Before revision: We study a bivariate mean reverting stochastic volatility model , finding an explicit expression for the decay of cross-asset correlations over time. We compare our result with the empirical time series of the Dow Jones Industrial Average and the Financial Times Stock Exchange 100 in the period 1984-2013 , finding an excellent agreement.
After revision: We study a bivariate mean reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of the Dow Jones Industrial Average and the Financial Times Stock Exchange 100 in the period 1984-2013 , finding an excellent agreement.