Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series … develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information … interpolation but again be reduced with multivariate approaches, including factor-based ones. …

the Kalman filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a …

the Kalman filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a …

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series … develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information … interpolation but again be reduced with multivariate approaches, including factor-based ones. …

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series … develop an interpolation method that exploits the estimated factors as an efficient summary of all the available information … interpolation but again be reduced with multivariate approaches, including factor-based ones. JEL Classification: C32, C43, C82 …

the Kalman Filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a …