Time-varying long-range dependence in US interest rates

DOI10.1016/j.chaos.2006.04.012zbMath1127.62099OpenAlexW2078692501MaRDI QIDQ2468080

Benjamin Miranda Tabak, Daniel O. Cajueiro

Publication date: 30 January 2008

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2006.04.012

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84)

Related Items (6)

Pricing credit derivatives under fractional stochastic interest rate models with jumps ⋮ Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ Identification and validation of stable ARFIMA processes with application to UMTS data ⋮ A new hybrid approach for nonlinear stochastic differential equations driven by multifractional Gaussian noise ⋮ Markov regime switching in mean and in fractional integration parameter ⋮ Synthesis of multifractional Gaussian noises based on variable-order fractional operators

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