search query: @indexterm term structure of interest rates / total: 111
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Author: | Abhyankar, A. Basu, D. |
Title: | Does conditioning information matter in estimating continuous time interest rate diffusions? |
Journal: | Journal of Financial and Quantitative Analysis
2001 : SEP, VOL. 36:3, p. 335-344 |
Index terms: | DIFFUSION INFORMATION TERM STRUCTURE OF INTEREST RATES |
Language: | eng |
Abstract: | The authors 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. The authors examine the bias created in estimating the drift by a specific form of conditioning, namely truncation. |
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