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Estimating Dynamic Equilibrium Models with Stochastic Volatility
16 references·2 citing·44 second hop
Estimating Dynamic Equilibrium Models with Stochastic Volatility (2013)Estimating Dynamic Equilibrium Models wit…Risk Matters: The Real Effects of Volatility Shocks (2011)Risk Matters: The Real Effect…Are Micro and Macro Labor Supply Elasticities Consistent? A Review of Evidence on the Intensive and Extensive Margins (2011)Are Micro and Macro Labor Sup…The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Time-Varying Volatility of Macroeconomic Fluctuations (2008)The Time-Varying Volatility o…Were There Regime Switches in U.S. Monetary Policy? (2006)Were There Regime Switches in…The Dynamic Effects of Neutral and Investment‐Specific Technology Shocks (2006)The Dynamic Effects of Neutra…Solving dynamic general equilibrium models using a second-order approximation to the policy function (2003)Solving dynamic general equil…Has the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…The Long and Large Decline in U.S. Output Volatility (2001)The Long and Large Decline in…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory (1998)Monetary Policy Rules and Mac…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Simulation and the Asymptotics of Optimization Estimators (1989)Simulation and the Asymptotic…A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration (1989)A Method of Simulated Moments…Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Perturbation methods for Markov-switching dynamic stochastic general equilibrium models (2016)Perturbation methods for Mark…Chinese Outbound Foreign Direct Investment: How Much Goes Where after Roundtripping and Offshoring? (2015)Chinese Outbound Foreign Dire…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Patents as Options: Some Estimates of the Value of Holding European Patent Stocks (1984)Automobile Prices in Market Equilibrium (1995)Discrete Choice Methods with Simulation (2001)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)The Solution of Linear Difference Models under Rational Expectations (1980)Time to Build and Aggregate Fluctuations (1982)Numerical Methods in Economics (1998)Remittances and the Dutch disease (2009)Capital regulation and monetary policy with fragile banks (2013)Policy risk and the business cycle (2014)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2009)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2010)Macroeconomic Shocks and Their Propagation (2016)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)American Economic Review (2019)5 Stochastic volatility (1996)Discrete Choice Methods and their Applications to Short Term Travel Decisions (1999)Transition to Clean Technology (2016)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1989A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration1,641 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1989Simulation and the Asymptotics of Optimization Estimators1,496 cited
  • 2003Solving dynamic general equilibrium models using a second-order approximation to the policy function1,216 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,166 cited
  • 2001The Long and Large Decline in U.S. Output Volatility995 cited
  • 2011Are Micro and Macro Labor Supply Elasticities Consistent? A Review of Evidence on the Intensive and Extensive Margins854 cited
  • 2008The Time-Varying Volatility of Macroeconomic Fluctuations844 cited
  • 2011

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Risk Matters: The Real Effects of Volatility Shocks
765 cited
  • 2006The Dynamic Effects of Neutral and Investment‐Specific Technology Shocks693 cited
  • Cited by

    • 2016Perturbation methods for Markov-switching dynamic stochastic general equilibrium models75 cited
    • 2015Chinese Outbound Foreign Direct Investment: How Much Goes Where after Roundtripping and Offshoring?49 cited