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...

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Detalles Bibliográficos
Autores principales: José Antonio Núñez Mora, Arturo Lorenzo Valdés
Formato: Artículo científico
Publicado: Universidad Autónoma Metropolitana Unidad Azcapotzalco 2008
Materias:
Economía y Finanzas
Jumps
monte carlo
diffusion model
gibbs sampler
Acceso en línea:http://www.redalyc.org/articulo.oa?id=41311449003
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-022&d=41311449003oai
Aporte de:
Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO) de Consejo Latinoamericano de Ciencias Sociales
id I16-R122-41311449003oai
record_format dspace
institution Consejo Latinoamericano de Ciencias Sociales
institution_str I-16
repository_str R-122
collection Red de Bibliotecas Virtuales de Ciencias Sociales (CLACSO)
topic Economía y Finanzas
Jumps
monte carlo
diffusion model
gibbs sampler
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
topic_facet Economía y Finanzas
Jumps
monte carlo
diffusion model
gibbs sampler
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
Artículo científico
author José Antonio Núñez Mora
Arturo Lorenzo Valdés
author_facet José Antonio Núñez Mora
Arturo Lorenzo Valdés
author_sort José Antonio Núñez Mora
title Times and Sizes of Jumps in the Mexican Interest Rate
title_short 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_sort times and sizes of jumps in the mexican interest rate
publisher Universidad Autónoma Metropolitana Unidad Azcapotzalco
publishDate 2008
url http://www.redalyc.org/articulo.oa?id=41311449003
http://biblioteca.clacso.edu.ar/gsdl/cgi-bin/library.cgi?a=d&c=mx/mx-022&d=41311449003oai
work_keys_str_mv AT joseantonionunezmora timesandsizesofjumpsinthemexicaninterestrate
AT arturolorenzovaldes timesandsizesofjumpsinthemexicaninterestrate
bdutipo_str Repositorios
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