DSGE models with observation-driven time-varying volatility
type: Item
instance of: scholarly article
title: DSGE models with observation-driven time-varying volatility
zbMATH Open document ID: 1397.91352
author: Giovanni Angelini
author: Paolo Gorgi
published in: Economics Letters
publication date: 2018-10-08T00:00:00Z
full work available at URL: DSGE Models with observationdriven timevarying volatility.pdf
Mathematics Subject Classification ID: 91B51
zbMATH DE Number: 6948350
zbMATH Keywords: DSGE models
zbMATH Keywords: score-driven models
zbMATH Keywords: time-varying parameters
MaRDI profile type: Publication
OpenAlex ID: W2883227393
cites work: Bayesian Analysis of DSGE Models
cites work: Real-time forecast evaluation of DSGE models with stochastic volatility
cites work: Optimal prediction pools
cites work: Dynamic models for volatility and heavy tails. With applications to financial and economic time series
cites work: Dynamic identification of dynamic stochastic general equilibrium models
DOI: 10.1016/J.ECONLET.2018.07.023
description: scientific article; zbMATH DE number 6948350