DSGE models with observation-driven time-varying volatility

DOI10.1016/j.econlet.2018.07.023zbMath1397.91352OpenAlexW2883227393MaRDI QIDQ1788013

Giovanni Angelini, Paolo Gorgi

Publication date: 8 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/ws/files/120146855/DSGE_Models_with_observationdriven_timevarying_volatility.pdf

zbMATH Keywords

time-varying parametersDSGE modelsscore-driven models

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Optimal prediction pools
• Real-time forecast evaluation of DSGE models with stochastic volatility
• Dynamic Identification of Dynamic Stochastic General Equilibrium Models
• Dynamic Models for Volatility and Heavy Tails
• Bayesian Analysis of DSGE Models

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