Heterogeneous expectations and long-range correlation of the volatility of asset returns

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Author
Coulon, J.
Malevergne, Y.
Date
2011
Type
    Journal Article
Publication status
published
External links
Journal / series
Quantitative Finance
Volume
11(9)
Pages / Article No.
1329 - 1356
Publisher
Routledge
Subject
Realized volatility; Aggregation model; Long memory; Bounded rationality
Notes
Received 11 August 2008, Available online 1 September 2011.
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yes
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