DSGE Models with observation-driven time-varying volatility
نویسندگان
چکیده
منابع مشابه
A General Framework for Observation Driven Time-Varying Parameter Models
We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well-known models such as the genera...
متن کاملOn the predictability of time-varying VAR and DSGE models
Over the last few years, there has been a growing interest in DSGE modelling for predicting macroeconomic uctuations and conducting quantitative policy analysis. Hybrid DSGE models have become popular for dealing with some of the DSGE misspeci cations as they are able to solve the tradeo¤ between theoretical coherence and empirical t. However, these models are still linear and they do not con...
متن کاملMultivariate Option Pricing with Time Varying Volatility Models
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasib...
متن کاملFinancial Market Models with Lévy Processes and Time-Varying Volatility
Asset management and pricing models require the proper modeling of the return distribution of financial assets. While the return distribution used in the traditional theories of asset pricing and portfolio selection is the normal distribution, numerous studies that have investigated the empirical behavior of asset returns in financial markets throughout the world reject the hypothesis that asse...
متن کاملModeling and Forecasting Iranian Inflation with Time Varying BVAR Models
This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics Letters
سال: 2018
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2018.07.023