standard perturbation output. I examine the joint macroeconomic and asset pricing implications of a real business cycle model …

discrete time DSGE models. We derive the perturbation using a matrix calculus that preserves linear algebraic structures to … guarantee the existence of a unique solution for all undetermined coefficients of nonlinear perturbations of arbitrary order to … is independent of terms first order in the perturbation parameter, and relax the assumptions needed for the local …

solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a …We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for … nonlinearity, and enables familiar impulse response analysis in nonlinear settings. When the linear approximation is saddle stable …

crucial factor in forecasting performance of the trees. While there exists a standard method of tree pruning, which is based … introduces a novel methodology of nonsymmetric tree pruning called Best Node Strategy (BNS). An important property of BNS is … traditional pruning approach by composing two recursive portfolios out of XETRA DAX stocks. Performance forecasts for each of the …

We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with …

its basis, and the perturbation methods up to third order in both levels and logs. Evaluated by two accuracy tests, the … projection approximation achieves the highest degree of accuracy, closely followed by the third order perturbation in levels …

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … quadrature and we use it for the integrals arising from rational expectations and in three new nonlinear state space filters. The …

We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general … equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization … and we use it for the integrals arising in rational expectations and in nonlinear state space filters. The estimation step …

maximization problem. This solution maps asset volatility and loss given default to optimal leverage. By applying nonlinear …