Second-order approximation of dynamic models with time-varying risk
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Publication:1994253
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Cites work
- Accuracy of stochastic perturbation methods: The case of asset pricing models
- Bayesian Analysis of DSGE Models
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Comparing solution methods for dynamic equilibrium economies
- scientific article; zbMATH DE number 1261669 (Why is no real title available?)
- Linear-quadratic approximation of optimal policy problems
- Projection methods for solving aggregate growth models
- Second-order approximation of dynamic models without the use of tensors
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- The Impact of Uncertainty Shocks
Cited in
(13)- Second-order stochastic differential equation model as an alternative for the ALT and CALT models
- Fifth-order perturbation solution to DSGE models
- Uncertainty-dependent effects of monetary policy shocks: a new-Keynesian interpretation
- Asset prices in affine real business cycle models
- Risk matters: breaking certainty equivalence in linear approximations
- Second-order expansions of the risk concentration based on CTE
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Examining macroeconomic models through the lens of asset pricing
- A simple nonnegative process for equilibrium models
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES
- Second-order approximation of dynamic models without the use of tensors
- Risk sensitive linear approximations
- Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability
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