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

José Antonio Núñez. () and Elizabeth Ortega. ()
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José Antonio Núñez.: Instituto Tecnológico y de Estudios Superiores de Monterrey, México.
Elizabeth Ortega.: Instituto Tecnológico y de Estudios Superiores de Monterrey, México.

Economía: teoría y práctica, 2011, vol. 34, issue 1, 43-63

Abstract: 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.

Keywords: exchange rate; jumps; transition density. (search for similar items in EconPapers)
JEL-codes: G2 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ety:journl:v:34:y:2011:i:1:p:43-63

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