Does Conditioning Information Matter in Estimating Continuous Time Interest Rate Diffusions?
研究动态期限结构模型估计中条件信息的作用，特别是截断导致的漂移估计偏差，发现该偏差使常用短期利率模型的漂移呈现非线性结构。
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.