Control variates for variance reduction in indirect inference: Interest rate models in continuous time
From MaRDI portal
Publication:6166855
DOI10.1111/1368-423x.11006MaRDI QIDQ6166855
Gabriele Fiorentini, Francesca Di Iorio, Giorgio Calzolari
Publication date: 7 July 2023
Published in: The Econometrics Journal (Search for Journal in Brave)
stochastic differential equation; indirect inference; control variates; Euler discretization; variance reduction techniques; short-term interest rate; efficient Monte Carlo
62-XX: Statistics
Related Items
Econometrics exams and round numbers: Use or misuse of indirect estimation methods?, Estimating multiple-membership logit models with mixed effects: indirect inference versus data cloning, Discontinuities in indirect estimation: an application to EAR models, Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes