On a universal mechanism for long-range volatility correlations

• 1 February 2001
• journal article
• Published by Taylor & Francis in Quantitative Finance
• Vol. 1  (2) , 212-216
• https://doi.org/10.1088/1469-7688/1/2/302

Abstract

Keywords

• UNIVERSAL MECHANISM
• MECHANISM FOR LONG
• LONG RANGE VOLATILITY
• RANGE VOLATILITY CORRELATIONS