Amisano, Gianni; Tristani, Oreste - In: Journal of Economic Dynamics and Control 35 (2011) 12, pp. 2167-2185
Phenomena such as the Great Moderation have increased the attention of macroeconomists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...