Slanina, František - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3230-3239
We systematically compare several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can...