Stochastic volatility, power laws and long memory

Benoît Mandelbrot

Quantitative Finance, 2001, vol. 1, issue 6, 558-559

Abstract: Benoit B Mandelbrot comments on the paper by Blake LeBaron, on page 621 of this issue, by tracing the merits and pitfalls of power-law scaling models from antiquity to the present.

Date: 2001
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DOI: 10.1080/713665999

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