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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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The CTRW in finance: Direct and inverse problems with some generalizations and extensions
Masoliver, Jaume; Montero, Miquel; Perelló, Josep; … - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 1, pp. 151-167
We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to...
Persistent link: https://www.econbiz.de/10011057070