Alternative Estimators of the Cox, ingersoll and Ross Model of the Term Structure of Interest Rates: A Monte Carlo Comparison
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Bibliographic InfoPaper provided by Banca Italia - Servizio di Studi in its series Papers with number 236.
Length: 76 pages
Date of creation: 1994
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- Calzolari, Giorgio & Di Iorio, Francesca & Fiorentini, Gabriele, 1996.
"Control variates for variance reduction in indirect inference: interest rate models in continuous time,"
23160, University Library of Munich, Germany, revised Nov 1996.
- Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C100-C112.
- Gabriele Fiorentini & Francesca Di Iorio & Giorgio Calzolari, 1998. "- Control Variates For Variance Reduction In Indirect Inference: Interest Rate Models In Continuous Time," Working Papers. Serie AD 1998-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena.
- Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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