Risk sensitive linear approximations
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Publication:6555113
DOI10.1016/J.ECONLET.2024.111716zbMATH Open1541.91153MaRDI QIDQ6555113
Juan Carlos Parra-Alvarez, Gustavo Solórzano Andrade
Publication date: 14 June 2024
Published in: Economics Letters (Search for Journal in Brave)
stochastic volatilitynumerical methodsGARCHskewnesscertainty equivalencerisky steady statelinear rational expectation models
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Dynamic stochastic general equilibrium theory (91B51)
Cites Work
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
- Solving asset pricing models with Gaussian shocks
- Solving asset pricing models with stochastic volatility
- Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns
- Exact solution of asset pricing models with arbitrary shock distributions
- Solving linear rational expectations models
- Computing the risky steady state of DSGE models
- Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
- A Note on Certainty Equivalence in Dynamic Planning
- The Solution of Linear Difference Models under Rational Expectations
- Asset Prices in an Exchange Economy
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