Estimating dynamic equilibrium models with stochastic volatility
نویسندگان
چکیده
منابع مشابه
Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions
This article is concerned with identification problem of parameters of Dynamic Stochastic General Equilibrium Models with emphasis on structural constraints, so that the number of observable variables is equal to the number of exogenous variables. We derived a set of identifiability conditions and suggested a procedure for a thorough analysis of identification at each point in the parameters sp...
متن کاملDynamic Factor Models with Stochastic Volatility
I introduce posterior simulation methods for a dynamic latent factor model featuring both mean and variance factors. The cross-sectional dimension may be large, so the methods are applicable to data-rich environments. I apply the new methods in two empirical applications. The first involves a panel of 10 currencies, with daily log returns observed over a decade; the second, a panel of 134 real ...
متن کاملEstimating the Efficient Shocks' Share in Iran's Economic Growth Fluctuations (Dynamic Stochastic General Equilibrium Approach)
In economic, the degree of intervention of policymakers in creation of economic stability and the response to economic fluctuations is one of the most important problems. The higher the share of efficient shocks in economic fluctuation, the lower the degree of policy response. This study evaluates the contribution of efficient shocks in creating of economic fluctuations and also estimates poten...
متن کاملMultivariate Stochastic Volatility with Bayesian Dynamic Linear Models
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a multiplicative stochastic evolution, using Wishart and singular multivariate beta distributions. A diagonal matrix of discount factors is employed in order to discount...
متن کاملEstimating volatility and model parameters of stochastic volatility models with jumps using particle filter
Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature which are far from being optimal. The second one is the combined state and parameter estimation problem. In a widely used Heston model on stochastic volatility in financial literature, we are able to cir...
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: Journal of Econometrics
سال: 2015
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2014.08.010