Times and Sizes of Jumps in the Mexican Interest Rate

dc.creatorJosé Antonio Núñez Mora
dc.creatorArturo Lorenzo Valdés
dc.date2008
dc.date2022-03-22T18:47:22Z
dc.date2022-03-22T18:47:22Z
dc.date.accessioned2023-08-23T15:53:13Z
dc.date.available2023-08-23T15:53:13Z
dc.identifierhttp://www.redalyc.org/articulo.oa?id=41311449003
dc.identifierhttp://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94415
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/8363048
dc.descriptionThis 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.
dc.formatapplication/pdf
dc.languageen
dc.publisherUniversidad Autónoma Metropolitana Unidad Azcapotzalco
dc.relationhttp://www.redalyc.org/revista.oa?id=413
dc.rightsAnálisis Económico
dc.sourceAnálisis Económico (México) Num.53 Vol.XXIII
dc.subjectEconomía y Finanzas
dc.subjectJumps
dc.subjectmonte carlo
dc.subjectdiffusion model
dc.subjectgibbs sampler
dc.titleTimes and Sizes of Jumps in the Mexican Interest Rate
dc.typeartículo científico


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