equilibrium model with sticky prices. The government makesexogenous final good purchases, levies a proportional income tax, and … issues nominalone-period bonds. A quadratic approximation method is used to solve the model and tocompute household welfare …

This paper develops a model and estimate simultaneously the joint dynamics of default-free and defaultable bond term …

We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and … allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian …

for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and … model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis …. Generalizing this approach we consider a reparametrization of the three-dimensional Nelson-Siegel factor model. We show that these …

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following … model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors and …

identically distributed normal returns, and as consequencedevelop an improved model for non-stationary returns. Therein volatility …

Asset Pricing Model (CAPM) and use the estimated parameters of the regime-switching models in a method that resembles a …

We extend the Carlstrom and Fuerst (American Economic Review,1997, 87, pp. 893–910) agency cost model of business … standard linearizationmethods can be used to solve the model yet second moments enter theeconomy’s equilibrium policy functions …