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...
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
FUCAPE Business School
2015
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/1aad586942c647ea9288e899fea03512 |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|