Estimating Dynamic Equilibrium Models with Stochastic Volatility
Published on Wednesday, September 10, 2014 | Updated on Thursday, February 19, 2015
Estimating Dynamic Equilibrium Models with Stochastic Volatility
Summary
This paper develops a particle altering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach.
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- Global
Topics
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- Macroeconomic Analysis
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Authors
Jesús Fernández-Villaverde
Pablo Guerrón-Quintana
Juan Rubio
Emory University, CEPR and Federal Reserve of Atlanta - External partner
Documents and files
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