Estimating stochastic volatility models through indirect inference
From MaRDI portal
Publication:6166856
DOI10.1111/1368-423x.11007MaRDI QIDQ6166856
Publication date: 7 July 2023
Published in: The Econometrics Journal (Search for Journal in Brave)
stochastic differential equationindirect inferencecontrol variatesEuler discretizationvariance reduction techniquesshort-term interest rateefficient Monte Carlo
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