Apaka Rangita, Silas N Onyango, Omolo Ongati, Otula Nyakinda
(INTERNATIONAL JOURNAL OF MULTIDISCIPLINARY SCIENCES AND ENGINEERING, 2014-11-11)
— In this paper, we use the Bernoulli Jump Diffusion
(BJD) process to test for the existence and probability of jumps
in the Kenyan interest rates. We test these using the Maximum
Likelihood Estimation (MLE) method on ...