Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate
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 continuo...
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Universidad Autónoma Metropolitana
2011-06-01
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doaj-66c771604c624e9fbfa078ac883e27f92020-11-24T22:25:23ZengUniversidad Autónoma MetropolitanaEconomía Teoría y Práctica0188-33802011-06-01344363Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange RateJosé Antonio NúñezElizabeth OrtegaAs 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.<br>Como una extensión del artículo de Núñez, De la Cruz y Ortega (2007), diferentes modelos paramétricos con saltos son probados con la metodología desarrollada por Ait-Sahalia y Peng (2006), basados en la función de transición. Los datos analizados corresponden al tipo de cambio peso-dólar. La idea es implantar modelos paramétricos de tiempo continuo para el tipo de cambio mencionado. Los resultados confirman que los modelos de tiempo continuo propuestos no son suficientemente buenos para explicar el comportamiento del tipo de cambio. Sin embargo, considerando algunos modelos de tiempo continuo con saltos de Poisson, es posible describir tal comportamiento.http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0188-33802011000100003tipo de cambiosaltosdensidad de transiciónexchange ratejumpstransition density |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
José Antonio Núñez Elizabeth Ortega |
spellingShingle |
José Antonio Núñez Elizabeth Ortega Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate Economía Teoría y Práctica tipo de cambio saltos densidad de transición exchange rate jumps transition density |
author_facet |
José Antonio Núñez Elizabeth Ortega |
author_sort |
José Antonio Núñez |
title |
Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate |
title_short |
Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate |
title_full |
Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate |
title_fullStr |
Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate |
title_full_unstemmed |
Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate |
title_sort |
continuous time models of interest rate: testing peso-dollar exchange rate |
publisher |
Universidad Autónoma Metropolitana |
series |
Economía Teoría y Práctica |
issn |
0188-3380 |
publishDate |
2011-06-01 |
description |
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.<br>Como una extensión del artículo de Núñez, De la Cruz y Ortega (2007), diferentes modelos paramétricos con saltos son probados con la metodología desarrollada por Ait-Sahalia y Peng (2006), basados en la función de transición. Los datos analizados corresponden al tipo de cambio peso-dólar. La idea es implantar modelos paramétricos de tiempo continuo para el tipo de cambio mencionado. Los resultados confirman que los modelos de tiempo continuo propuestos no son suficientemente buenos para explicar el comportamiento del tipo de cambio. Sin embargo, considerando algunos modelos de tiempo continuo con saltos de Poisson, es posible describir tal comportamiento. |
topic |
tipo de cambio saltos densidad de transición exchange rate jumps transition density |
url |
http://www.scielo.org.mx/scielo.php?script=sci_arttext&pid=S0188-33802011000100003 |
work_keys_str_mv |
AT joseantonionunez continuoustimemodelsofinterestratetestingpesodollarexchangerate AT elizabethortega continuoustimemodelsofinterestratetestingpesodollarexchangerate |
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