Stochastic volatility and DSGE models

DOI10.1016/J.ECONLET.2010.03.007zbMATH Open1232.91455OpenAlexW2270121251MaRDI QIDQ991328FDOQ991328

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

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zbMATH Keywords

time-varying coefficientsgreat moderationproductivity shocks

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

Cites Work

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

Cited In (6)

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

Uses Software

• bvarsv

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