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

Authors: Josep Perelloacute a;  Jaume Masoliver a; Jean-Philippe Bouchaud bc
Affiliations:   a Department de Fiacutesica Fonamental, Universitat de Barcelona, E-08028 Barcelona, Spain
b Service the Physique de l'Eacutetat Condenseacute, Centre d'Eacutetudes 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
Formats available: PDF (English)
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