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

DOI10.3934/JDG.2020016MaRDI QIDQ828017zbMATH OpenOpenAlexFDO

Authors 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

long-range dependencevolatilityfractional calculusfinancial marketssovereign debt

Mathematics Subject Classification ID

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

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Cited in

(4)

• 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
• Long-range dependence in the risk-neutral measure for the market on Lehman Brothers collapse
• Did long-memory of liquidity signal the European sovereign debt crisis?

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