We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility … and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time … differing orders of approximation, enabling us to identify the common channel through which stochastic volatility in isolation …

herkömmlichen Theorien. Diese Frage kann positiv beantwortet werden mit einer interessanten Interpretation von Volatility-Smiles als … Ergebnis aggregierter Volatility-Skews. Der Band richtet sich sowohl an Wissenschaftler als auch an Fachleute in Banken und …

We highlight a state variable misspecification with one accepted method to implement stochastic volatility (SV) in DSGE … accounting for this approximation error may induce substantial spurious volatility in macroeconomic series, which could lead to …

that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves … their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their …