Perello, Josep; Masoliver, Jaume; Bouchaud, Jean-Philippe - Science & Finance - 2003
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or `leverage') correlations that are much shorter ranged. Different stochastic volatility...