2023
DOI: 10.26794/2587-5671-2023-27-6-44-53
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Treatment of Missing Market Data: Case of bond Yield Curve Estimation

M. S. Makushkin,
V. A. Lapshin

Abstract: Missing observations in market data is a frequent problem in financial studies. The problem of missing data is often overlooked in practice. Missing data is mostly treated using ad hoc methods or just ignored. Our goal is to develop practical recommendations for treatment of missing observations in financial data. We illustrate the issue with an example of yield curve estimation on Russian bond market. We compare three methods of missing data imputation — last observation carried forward, Kalman filtering and … Show more

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