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Jumps in the Kenyan Interest Rates

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dc.contributor.author Apaka Rangita, Silas N Onyango, Omolo Ongati, Otula Nyakinda
dc.date.accessioned 2020-11-30T08:57:58Z
dc.date.available 2020-11-30T08:57:58Z
dc.date.issued 2014-11-11
dc.identifier.uri https://repository.maseno.ac.ke/handle/123456789/3087
dc.description.abstract — 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 the weekly changes in the 91 day Kenyan treasury bills rates. We also compare the BJD process and the Pure Diffusion Process (PDP) in modeling these interest rates. We use the statistical software Eviews 6 to analyze the data. en_US
dc.publisher INTERNATIONAL JOURNAL OF MULTIDISCIPLINARY SCIENCES AND ENGINEERING en_US
dc.subject Jumps, Models, Diffusion and Bernoulli Mathematics Subject Classification: Primary 97K80, Secondary 97M30, 97K60, 91B26, 60G57 en_US
dc.title Jumps in the Kenyan Interest Rates en_US
dc.type Article en_US


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