Biagini, Francesca; Fink, Holger; Klüppelberg, Claudia - In: Stochastic Processes and their Applications 123 (2013) 4, pp. 1319-1347
Motivated by empirical evidence of long range dependence in macroeconomic variables like interest rates we propose a fractional Brownian motion driven model to describe the dynamics of the short and the default rate in a bond market. Aiming at results analogous to those for affine models we...