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~institution:"School of Economics and Management, University of Aarhus"
~language:"und"
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Approximate Bayesian Computation
1
Continuous-Time DSGE Models
1
Linear-Quadratic Approximation
1
Perturbation Method
1
Projection Method
1
continuous-time processes
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filtering
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indirect inference
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jumps
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realized volatility
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stochastic volatility
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English
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Creel, Michael
1
Kristensen, Dennis
1
Parra-Alvarez, Juan Carlos
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School of Economics and Management, University of Aarhus
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
13
EconWPA
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Department of Economics, University of Pennsylvania
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Département Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), Institut National de la Recherche Agronomique (INRA)
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ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
Creel, Michael
;
Kristensen, Dennis
-
School of Economics and Management, University of Aarhus
-
2014
We develop novel methods for estimation and filtering of
continuous-time
models with stochastic volatility and jumps …
Persistent link: https://www.econbiz.de/10010892068
Saved in:
2
A comparison of numerical methods for the solution of
continuous-time
DSGE models
Parra-Alvarez, Juan Carlos
-
School of Economics and Management, University of Aarhus
-
2013
This paper evaluates the accuracy of a set of techniques that approximate the solution of
continuous-time
DSGE models …
Persistent link: https://www.econbiz.de/10010851250
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