IDEAS home Printed from
   My bibliography  Save this article

Continuous time models of interest rate: testing peso-dollar exchange rate


  • Elizabeth Ortega

    () (Tecnologico de Monterrey)

  • Nuñez José-Antonio

    () (Tecnologico de Monterrey)


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 for the peso-dollar exchange rate. The results confirm that the proposed continuous time models are not good 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.

Suggested Citation

  • Elizabeth Ortega & Nuñez José-Antonio, 2009. "Continuous time models of interest rate: testing peso-dollar exchange rate," Economics Bulletin, AccessEcon, vol. 29(4), pages 1-29.
  • Handle: RePEc:ebl:ecbull:eb-09-00781

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Sorensen, Donald E., 2000. "Characteristics of merging firms," Journal of Economics and Business, Elsevier, vol. 52(5), pages 423-433.
    2. Christian Andres & André Betzer & Charlie Weir, 2007. "Shareholder wealth gains through better corporate governance—The case of European LBO-transactions," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(4), pages 403-424, December.
    3. Jensen, Michael C. & Meckling, William H., 1976. "Theory of the firm: Managerial behavior, agency costs and ownership structure," Journal of Financial Economics, Elsevier, vol. 3(4), pages 305-360, October.
    4. Kobayashi, Mami, 2007. "Ownership structure, shareholder intervention, and success in takeovers," Japan and the World Economy, Elsevier, vol. 19(4), pages 425-440, December.
    5. Halpern, Paul & Kieschnick, Robert & Rotenberg, Wendy, 1999. "On the Heterogeneity of Leveraged Going Private Transactions," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 281-309.
    6. Renneboog, Luc & Simons, Tomas & Wright, Mike, 2007. "Why do public firms go private in the UK? The impact of private equity investors, incentive realignment and undervaluation," Journal of Corporate Finance, Elsevier, vol. 13(4), pages 591-628, September.
    7. Jensen, Michael C, 1986. "Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers," American Economic Review, American Economic Association, vol. 76(2), pages 323-329, May.
    8. Gurvinder Brar & Daniel Giamouridis & Manolis Liodakis, 2009. "Predicting European Takeover Targets," European Financial Management, European Financial Management Association, vol. 15(2), pages 430-450.
    9. Song, Moon H. & Walkling, Ralph A., 1993. "The Impact of Managerial Ownership on Acquisition Attempts and Target Shareholder Wealth," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(04), pages 439-457, December.
    10. McFadden, Daniel, 1974. "The measurement of urban travel demand," Journal of Public Economics, Elsevier, vol. 3(4), pages 303-328, November.
    11. Espahbodi, Hassan & Espahbodi, Pouran, 2003. "Binary choice models and corporate takeover," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 549-574, April.
    12. Phillippe Desbrières & Alain Schatt, 2002. "The Impacts of LBOs on the Performance of Acquired Firms: The French Case," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(5&6), pages 695-729.
    13. repec:ebl:ecbull:v:9:y:2007:i:3:p:1-9 is not listed on IDEAS
    14. Salavrakos, Ioannis-Dionysios & Petrochilos, George A., 2003. "An assessment of the Greek entrepreneurial activity in the Black Sea area (1989-2000): causes and prospects," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 32(3), pages 331-349, July.
    15. David Cantarero & Marta Pascual, 2007. "Obesity and socio-economic inequalities in spain: evidence from the ECHP," Economics Bulletin, AccessEcon, vol. 9(3), pages 1-9.
    16. Cudd, Mike & Duggal, Rakesh, 2000. "Industry Distributional Characteristics of Financial Ratios: An Acquisition Theory Application," The Financial Review, Eastern Finance Association, vol. 35(1), pages 105-120, February.
    17. Lehn, Kenneth & Poulsen, Annette, 1989. " Free Cash Flow and Stockholder Gains in Going Private Transactions," Journal of Finance, American Finance Association, vol. 44(3), pages 771-787, July.
    18. Palepu, Krishna G., 1986. "Predicting takeover targets : A methodological and empirical analysis," Journal of Accounting and Economics, Elsevier, vol. 8(1), pages 3-35, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • F3 - International Economics - - International Finance


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-09-00781. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.