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

DOI10.1016/J.CHAOS.2007.09.054zbMATH Open1198.91221OpenAlexW2079909209MaRDI QIDQ601336FDOQ601336

Authors: D. O. Cajueiro, Benjamin Miranda Tabak 

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

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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)

Cites Work

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• Estimating long-range dependence in the presence of periodicity: An empirical study
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• Time-varying long-range dependence in US interest rates
• Tests of long memory: a bootstrap approach
• Joint application of the Dickey-Fuller and KPSS tests
• A simple long-memory equilibrium interest rate model
• Ranking efficiency for emerging markets
• Ranking efficiency for emerging equity markets. II
• Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes.
• Long memory story of the real interest rate
• Testing for long-range dependence in world stock markets

Cited In (6)

• Macro‐Hysteresis Test for Brazilian Exports of Manufactured Products: A threshold Panel Approach
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models
• Identification and validation of stable ARFIMA processes with application to UMTS data

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