Efficient bond price approximations in non-linear equilibrium-based term structure models

DOI10.1515/snde-2012-0005zbMath1506.91169OpenAlexW1996180414MaRDI QIDQ2687853

Martin Møller Andreasen, Pawel Zabczyk

Publication date: 7 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0005

zbMATH Keywords

stochastic volatilityDSGE modellong-run riskhabit modelhigher order perturbation method

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Dynamic stochastic general equilibrium theory (91B51)

Related Items (1)

Risk matters: breaking certainty equivalence in linear approximations

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