exogenous innovations is subject to stochastic regime shifts. We first show that, up to a second-order approximation using … then demonstrate how to derive the exact model likelihood for the second-order approximation of the solution when there are …

This paper provides first and second-order approximation methods for the solution of nonlinear dynamic stochastic …. The first-order approximation is consistent with a conditionally-linear model in which risk is still timevarying but has … second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using …

Several approaches to finding the second-order approximation to a dynamic model have been proposed recently. This paper …

optimal schedule is notoriously hard to derive within reasonable computation times. Therefore, we develop the lag order … approximation method, that sets the client’s optimal appointment time based on only a part of his predecessors. We show that a lag …