Control variates for variance reduction in indirect inference: Interest rate models in continuous time
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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 equationindirect inferencecontrol variatesEuler discretizationvariance reduction techniquesshort-term interest rateefficient Monte Carlo
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