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Switching volatility in a nonlinear open economy

Benchimol, Jonathan; Ivashchenko, Sergey - In: Journal of international money and finance 110 (2021), pp. 1-31

Persistent link: https://www.econbiz.de/10012795525

DSGE model estimation on the basis of second-order approximation

Ivashchenko, Sergey - In: Computational economics 43 (2014) 1, pp. 71-82

Persistent link: https://www.econbiz.de/10010249722

Risk aversion in the Eurozone

Benchimol, Jonathan - In: Research in economics : an international review of economics 68 (2014) 1, pp. 39-56

Persistent link: https://www.econbiz.de/10010465746

Money in the production function : a new Keynesian DSGE perspective

Benchimol, Jonathan - In: Southern economic journal 82 (2015) 1, pp. 152-184

Persistent link: https://www.econbiz.de/10011623509

Forecasting of Nonlinear DSGE Model

Ivashchenko, Sergey - 2014

A medium-scale nonlinear DSGE model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes stock market. RMSE of in sample and out of sample forecasts are calculated. The nonlinear DSGE model with measurement errors outperform AR(1), VAR(1), linearized DSGE in...

Persistent link: https://www.econbiz.de/10013055171

Real-Time Forecast of DSGE Models with Time-Varying Volatility in GARCH Form

ÇEKİN, S. Emre; Ivashchenko, Sergey; Gupta, Rangan; … - 2023

Recent research shows that time-varying volatility plays a crucial role in nonlinear modeling. Contributing to this literature, we suggest a DSGE-GARCH approach that allows for straightforward computation of DSGE models with time-varying volatility, where the volatility component is formulated...

Persistent link: https://www.econbiz.de/10014355460