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Does conditioning information matter in estimating continuous time interest rate diffusions?

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UNSPECIFIED (2001) Does conditioning information matter in estimating continuous time interest rate diffusions? JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 36 (3). pp. 335-344.

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Abstract

We examine an important aspect of empirical estimation of term structure models; the role of conditioning information in dynamic term structure models. The use of both real world or simulated data implicitly incorporates conditioning information. We examine the bias created in estimating the drift by a specific form of conditioning, namely truncation. Using the theory of enlargement of filtrations we provide estimates of the extent of this truncation bias for commonly used short rate models. We find that this truncation bias causes the drift of these models to have a nonlinear structure.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
H Social Sciences > HC Economic History and Conditions
Journal or Publication Title: JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
Publisher: UNIV WASHINGTON SCH BUSINESS & ADMINISTRATION
ISSN: 0022-1090
Official Date: September 2001
Dates:
DateEvent
September 2001UNSPECIFIED
Volume: 36
Number: 3
Number of Pages: 10
Page Range: pp. 335-344
Publication Status: Published

Data sourced from Thomson Reuters' Web of Knowledge

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