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As part of its effort to internationalize the Renminbi, China's government has promoted the establishment of a regulated offshore Renminbi capital market hub in Hong Kong, where, among other activities, it issues RMB-denominated government bonds in order to establish a benchmark yield curve in the market. In a VAR model where yield curves are represented by Nelson–Siegel latent factors and which includes...
We consider the problem of reducing the variance of Monte Carlo estimators of high‐dimensional estimation problems by combining the variance reduction techniques Latin hypercube sampling with dependence (LHSD), control variates and importance sampling. Under some standard conditions, the resulting estimators are consistent and asymptotically unbiased, and a central limit theorem holds. The effectiveness...
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