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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 …

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 …

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

Trend Extraction From Time Series With Missing Observations

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 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 some data points are missing. This note proposes a method for coping with this problem.

Persistent link: https://www.econbiz.de/10005187274

Trend Extraction From Time Series With Structural Breaks

Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 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/10005187327

Interpolation Methods for Curve Construction

Hagan, Patrick; West, Graeme - In: Applied Mathematical Finance 13 (2006) 2, pp. 89-129

This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for … issue of bootstrapping is reviewed and how the interpolation algorithm should be intimately connected to the bootstrap … (or indeed an inhouse developer) as a viable option for yield curve interpolation. As will be seen, many of these methods …

Persistent link: https://www.econbiz.de/10005462510