Time-varying long-range dependence in US interest rates

DOI10.1016/J.CHAOS.2006.04.012zbMATH Open1127.62099OpenAlexW2078692501MaRDI QIDQ2468080FDOQ2468080

Authors: D. O. Cajueiro, Benjamin Miranda Tabak 

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

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Mathematics Subject Classification ID

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

Cites Work

• Fractional differencing
• Gaussian semiparametric estimation of long range dependence
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for a unit root in time series regression
• Long-Term Memory in Stock Market Prices
• 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?
• Rescaled variance and related tests for long memory in volatility and levels
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
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• A fractional version of the Merton model.
• Option pricing of a mixed fractional-fractional version of the Black-Scholes model
• Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
• A simple long-memory equilibrium interest rate model
• Long memory story of the real interest rate
• The rescaled variance statistic and the determination of the Hurst exponent
• A dynamic general disequilibrium model of a sequential monetary production economy
• Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
• Nonlinear Phillips curves, complex dynamics and monetary policy in a Keynesian macro model
• Testing for long range dependence in banking equity indices

Cited In (11)

• A new hybrid approach for nonlinear stochastic differential equations driven by multifractional Gaussian noise
• Markov regime switching in mean and in fractional integration parameter
• Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
• On the order of integration of monthly US ex-ante and ex-post real interest rates: new evidence from over a century of data
• Testing for long-range dependence in the Brazilian term structure of interest rates
• Synthesis of multifractional Gaussian noises based on variable-order fractional operators
• Evidence for state transition and altered serial codependence in US$ interest rates
• Analysis of drawdowns and drawups in the US$ interest-rate market
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Pricing credit derivatives under fractional stochastic interest rate models with jumps
• The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship

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