Primiceri, Giorgio; Justiniano, Alejandro - Society for Computational Economics - SCE - 2005
cycle, particularly for the characterization of monetary policy. The impact of including stochastic volatility in DSGE … models remains, however, unexplored. This paper therefore deals with the estimation of DSGE models when structural … DSGE models subject to stochastic volatility that allows for jointly inferring the model’s parameters, underlying shocks …