%0 Journal Article
%T Continuous Time Models of Interest Rate: Testing Peso-Dollar Exchange Rate
%A N¨²£¿ez
%A Jos¨¦ Antonio
%A Ortega
%A Elizabeth
%J Econom¨ªa: teor¨ªa y pr¨¢ctica
%D 2011
%I UAM, Unidad Iztapalapa, Departamento de Econom¨ªa
%X as an extension of the article by n¨²£¿ez, 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.
%K exchange rate
%K jumps
%K transition density.
%U http://www.scielo.org.mx/scielo.php?script=sci_abstract&pid=S0188-33802011000100003&lng=en&nrm=iso&tlng=en