Multiple time scales in volatility and leverage correlations: a stochastic volatility model

Authors: Josep Perell oacute

^a; Jaume Masoliver ^a; Jean-Philippe Bouchaud ^b^c

Affiliations:	^a Department de Fsica Fonamental, Universitat de Barcelona, E-08028 Barcelona, Spain
	^b Service the Physique de l'tat Condens, Centre d'tudes de Saclay, 91191 Gif-sur-Yvette Cedex, France
	^c Science and Finance-CFM, 75009 Paris, France

DOI: 10.1080/1350486042000196155

Publication Frequency: 6 issues per year

Published in: journal

Applied Mathematical Finance, Volume 11, Issue 1 March 2004 , pages 27 - 50

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

Formats available: PDF (English)

Article Requests: Order Reprints : Request Permissions

Linking to informaworld

Article Link

To link directly to Multiple time scales in volatility and leverage correlations: a stochastic volatility model:

Open URL Style	http://www.informaworld.com/openurl?genre=article&issn=1350-486X&volume=11&issue=1&spage=27
DOI	http://dx.doi.org/10.1080/1350486042000196155

Issue Link

To link directly to Applied Mathematical Finance, Volume 11 No. 1:

Open URL Style

Journal Link

To link directly to Applied Mathematical Finance:

Open URL Style	http://www.informaworld.com/openurl?genre=journal&issn=1350-486X
Paper ISSN	http://www.informaworld.com/1350-486X
Electronic ISSN	http://www.informaworld.com/1466-4313