Stochastic volatility and DSGE models

DOI10.1016/j.econlet.2010.03.007zbMath1232.91455OpenAlexW2270121251MaRDI QIDQ991328

Martin Møller Andreasen

Publication date: 7 September 2010

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/16798251/rp09_29.pdf

zbMATH Keywords

time-varying coefficientsgreat moderationproductivity shocks

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51)

Related Items (1)

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

Uses Software

• bvarsv

Cites Work

• Alternative models for stock price dynamics.
• Estimating Macroeconomic Models: A Likelihood Approach
• Time Varying Structural Vector Autoregressions and Monetary Policy

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