Testing for long-range dependence in the Brazilian term structure of interest rates
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Cites work
- scientific article; zbMATH DE number 192842 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 3794378 (Why is no real title available?)
- A simple long-memory equilibrium interest rate model
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Empirical evidence on the relationship between the term structure of interest rates and future real output changes when there are changes in policy regimes.
- Estimating long-range dependence in the presence of periodicity: An empirical study
- Estimating long-range dependence: Finite sample properties and confidence intervals
- Generalized autoregressive conditional heteroscedasticity
- Joint application of the Dickey-Fuller and KPSS tests
- Long memory story of the real interest rate
- Long-Term Memory in Stock Market Prices
- Long-term dependence in stock returns
- Nonlinear interest rate dynamics and implications for the terms structure
- On blocking rules for the bootstrap with dependent data
- Ranking efficiency for emerging equity markets. II
- Ranking efficiency for emerging markets
- Rescaled variance and related tests for long memory in volatility and levels
- Stock market prices and long-range dependence
- Testing for a unit root in time series regression
- Testing for long-range dependence in world stock markets
- 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?
- Tests of long memory: a bootstrap approach
- Time-varying long-range dependence in US interest rates
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
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- 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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