Jump Diffusion Modelling for the Brazilian Short-Term Interest Rate

In order to capture the informational effect of the Brazilian short-term interest rate (SELIC rate) by Poisson jumps, we build on the tests condu cted by Das (2002) and Johannes (2004), which show the significance of such structures for U.S. Federal Open Market Committee (FOMC) announ...

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Autores principales: José Carlos Nogueira Cavalcante Filho, Edson Daniel Lopes Gonçalves
Formato: article
Lenguaje:EN
PT
Publicado: FUCAPE Business School 2015
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Acceso en línea:https://doaj.org/article/1aad586942c647ea9288e899fea03512
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