文章基本信息

标题：Times and Sizes of Jumps in the Mexican Interest Rate
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作者：José Antonio Núñez Mora ; Arturo Lorenzo Valdés
期刊名称：Análisis Económico
印刷版ISSN：0185-3937
出版年度：2008
卷号：XXIII
期号：53
页码：35-45
语种：English
出版社：Universidad Autónoma Metropolitana
其他摘要：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.
关键词：Jumps; monte carlo; diffusion model; gibbs sampler