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Polynomial Approximation of Discounted Moments
We introduce an approximation strategy for the discounted moments of a stochastic process that can, for a large class of problems, approximate the true moments.
Consistent Calibration of Economic Scenario Generators: The Case for Conditional Simulation
This paper introduces the Conditional Scenario Simulator, which is a framework for consistently calibrating simulations and projections of economic and financial variables both to historical data and forward-looking information.
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