Estimating Dynamic Equilibrium Models with Stochastic Volatility
收藏NBER2012-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w18399
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资源简介：
We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the properties of the solution to this class of models. Second, we take advantage of the results about the structure of the solution to build a sequential Monte Carlo algorithm to
提供机构：
美国国家经济研究局
创建时间：
2012-09-01
