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

DOI10.3934/JDG.2020016zbMATH Open1455.91261OpenAlexW3039812757MaRDI QIDQ828017FDOQ828017

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

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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 (2)

• 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

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