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On the existence of finite-dimensional realizations for nonlinear forward rate models

Björk, Tomas; Svensson, Lars E. O. - In: Mathematical finance : an international journal of … 11 (2001) 2, pp. 205-243

Persistent link: https://www.econbiz.de/10001650926

Optimal monetary policy under uncertainty in DSGE models : a Markov jump-linear-quadratic approach

Svensson, Lars E. O.; Williams, Noah - 2008

Persistent link: https://www.econbiz.de/10003831149

Optimal monetary policy under uncertainty in DSGE models : a Markov jump-linear-quadratic approach

Svensson, Lars E. O.; Williams, Noah - In: Monetary policy under uncertainty and learning : …, (pp. 77-114). 2009

Persistent link: https://www.econbiz.de/10008860544

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Optimal monetary policy under uncertainty : a Markov jump-linear-quadratic approach

Svensson, Lars E. O.; Williams, Noah - In: Review / Federal Reserve Bank of St. Louis 90 (2008) 4, pp. 275-305

Persistent link: https://www.econbiz.de/10003764387

Optimal Monetary Policy Under Uncertainty in DSGE Models : A Markov Jump-Linear-Quadratic Approach

Svensson, Lars E. O. - 2010

We study the design of optimal monetary policy under uncertainty in a dynamic stochastic general equilibrium models. We use a Markov jump-linear-quadratic (MJLQ) approach to study policy design, approximating the uncertainty by different discrete modes in a Markov chain, and by taking...

Persistent link: https://www.econbiz.de/10012759442