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A quarterly fiscal database for the euro area based on intra-annual fiscal information

Paredes, Joan; Pedregal, Diego J.; Pérez, Javier J. - European Central Bank - 2009

intra-annual fiscal information for interpolation purposes allows us to capture genuine intra-annual "fiscal" dynamics in …

Persistent link: https://www.econbiz.de/10008502694

Quantitative Breuer-Major Theorems

Nourdin, Ivan; Peccati, Giovanni; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2010

$ is a sufficiently smooth test function. Our methods are based on Malliavin calculus, on interpolation techniques and on …

Persistent link: https://www.econbiz.de/10008552197

Bayesian Methods for Completing Data in Space-Time Panel Models

Llano, Carlos; Polasek, Wolfgang; Sellner, Richard - Rimini Centre for Economic Analysis (RCEA) - 2009

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

Persistent link: https://www.econbiz.de/10008498050

Imputation and Price Indexes: Theory and Evidence from the International Price Program

Feenstra, Robert; Diewert, Erwin - Economics Department, University of California-Davis - 2003

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 … the price index: (3) linear interpolation results in less fluctuation of prices than the true series: (4) combining either …

Persistent link: https://www.econbiz.de/10008498106

Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil

Varga, Gyorgy - Volkswirtschaftliche Fakultät, … - 2009

We apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large...

Persistent link: https://www.econbiz.de/10008529234

PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD

GAUDENZI, MARCELLINO; LEPELLERE, MARIA ANTONIETTA - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 533-553

barrier options improving the efficiency of the trinomial methods. Our approach is based on a suitable interpolation of …

Persistent link: https://www.econbiz.de/10004971756

Pooling-based data interpolation and backdating

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2005

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...

Persistent link: https://www.econbiz.de/10005124455

A mathematical estimate within economic discounting computations

Elena, CIOLAC Camelia - In: Economia. Seria Management 12 (2009) 2 Special, pp. 103-108

The paper aims to evaluate the opportunity of using mathematic estimation models within economic discounting computation. Several approximation models from the numerical methods theory will be considered in order to determine the evolution trend for investment projects’ economic indicators....

Persistent link: https://www.econbiz.de/10005002673

Principal components analysis of sampled functions

Besse, Philippe; Ramsay, J. - In: Psychometrika 51 (1986) 2, pp. 285-311

Persistent link: https://www.econbiz.de/10005166512

Estimating The Term Structure of Interest Rates: The Swiss Case

Meier, Iwan - Swiss National Bank, Study Center Gerzensee - 1999

Parametric estimation approaches are widely by central banks as they produce smooth term structures with relatively few parameters. In the paper I implement the Nelson and Siegel (1987) model for Switzerland. The estimations use daily observations of Swiss government bonds from January 1994 to...

Persistent link: https://www.econbiz.de/10005176997