ÇEKİN, S. Emre; Ivashchenko, Sergey; Gupta, Rangan; … - 2023
Recent research shows that time-varying volatility plays a crucial role in nonlinear modeling. Contributing to this literature, we suggest a DSGE-GARCH approach that allows for straightforward computation of DSGE models with time-varying volatility, where the volatility component is formulated...