Times 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...
Guardado en:
| Autores principales: | José Antonio Núñez Mora, Arturo Lorenzo Valdés |
|---|---|
| Formato: | Artículo científico |
| Publicado: |
Universidad Autónoma Metropolitana Unidad Azcapotzalco
2008
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| Materias: | |
| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=41311449003 http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-022&d=41311449003oai |
| Aporte de: |
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