Resumen
As an extension of the article by Núñez, De la Cruz and Ortega (2007), differentparametric 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 to the pesodollar exchange rate. The results confirm that no continuous time model are not accurate 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.