Control variates for variance reduction in indirect inference: Interest rate models in continuous time

• 1 June 1998
• journal article
• Published by Oxford University Press (OUP) in The Econometrics Journal
• Vol. 1  (1) , C100-C112
• https://doi.org/10.1111/1368-423x.11006

Abstract

Keywords

• EFFICIENT MONTE CARLO
• VARIANCE REDUCTION TECHNIQUES
• CONTROL VARIATES
• INDIRECT INFERENCE
• EULER DISCRETIZATION
• SHORT‐TERM INTEREST RATE
• STOCHASTIC DIFFERENTIAL EQUATION

All Related Versions

• Version 1, RePEc (Unconfirmed version)
• Version 1, RePEc (Unconfirmed version)