A simple nonnegative process for equilibrium models

DOI10.1016/J.ECONLET.2015.04.012MaRDI QIDQ529722zbMATH OpenOpenAlexFDO

Authors Alex Hsu, Francisco Palomino

Publication date 9 June 2017

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.04.012

zbMATH Keywords

dynamic stochastic general equilibriumtime-varying volatilityautoregressive gamma processes

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• An Intertemporal General Equilibrium Model of Asset Prices
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Structural Laplace Transform and Compound Autoregressive Models
• The Impact of Uncertainty Shocks
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(1)

• On the non-equilibrium density of geometric mean reversion

Describes a project that uses

Uses Software

• Uhlig Toolkit

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