Term structure estimation with missing data: Application for emerging markets

Krisztina Nagy

The Quarterly Review of Economics and Finance, 2020, vol. 75, issue C, 347-360

Abstract: This paper addresses the challenge of estimating the term structure of interest rates with missing data. There is a void in the term structure literature when it comes to estimation techniques addressing the challenge of sparse bond price data. Our aim is twofold: (1) to establish an estimation technique that can deal with the missing data problem, and (2) to apply this technique to estimate the term structure of interest rates in Hungary. Hungary offers a unique test of the state-space methodology because it is a relatively developed and stable economy while the bond market is not mature. We show that state-space form of the Nelson–Siegel yield curve can provide efficient estimation in the presence of missing data.

Keywords: Term structure; Yield curve; Factor model; Nelson–Siegel curve; Emerging markets; State-space models (search for similar items in EconPapers)
JEL-codes: C5 E4 G1 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:75:y:2020:i:c:p:347-360

DOI: 10.1016/j.qref.2019.04.002

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