Estimating stochastic volatility models through indirect inference

DOI10.1111/1368-423x.11007MaRDI QIDQ6166856

Chiara Monfardini

Publication date: 7 July 2023

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationindirect inferencecontrol variatesEuler discretizationvariance reduction techniquesshort-term interest rateefficient Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (9)

Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Likelihood-free inference with deep Gaussian processes ⋮ A hybrid data cloning maximum likelihood estimator for stochastic volatility models ⋮ Estimation and asymptotic covariance matrix for stochastic volatility models ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Indirect inference in fractional short-term interest rate diffusions ⋮ Indirect inference for dynamic panel models ⋮ Simple estimators and inference for higher-order stochastic volatility models ⋮ Stochastic interest rate volatility modeling with a continuous-time GARCH(1,1) model

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