On identification of continuous time stochastic processes

Jeremy Berkowitz

No 2000-07, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note we delineate conditions under which continuous time stochastic processes can be identified from discrete data. The identification problem is approached in a novel way. The distribution of the observed stochastic process is expressed as the underlying true distribution, f, transformed by some operator, T. Using a generalization of the Taylor series expansion, the transformed function T f can often be expressed as a linear combination of the original function f. By combining the information across a large number of such transformations, the original measurable function of interest can be recovered.

Keywords: Interest rates; Asset pricing; Econometric models (search for similar items in EconPapers)
Date: 2000
New Economics Papers: this item is included in nep-ecm and nep-fin
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