Term structure of interest models: concept and estimation problem in a continuous-time setting

Orazio Di Miscia
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Orazio Di Miscia: Banca Intesa

Finance from University Library of Munich, Germany

Abstract: Continuous-time models have a large range of applications. They have been used for a long time to model phenomena evolving randomly and continuously in time. However, data are essentially always recorded at discrete points in time only and this is one of the main source of difficulties when the researcher is interested about their estimation. This paper review some of the estimation problems and focus the attention about the link between continuous-time stochastic process and the estimation of term structure interest rate.

Keywords: sde; discretization error (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 24 pages
Date: 2005-04-19
New Economics Papers: this item is included in nep-mon
Note: Type of Document - pdf; pages: 24
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504017

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