Times and Sizes of Jumps in the Mexican Interest Rate

Autores/as

  • José Antonio Núñez Mora Instituto Tecnológico y de Estudios Superiores de Monterrey
  • Arturo Lorenzo Valdés Instituto Tecnológico y de Estudios Superiores de Monterrey

Palabras clave:

Jumps, Monte Carlo, Diffusion model, Gibbs sampler

Resumen

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.

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Citas

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Gihkman, I. and A.V. Skorohod (1972). Stochastic Differential Equations. New York: Springer-Verlag.

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Johannes, M. (2004). “The statistical and economic role of jumps in continuous time interest rate models”, The Journal of finance , lix, 1, 227-260

Núñez Mora, José A. and A. Lorenzo (2007). “Jumps in a Continuous Time Interest Model in Mexico”, Colombian Accounting Journal, to appear.

Stanton, Richard (1997). “A nonparametric model of the term structure dynamics and the market price of interest rate risk”, Journal of Finance, 52, 1973-2002.

Zhou, Hao (1999). Jump diffusion term structure and the Itô conditional moment generator, Working Paper, Duke University.

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Publicado

2024-07-23

Cómo citar

Núñez Mora, J. A., & Lorenzo Valdés, A. (2024). Times and Sizes of Jumps in the Mexican Interest Rate. Análisis Económico, 23(53), 35–45. Recuperado a partir de https://analisiseconomico.azc.uam.mx/index.php/rae/article/view/1317

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