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Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure

In: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Author

Listed:
  • Tørres G. Trovik
  • Couro Kane-Janus

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.

Suggested Citation

  • Tørres G. Trovik & Couro Kane-Janus, 2010. "Estimating Mixed Frequency Data: Stochastic Interpolation with Preserved Covariance Structure," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 16, pages 325-336, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-25129-8_16
    DOI: 10.1057/9780230251298_16
    as

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