Heterogeneous expectations and long-range correlation of the volatility of asset returns
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Publication:2866365
DOI10.1080/14697688.2010.542771zbMath1277.91199arXiv0808.1538OpenAlexW1641344753MaRDI QIDQ2866365
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Publication date: 13 December 2013
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0808.1538
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)
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