This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may...

This paper improves the accuracy and speed of particle filtering for non-linear DSGE models with potentially non-normal shocks. This is done by introducing a new proposal distribution which i) incorporates information from new observables and ii) has a small optimization step that minimizes the...

This paper suggests a new and easy approach to estimate linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors and they may therefore be non-Gaussian. The novelty of our approach is to use many observables (yields or bonds...

This paper studies how non-Gaussian shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the results in Schmitt-Grohé & Uribe (2004) to third order, we derive propositions for how rare disasters, stochastic volatility, and GARCH affect any...