This document identifies non linear dependence events in the Mexican exchange rate (Mexican peso/U.S. Dollar), between January 1995 and September 2010. For this purpose the Hinich Portmanteau test, which uses a high frequency test to detect nonlinear episodes through small window functions, is...

In this paper we use Merton's (1976) model for pricing options when the underlying asset is driven by a mixed diffusion-jump process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax collection. In particular, the case of a...

This research aims at assessing the impact of the volatility of the exchange rate on inflation expectations and economic growth prospects in Mexico. In order to see whether there is some degree of causality, we will be using standard multivariate volatility model. The goal of this research is to...