Global stochastic properties of dynamic models and their linear approximations

DOI10.1016/J.JEDC.2010.02.001zbMath1202.91163OpenAlexW3121616191MaRDI QIDQ964551

Ana Babus, Casper G. de Vries

Publication date: 22 April 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://papers.tinbergen.nl/10081.pdf

zbMATH Keywords

linearizationstochastic difference equationARCH processreal business cycles model

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

Related Items (1)

BIFURCATION AND CHAOS ANALYSIS IN A DISCRETE-DELAY DYNAMIC MODEL FOR A STOCK MARKET

Uses Software

• Uhlig Toolkit

Cites Work

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• Comparing solution methods for dynamic equilibrium economies
• Random difference equations and renewal theory for products of random matrices
• Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Time to Build and Aggregate Fluctuations
• Multivariate Stochastic Variance Models

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