SciELO - Scientific Electronic Library Online

 
 issue34La hipótesis de la inestabilidad financiera y la crisis de 2007-2009El efecto de la tecnología en las exportaciones manufactureras mexicanas hacia Estados Unidos author indexsubject indexsearch form
Home Pagealphabetic serial listing  

Economía: teoría y práctica

Print version ISSN 0188-3380

Abstract

NUNEZ, José Antonio  and  ORTEGA, Elizabeth. Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate. Econ: teor. práct [online]. 2011, n.34, pp. 43-63. ISSN 0188-3380.

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 peso-dollar 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.

Keywords : exchange rate; jumps; transition density.

        · abstract in Spanish     · text in English     · pdf in English