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

as an extension of the article by nú？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.