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Approximate solutions to dynamic models : linear methods
Uhlig, Harald (contributor) - 2006
Linear Methods are often used to compute approximate solutions to dynamic models, as these models often cannot be solved analytically. Linear methods are very popular, as they can easily be implemented. Also, they provide a useful starting point for understanding more elaborate numerical...
Persistent link: https://www.econbiz.de/10003324430
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Computational methods for production-based asset pricing models with recursive utility
Aldrich, Eric Mark; Kung, Howard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10012437836
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A comparison of numerical methods for the solution of continuous-time DSGE models
Parra-Alvarez, Juan Carlos - In: Macroeconomic dynamics 22 (2018) 6, pp. 1555-1583
Persistent link: https://www.econbiz.de/10011916989
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Hybrid perturbation-projection method for solving DSGE asset pricing models
Chen, Yuanyuan; Fowler, Stuart - In: Computational economics 48 (2016) 4, pp. 649-667
Persistent link: https://www.econbiz.de/10011713096
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Solving dynamic stochastic models with multiple occasionally binding constraints
Guerra Vallejos, Ernesto; Bobenrieth Hochfarber, Eugenio; … - In: Economic modelling 105 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013367160
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A simple but powerful simulated certainty equivalent approximation method for dynamic stochastic problems
Cai, Yongyang; Kenneth, L. Judd, - In: Quantitative economics : QE ; journal of the … 14 (2023) 2, pp. 651-687
We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...
Persistent link: https://www.econbiz.de/10014308586
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Mitigation of the Lucas critique with stochastic control methods
Amman, Hans M.; Kendrick, David A. - In: Journal of economic dynamics & control 27 (2003) 11/12, pp. 2035-2057
Persistent link: https://www.econbiz.de/10001768882
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Risk Budgeting portfolios : existence and computation
Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924
Persistent link: https://www.econbiz.de/10014565279
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Weak approximation of G-expectations
Dolinsky, Yan; Nutz, Marcel; Soner, Halil Mete - 2011
We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G … as a Donsker-type result for the G-Brownian motion. G-expectation, volatility uncertainty, weak limit theorem …
Persistent link: https://www.econbiz.de/10009009518
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SV mixture : classification using EM algorithm
Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013
a mixture stochastic volatility model providing a tractable method for capturing certain market characteristics. To … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …
Persistent link: https://www.econbiz.de/10009755511