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~institution:"EconWPA"
~institution:"Economics Institute for Research (SIR), Handelshögskolan i Stockholm"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~person:"Di Iorio, Francesca"
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Monte Carlo
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indirect inference
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Markov switching models
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control variates
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discretization
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short-term interest rate
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simulation estimation
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stochastic equation
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variance reduction techniques
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Di Iorio, Francesca
Calzolari, Giorgio
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Kevork, Ilias
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Lyhagen, Johan
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Löthgren, Mickael
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Mishra, SK
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Steel, Mark F.J.
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Chib, Siddhartha
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Ley, Eduardo
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Barnett, William A.
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Kukenova, Madina
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Balakrishna, B S
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Ciuiu, Daniel
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Corsi, Paolo
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Dellaportas, Petros
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Eo, Yunjong
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Fathi, Abid
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EconWPA
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Indirect estimation of Markov switching models with endogenous switching
Otranto, Edoardo
;
Calzolari, Giorgio
;
Di Iorio, Francesca
-
Volkswirtschaftliche Fakultät, …
-
2005
Monte
Carlo
experiments is presented to show the interesting performances of the procedure. …
Persistent link: https://www.econbiz.de/10008494204
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2
Control variates for variance reduction in indirect inference: interest rate models in continuous time
Calzolari, Giorgio
;
Di Iorio, Francesca
;
Fiorentini, …
-
Volkswirtschaftliche Fakultät, …
-
1996
explicitly considered and experimented with. Monte
Carlo
experiments show that, for some parameters of interest, a global …
Persistent link: https://www.econbiz.de/10008560131
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