Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices

DOI10.3934/jdg.2020016zbMath1455.91261OpenAlexW3039812757MaRDI QIDQ828017

Juan Kalemkerian, Andrés Sosa

Publication date: 14 January 2021

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jdg.2020016

zbMATH Keywords

fractional calculuslong-range dependencefinancial marketsvolatilitysovereign debt

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Estimation and pricing under long-memory stochastic volatility
• Martingale methods in financial modelling.
• Interest rate models -- theory and practice. With smile, inflation and credit
• The detection and estimation of long memory in stochastic volatility
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Fractional {O}rnstein-{U}hlenbeck processes
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Structural change and economic dynamics: rethinking from the complexity approach
• Economic evolution and uncertainty: transitions and structural changes
• Stochastic volatility and fractional Brownian motion
• Financial Data and the Skewed Generalized T Distribution
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Long‐Memory Time Series
• Theory of Financial Risk and Derivative Pricing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Empirical properties of asset returns: stylized facts and statistical issues
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stochastic Calculus for Fractional Brownian Motion and Applications

This page was built for publication: Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices