Times and Sizes of Jumps in the Mexican Interest Rate
José Antonio Núñez Mora*
Arturo Lorenzo Valdés**

Abstract
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.

Key words: Jumps, Monte Carlo, Diffusion model, Gibbs sampler.
JEL Classification: C22, G0.

* Profesor del Departamento de Contabilidad y Finanzas del Instituto Tecnológico y de Estudios Superiores de Monterrey, Campus Ciudad de México (janm@itesm.mx).
** Profesor del Departamento de Contabilidad y Finanzas del Instituto Tecnológico y de Estudios Superiores de Monterrey, Campus Ciudad de México (arvaldes@itesm.mx).

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