Biblioteca Digital de VanguardiaTimes and Sizes of Jumps in the Mexican Interest Rate
This paper examines the role of jumps in a continuous-time short-term interest rate model for Mexico. A filtering algorithm provides estimates of jumps times and sizes in the time series of Mexican cetes for the 1998-2006 period. The empirical results indicate that the inclusion of jumps in the diff...
| Autores principales: | , |
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| Formato: | artículo científico |
| Lenguaje: | Inglés |
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Universidad Autónoma Metropolitana Unidad Azcapotzalco
2008
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| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=41311449003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94415 |
| Sumario: | This paper examines the role of jumps in a continuous-time short-term interest rate model for Mexico. A filtering algorithm provides estimates of jumps times and sizes in the time series of Mexican cetes for the 1998-2006 period. The empirical results indicate that the inclusion of jumps in the diffusion model represents a better alternative than not to include them. |
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