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 |
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Universidad Autónoma Metropolitana
2008-01-01
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| Series: | Análisis Económico |
| Online Access: | http://www.redalyc.org/articulo.oa?id=41311449003 |
| _version_ | 1827333684408090624 |
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| author | José Antonio Núñez Mora Arturo Lorenzo Valdés |
| author_facet | José Antonio Núñez Mora Arturo Lorenzo Valdés |
| author_sort | José Antonio Núñez Mora |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-07T17:31:57Z |
| format | Article |
| id | doaj.art-5d68f823a61c43578e4a8ed958efb35b |
| institution | Directory Open Access Journal |
| issn | 0185-3937 |
| language | English |
| last_indexed | 2024-03-07T17:31:57Z |
| publishDate | 2008-01-01 |
| publisher | Universidad Autónoma Metropolitana |
| record_format | Article |
| series | Análisis Económico |
| spelling | doaj.art-5d68f823a61c43578e4a8ed958efb35b2024-03-02T17:35:09ZengUniversidad Autónoma MetropolitanaAnálisis Económico0185-39372008-01-0123533545Times and Sizes of Jumps in the Mexican Interest RateJosé Antonio Núñez MoraArturo Lorenzo ValdésThis 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.http://www.redalyc.org/articulo.oa?id=41311449003 |
| spellingShingle | José Antonio Núñez Mora Arturo Lorenzo Valdés Times and Sizes of Jumps in the Mexican Interest Rate Análisis Económico |
| title | Times and Sizes of Jumps in the Mexican Interest Rate |
| title_full | Times and Sizes of Jumps in the Mexican Interest Rate |
| title_fullStr | Times and Sizes of Jumps in the Mexican Interest Rate |
| title_full_unstemmed | Times and Sizes of Jumps in the Mexican Interest Rate |
| title_short | Times and Sizes of Jumps in the Mexican Interest Rate |
| title_sort | times and sizes of jumps in the mexican interest rate |
| url | http://www.redalyc.org/articulo.oa?id=41311449003 |
| work_keys_str_mv | AT joseantonionunezmora timesandsizesofjumpsinthemexicaninterestrate AT arturolorenzovaldes timesandsizesofjumpsinthemexicaninterestrate |