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

One consequence of the fact that a large number of agents with different behaviors operate in financial systems is the emergence of certain statistical properties in some time series. Some of these properties contradict the hypotheses that are established in the traditional models of efficient market and portfolio optimization. Among them is the long-range dependence that is the objective of this work. The approach is proposed by fractional calculus, as a generalization of the classic approach to financial markets through semi-martingales. This paper study the existence of this property in variables dependent on the term structure curves of Uruguayan sovereign debt after the 2002 economic crisis.