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

DOI10.3934/JDG.2020016MaRDI QIDQ828017zbMATHOpenAlexFDO

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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