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Spatial Chow-Lin models for completing growth rates in cross-sections

Polasek, Wolfgang - 2013

Growth rate data that are collected incompletely in cross-sections is a quite frequent problem. Chow and Lin (1971) have developed a method for predicting unobserved disaggregated time series and we propose an extension of the procedure for completing cross-sectional growth rates similar to the...

Persistent link: https://www.econbiz.de/10010293994

Bayesian methods for completing data in space-time panel models

Llano, Carlos; Polasek, Wolfgang; Sellner, Richard - 2009

the first to develop a united framework for the three problems (interpolation, extrapolation and distribution) of …

Persistent link: https://www.econbiz.de/10010294002

Modellierung von Zinsstrukturkurven

Hewicker, Harald; Cremers, Heinz - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Persistent link: https://www.econbiz.de/10010305888

Chow-Lin x N: How adding a panel dimension can improve accuracy

Bettendorf, Timo; Bursian, Dirk - 2017

Single equation models are well established among academics and practitioners to perform temporal disaggregation of low frequency time series using available related series. In this paper, we propose an extension that exploits information from the cross-sectional dimension. More specifically, we...

Persistent link: https://www.econbiz.de/10011649428

Arbitrage-free interpolation of call option prices

Bender, Christian; Thiel, Matthias - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 55-78

Abstract In this paper, we introduce a new interpolation method for call option prices and implied volatilities with … static arbitrage. Our interpolation method is based on a distortion of the call price function of an arbitrage-free financial … one-dimensional interpolation method on every input maturity and interpolating the generated curves in the maturity …

Persistent link: https://www.econbiz.de/10014621270

Input-dependent estimation of generalization error under covariate shift

Sugiyama, Masashi; Müller, Klaus-Robert - In: Statistics & Decisions 23 (2005) 4, pp. 249-279

probability distribution. However, this assumption is not fulfilled, e.g., in interpolation, extrapolation, active learning, or …

Persistent link: https://www.econbiz.de/10014621310

Estimation of the parameters of stochastic differential equations

Jeisman, Joseph Ian - 2006

approach involves the use of an interpolation technique proposed in this thesis which greatly reduces the required …

Persistent link: https://www.econbiz.de/10009437988

Trend Extraction From Time Series With Structural Breaks and Missing Observations

Schlicht, Ekkehart - 2008

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...

Persistent link: https://www.econbiz.de/10010427520

Imputation and price indexes: Theory and evidence from the international price program

Feenstra, Robert C.; Diewert, W. Erwin - 2000

related commodities; and linear interpolation, which uses the last and next observations for the item to linearly interpolate …. Certain hybrid techniques, combining either carry-forward or cell-mean with linear interpolation, are also considered. Our … price index: (3) linear interpolation results in less fluctuation of prices than the true series: (4) combining either carry …

Persistent link: https://www.econbiz.de/10010318606

Trend extraction from time series with structural breaks

Schlicht, Ekkehart - 2007

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. A practical problem arises, however, when the time series contains structural breaks (such as produced by German unification for German time series, for...

Persistent link: https://www.econbiz.de/10003470549