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macroeconomic dynamics) as nuisance parameters that are calibrated. The results of our empirical analysis are not unfavorable for …
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We develop a Bayesian Markov chain Monte Carlo algorithm for estimating risk premia in dynamic stochastic general equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that makes estimation of large-scale DSGE models...
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-neutral informed traders, noise traders, market makers, and with endogenous information production. The model solution depends on two … assumption that private information has the same signal-to-noise ratio across markets. Prices follow a martingale with …
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best ideas. Such a designation enables analysts to provide greater granularity of information, but it can potentially be …
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