Stochastic volatility and DSGE models

DOI10.1016/J.ECONLET.2010.03.007MaRDI QIDQ991328zbMATHOpenAlexFDO

Authors Martin Møller Andreasen

Publication date 7 September 2010

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/16798251/rp09_29.pdf

zbMATH Keywords

time-varying coefficientsgreat moderationproductivity shocks

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

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Cites work

• Alternative models for stock price dynamics.
• Estimating Macroeconomic Models: A Likelihood Approach
• Time Varying Structural Vector Autoregressions and Monetary Policy

Cited in

(8)

• Modeling the BUX index by a novel stochastic differential equation
• DSGE models with observation-driven time-varying volatility
• Efficient bond price approximations in non-linear equilibrium-based term structure models
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• Stochastic volatility demand systems
• A simple nonnegative process for equilibrium models
• Estimating dynamic equilibrium models with stochastic volatility

Describes a project that uses

Uses Software

• bvarsv

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