Are asset return tail estimations related to volatility...

Are asset return tail estimations related to volatility long-range correlations?

Emmanuel Bacry, Alexey Kozhemyak, Jean-François Muzy
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Volume:
370
Year:
2006
Language:
english
Pages:
8
DOI:
10.1016/j.physa.2006.04.022
File:
PDF, 374 KB
english, 2006
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