Search Results - subject:"interpolation."

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

-level basis term-structures across all maturities. Our approach can accommodate different term-structure interpolation methods …, including Nearest-Neighbor, spline, and Nelson-Siegel interpolation. Using the new methodology, we construct the full history of …

Persistent link: https://www.econbiz.de/10015408438

Solving stochastic OLG models using Chebyshev parameterized expectations

Ozbilgin, Murat; Kirkby, Robert - 2024

This paper presents an efficient solution method for solving stochastic overlapping generations (S-OLG) models. We use the Chebyshev parameterized expectation algorithm (C-PEA) developed by Christiano and Fisher (2000) to solve the life cycle block of S-OLGs. The method is well suited for this...

Persistent link: https://www.econbiz.de/10015051809

Comparing term structure estimation techniques: An exercise with Brazilian data

Stivali, Matheus; Fiorucci, José Augusto; Matsushita, … - 2024

This text evaluates the empirical models of the Term Structure of Interest Rates (TSIR), comparing the resulting estimates regarding goodness-of-fit, robustness to outliers, and smoothness. In addition to the descriptive statistics on these metrics, the Friedman test and the multiple comparison...

Persistent link: https://www.econbiz.de/10015130138

Solving stochastic OLG models using Chebyshev parameterized expectations

Ozbilgin, Murat; Kirkby, Robert - 2024

Persistent link: https://www.econbiz.de/10014578231

Comparing term structure estimation techniques : an exercise with Brazilian data

Stivali, Matheus; Fiorucci, José Augusto; Matsushita, … - 2024

Persistent link: https://www.econbiz.de/10015076001

Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities

Guterding, Daniel - In: Risks : open access journal 11 (2023) 5, pp. 1-24

We present a method for the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities, which … by recent progress in theoretical physics, offers a flexible and efficient framework for the arbitrage-free interpolation …

Persistent link: https://www.econbiz.de/10014332042

Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Dezhbakhsh, Hashem; Levy, Daniel C. - 2022

due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate … large standard-errors, making such inference imprecise. We assess analytically the effect of linear interpolation on a … nonstationary process. We find that interpolation indeed reduces shock-persistence, but the interpolated series can still exhibit …

Persistent link: https://www.econbiz.de/10014304175

Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration

Dezhbakhsh, Hashem; Levy, Daniel - In: Economics Letters 213 (2022)

be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view … generate large standard-errors, making such inference imprecise. We assess analytically the effect of linear interpolation on a … nonstationary process. We find that interpolation indeed reduces shock-persistence, but the interpolated series can still exhibit …

Persistent link: https://www.econbiz.de/10013164445

Interpolation and correlation

Franses, Philip Hans - In: Applied economics 54 (2022) 14, pp. 1562-1567

Persistent link: https://www.econbiz.de/10012875525

Residential property price indexes : spatial coordinates versus neighborhood dummy variables

Diewert, Walter E.; Shimizu, Chihiro - In: Review of income and wealth 68 (2022) 3, pp. 770-796

Persistent link: https://www.econbiz.de/10013384604