Risk shocks with time-varying higher moments

DOI10.1515/SNDE-2018-0028OpenAlexW2938897189MaRDI QIDQ2697079

Victor Dorofeenko, Johannes Strobel, Gabriel S. Lee, Kevin D. Salyer

Publication date: 17 April 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-2018-0028

zbMATH Keywords

Bayesian analysisbankruptcy ratemixture modelsDSGE modelstime-varying uncertainty

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Risk shocks and housing supply: a quantitative analysis
• MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
• The Impact of Uncertainty Shocks
• Uncertainty Shocks in a Model of Effective Demand
• Really Uncertain Business Cycles
• Volatility Feedback and Risk Premium in GARCH Models with Generalized Hyperbolic Distributions

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