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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Autónoma Metropolitana
2008-01-01
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| Series: | Análisis Económico |
| Online Access: | http://www.redalyc.org/articulo.oa?id=41311449003 |