Risk matters: breaking certainty equivalence in linear approximations
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- scientific article; zbMATH DE number 1001726 (Why is no real title available?)
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- scientific article; zbMATH DE number 1241609 (Why is no real title available?)
- scientific article; zbMATH DE number 1099371 (Why is no real title available?)
- scientific article; zbMATH DE number 1099379 (Why is no real title available?)
- A Note on Certainty Equivalence in Dynamic Planning
- A higher-order Taylor approach to simulation of stochastic forward-looking models with an application to a nonlinear Phillips curve model
- Asset Prices in an Exchange Economy with Habit Formation
- Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
- Comparing solution methods for dynamic equilibrium economies
- Computing the risky steady state of DSGE models
- Continuous panel models with time dependent parameters
- Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
- Efficient bond price approximations in non-linear equilibrium-based term structure models
- Estimating Macroeconomic Models: A Likelihood Approach
- Estimating dynamic equilibrium models using mixed frequency macro and financial data
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles
- Fifth-order perturbation solution to DSGE models
- Matrix Calculus Operations and Taylor Expansions
- Matrix differential calculus with applications in statistics and econometrics
- Optimum consumption and portfolio rules in a continuous-time model
- Production technologies in stochastic continuous time models
- Recursive Models of Dynamic Linear Economies
- SOLVING LARGE-SCALE RATIONAL-EXPECTATIONS MODELS
- Saddlepoint Problems in Continuous Time Rational Expectations Models: A General Method and Some Macroeconomic Examples
- Second-order approximation of dynamic models without the use of tensors
- Solvability of perturbation solutions in DSGE models
- Solving DSGE models with a nonlinear moving average
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Stochastic Control for Small Noise Intensities
- Stochastic growth under Wiener and Poisson uncertainty
- Time to Build and Aggregate Fluctuations
Cited in
(6)- Risk sensitive linear approximations
- Does near-rationality matter in first-order approximate solutions? A perturbation approach
- Linear approximations and tests of conditional pricing models
- Estimation of continuous-time linear DSGE models from discrete-time measurements
- Asset prices in affine real business cycle models
- Second-order approximation of dynamic models with time-varying risk
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