摘要：As.an.extension.of.the.article.by.Nú.ez,.De.la.Cruz.and.Ortega.(2007),.different.parametric.models.with.jumps.are.tested with the methodology developed by Ait-Sahalia and Peng (2006), based on the transition function. Data analyzed are the peso-dollar exchange rate. The idea is to implement continuous-time parametric models for the peso-dollar exchange rate. The results confirm that the proposed continuous time models are not good enough to explain the behavior that describes the peso-dollar exchange rate. However, considering some continuous time models with Poisson jumps is possible to describe such behavior
