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: | , |
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| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
FUCAPE Business School
2015
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/1aad586942c647ea9288e899fea03512 |
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