Time-varying long-range dependence in US interest rates (Q2468080)

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Language	Label	Description	Also known as
English	Time-varying long-range dependence in US interest rates	scientific article

Statements

scholarly article

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Time-varying long-range dependence in US interest rates (English)

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Chaos, Solitons and Fractals

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publication date

30 January 2008

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Daniel O. Cajueiro

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Benjamin Miranda Tabak

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.chaos.2006.04.012

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The rescaled variance statistic and the determination of the Hurst exponent

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Testing for long range dependence in banking equity indices

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Option pricing of a mixed fractional-fractional version of the Black-Scholes model

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Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model

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A simple long-memory equilibrium interest rate model

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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Rescaled variance and related tests for long memory in volatility and levels

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Fractional differencing

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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Long-Term Memory in Stock Market Prices

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Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing

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Estimating long-range dependence in the presence of periodicity: An empirical study

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Inflation and relaxation to equilibrium in a complex economic system

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Testing for a unit root in time series regression

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A dynamic general disequilibrium model of a sequential monetary production economy

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Gaussian semiparametric estimation of long range dependence

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ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

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Long memory story of the real interest rate

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Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).

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A fractional version of the Merton model.

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Stock market prices and long-range dependence

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CHAOS.2006.04.012

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Sitelinks

Mathematics(1 entry)

mardi Publication:2468080

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