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The SR approach : a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
Andreasen, Martin Møller; Christensen, Bent Jesper - In: Journal of econometrics 184 (2015) 2, pp. 420-451
Persistent link: https://www.econbiz.de/10011339282
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Sufficient conditions for finite objective functions in DSGE models with deterministic and stochastic trends
Andreasen, Martin Møller - In: The B.E. journal of macroeconomics 10 (2010) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009577391
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Non-linear DSGE models and the optimized central difference particle filter
Andreasen, Martin Møller - In: Journal of economic dynamics & control 35 (2011) 10, pp. 1671-1695
Persistent link: https://www.econbiz.de/10009307477
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On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models
Andreasen, Martin Møller - In: Review of economic dynamics 15 (2012) 3, pp. 295-316
Persistent link: https://www.econbiz.de/10009661470
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An estimated DSGE model : explaining variation in normal term premia, real term premia, and inflation risk premia
Andreasen, Martin Møller - In: European economic review : EER 56 (2012) 8, pp. 1656-1674
Persistent link: https://www.econbiz.de/10009706466
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Non-linear DSGE models and the central difference Kalman filter
Andreasen, Martin Møller - In: Journal of applied econometrics 28 (2013) 6, pp. 929-955
Persistent link: https://www.econbiz.de/10010351092
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Stochastic volatility and DSGE models
Andreasen, Martin Møller - In: Economics letters 108 (2010) 1, pp. 7-9
Persistent link: https://www.econbiz.de/10008661703
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How to maximize the likelihood function for a DSGE model
Andreasen, Martin Møller - In: Computational economics 35 (2010) 2, pp. 127-154
Persistent link: https://www.econbiz.de/10003947913
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Efficient bond price approximations in nonlinear equilibrium-based term structure models
Andreasen, Martin Møller; Zabczyk, Pawel - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10011311205
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The yield spread and bond return predictability in expansions and recessions
Andreasen, Martin Møller; Engsted, Tom; Møller, Stig … - In: The review of financial studies 34 (2021) 6, pp. 2773-2812
Persistent link: https://www.econbiz.de/10012546315