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DSGE model estimation on the basis of second-order approximation

Ivashchenko, Sergey - In: Computational economics 43 (2014) 1, pp. 71-82

Persistent link: https://www.econbiz.de/10010249722

Forecasting using a nonlinear DSGE model

Ivashchenko, Sergey; Gupta, Rangan - In: Journal of central banking theory and practice 7 (2018) 2, pp. 73-98

Persistent link: https://www.econbiz.de/10011895436

Real-time forecast of DSGE models with time-varying volatility in GARCH form

Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan - 2022

Persistent link: https://www.econbiz.de/10012800653

Switching volatility in a nonlinear open economy

Benchimol, Jonathan; Ivashchenko, Sergey - In: Journal of international money and finance 110 (2021), pp. 1-31

Persistent link: https://www.econbiz.de/10012795525

Forecasting with second-order approximations and Markov-switching DSGE models

Ivashchenko, Sergey; Çekin, Semih Emre; Kotzé, Kevin; … - In: Computational economics 56 (2020) 4, pp. 747-771

Persistent link: https://www.econbiz.de/10012390465

The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models

Ivashchenko, Sergey; Mutschler, Willi - In: Economic modelling 88 (2020), pp. 280-292

Persistent link: https://www.econbiz.de/10012417223

Forecasting of Nonlinear DSGE Model

Ivashchenko, Sergey - 2014

A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in...

Persistent link: https://www.econbiz.de/10013055171

Real-time forecast of DSGE models with time-varying volatility in GARCH form

Çekin, Semih Emre; Ivashchenko, Sergey; Gupta, Rangan; … - In: International review of financial analysis 93 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014543555