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...

This article suggests and compares the properties of some nonlinear Markov-switching filters. Two of them are sigma point filters: the Markov switching central difference Kalman filter (MSCDKF) and MSCDKFA. Two of them are Gaussian assumed filters: Markov switching quadratic Kalman filter...