Quasi-Bayesian estimation of time-varying volatility in DSGE models

DOI10.1111/JTSA.12290MaRDI QIDQ3120664zbMATH OpenOpenAlexWikidataFDO

Authors Katerina Petrova

Publication date 5 March 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10023/17421

zbMATH Keywords

Bayesian methodsestimationnonparametricdynamic stochastic general equilibrium modelstime-varying volatility

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51)

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• A quasi-Bayesian local likelihood approach to time varying parameter VAR models
• Estimating dynamic equilibrium models with stochastic volatility
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Cites work

• A quasi-Bayesian local likelihood approach to time varying parameter VAR models
• A simple and efficient simulation smoother for state space time series analysis
• Equation of state calculations by fast computing machines
• Inference on stochastic time-varying coefficient models
• Monte Carlo sampling methods using Markov chains and their applications
• On Gibbs sampling for state space models
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Solving linear rational expectations models
• Sources of macroeconomic fluctuations: a regime-switching DSGE approach
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Structural changes in the US economy: is there a role for monetary policy?
• The Solution of Linear Difference Models under Rational Expectations
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(5)

• DSGE models with observation-driven time-varying volatility
• A quasi-Bayesian local likelihood approach to time varying parameter VAR models
• Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices
• A time-varying parameter structural model of the UK economy
• Learning and time-varying macroeconomic volatility

Describes a project that uses

Uses Software

• bvarsv
• Gensys

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