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Published on Wednesday, September 10, 2014 | Updated on Thursday, February 19, 2015

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Estimating Dynamic Equilibrium Models with Stochastic Volatility

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Summary

This paper develops a particle altering algorithm to estimate dynamic equilibrium models with stochastic volatility using a likelihood-based approach.

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Global

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Topic Tags
Macroeconomic Analysis

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WP14-24_Models

English - September 10, 2014

Authors

JF

Jesús Fernández-Villaverde

PG

Pablo Guerrón-Quintana

JR

Juan F. Rubio-Ramírez

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