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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| Materias: | |
| Acceso en línea: | http://www.redalyc.org/articulo.oa?id=41311449003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94415 |
| _version_ | 1782335443440762880 |
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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 | Repositorio |
| 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. |
| format | artículo científico |
| id | clacso-CLACSO94415 |
| institution | CLACSO, Repositorio Digital |
| language | Inglés |
| publishDate | 2008 |
| publisher | Universidad Autónoma Metropolitana Unidad Azcapotzalco |
| record_format | greenstone |
| spelling | clacso-CLACSO944152022-03-22T18:47:22Z Times and Sizes of Jumps in the Mexican Interest Rate José Antonio Núñez Mora Arturo Lorenzo Valdés Economía y Finanzas Jumps monte carlo diffusion model gibbs sampler 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. 2008 2022-03-22T18:47:22Z 2022-03-22T18:47:22Z artículo científico http://www.redalyc.org/articulo.oa?id=41311449003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94415 en http://www.redalyc.org/revista.oa?id=413 Análisis Económico application/pdf Universidad Autónoma Metropolitana Unidad Azcapotzalco Análisis Económico (México) Num.53 Vol.XXIII |
| spellingShingle | Economía y Finanzas Jumps monte carlo diffusion model gibbs sampler José Antonio Núñez Mora Arturo Lorenzo Valdés Times and Sizes of Jumps in the Mexican Interest Rate |
| 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 |
| topic | Economía y Finanzas Jumps monte carlo diffusion model gibbs sampler |
| url | http://www.redalyc.org/articulo.oa?id=41311449003 http://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/94415 |