Times and Sizes of Jumps in the Mexican Interest Rate
Palabras clave:
Jumps, Monte Carlo, Diffusion model, Gibbs samplerResumen
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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Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-SinDerivadas 4.0.
