol. 9, Iss. 1, 2009-02 ,pp. : 43-54

Routledge Ltd

Access to resources Recommend Favorite

Investment instruments with volatility target mechanism

By Albeverio S.   Steblovskaya V.   Wallbaum K.  

Quantitative Finance, Vol. 13, Iss. 10, 2013-10 ,pp. : 1519-1528

Routledge Ltd

Access to resources Recommend Favorite

Asymmetry and Long Memory in Volatility Modeling

By Asai Manabu   McAleer Michael   Medeiros Marcelo C.  

Journal of Financial Econometrics, Vol. 10, Iss. 3, 2012-06 ,pp. : 495-512

Oxford University Press

Access to resources Recommend Favorite

Stochastic volatility, power laws and long memory

By Mandelbrot B.B.  

Quantitative Finance, Vol. 1, Iss. 6, 2001-06 ,pp. : 558-559

Routledge Ltd

Access to resources Recommend Favorite

Stochastic volatility as a simple generator of apparent financial power laws and long memory

By LeBaron B.  

Quantitative Finance, Vol. 1, Iss. 6, 2001-06 ,pp. : 621-631

Routledge Ltd

Access to resources Recommend Favorite