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...
Kaydedildi:
| Yayımlandı: | Análisis Económico |
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| Asıl Yazarlar: | , |
| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Universidad Autónoma Metropolitana
2008
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| Konular: | |
| Online Erişim: | https://www.redalyc.org/articulo.oa?id=41311449003 |
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