Previous studies focusing on the intra‐distribution dynamics analysis have usually computed, in a Markov chain framework, discrete‐time transition matrices. Such an approach, however, can involve some limitations, especially when using stock variables. In order to illustrate the importance of the time‐scale issue when estimating transition matrices, this paper applies both discrete and continuous‐time approaches to a set of cross‐national European data on per capita wealth for the period 2000–10. The results reveal, on the one hand, that the continuous‐time estimation provides a most accurate estimation of transition probabilities and, on the other, that the differences between both approaches are especially remarkable in the long‐term equilibrium distribution.