Stochastic volatility and DSGE models
This paper argues that a specification of stochastic volatility commonly used in DSGE models may not be appropriate, because the level of a process with this specification does not have any moments. We suggest three ways to overcome the problem.
Year of publication: |
2010
|
---|---|
Authors: | Andreasen, Martin M. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 7-9
|
Publisher: |
Elsevier |
Keywords: | Great Moderation Productivity shocks Time-varying coefficients |
Saved in:
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