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...

Distinct parametric models in continuous time for the interest rates are tested by means of a comparative analysis of the implied parametric and nonparametric densities. In this research the statistic developed by Ait-Sahalia (1996a) has been applied to the Mexican CETES (28 days) interest rate...

Distinct parametric models in continuous time for the interest rates are tested by means of a comparative analysis of the implied parametric and nonparametric densities. In this research the statistic developed by Ait-Sahalia (1996a) has been applied to the Mexican CETES (28 days) interest rate...

This paper examines the sustainability of the Mexican current account deficit prior to the December 1994 crisis. It tests whether or not the Mexican economy was satisfying its intertemporal budget constraint, and finds that signals of possible trouble without a change in policies were present...