Núm. 34 (2011)
Artículos

Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate

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  • José Antonio Núñez,
  • Elizabeth Ortega Benítez
José Antonio Núñez
ITESM
Biografía
Elizabeth Ortega Benítez
ITESM
Biografía
DOI: https://doi.org/10.24275/ETYPUAM/NE/342011/Nunez
Publicado junio 1, 2011
Palabras clave
  • exchange rate,
  • jumps,
  • transition density
Aviso de derechos de autor/a

Resumen

As an extension of the article by Núñez, De la Cruz and Ortega (2007), different
parametric models with jumps are tested with the methodology developed by Ait-Sahalia and Peng (2006), based on the transition function. Data analyzed are the peso-dollar exchange rate. The idea is to implement continuous-time parametric models to the pesodollar exchange rate. The results confirm that no continuous time model are not accurate enough to explain the behavior that describes the peso-dollar exchange rate, however, considering some continuous time models with Poisson jumps is possible to describe such behavior.

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Citas

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