Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure

Tørres G. Trovik and Couro Kane-Janus

Chapter 16 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 325-336 from Palgrave Macmillan

Abstract: Abstract Data are needed when modelling the interaction between relevant variables in the financial markets. While market related data for many assets are available on an intraday frequency, some variables such as accounting information, macro-related variables or privately traded and less liquid assets are only observable on a lower frequency, typically quarterly.

Keywords: Interpolation Method; Term Structure; Asset Allocation; Quarterly Data; Dividend Yield (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1057/9780230251298_16

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