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

Listed author(s):
  • Elizabeth Ortega


    (Tecnologico de Monterrey)

  • Nuñez José-Antonio


    (Tecnologico de Monterrey)

Registered author(s):

    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.

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    Article provided by AccessEcon in its journal Economics Bulletin.

    Volume (Year): 29 (2009)
    Issue (Month): 4 ()
    Pages: 1-29

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    Handle: RePEc:ebl:ecbull:eb-09-00781
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