Testing for long-range dependence in the Brazilian term structure of interest rates

DOI10.1016/j.chaos.2007.09.054zbMath1198.91221OpenAlexW2079909209MaRDI QIDQ601336

Benjamin Miranda Tabak, Daniel O. Cajueiro

Publication date: 4 November 2010

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

Full work available at URL: https://repositorio.ucb.br:9443/jspui/handle/123456789/7550

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Credit risk (91G40)

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