Estimating dynamic equilibrium models with stochastic volatility

DOI10.1016/j.jeconom.2014.08.010zbMath1331.62464OpenAlexW3125461230MaRDI QIDQ2343772

Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramıŕez, Pablo A. Guerron-Quintana

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://economics.sas.upenn.edu/sites/default/files/filevault/13-036.pdf

zbMATH Keywords

stochastic volatilityBayesian methodsdynamic equilibrium modelsparameter drifting

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Stochastic models in economics (91B70) Economic growth models (91B62)

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