Stochastic volatility and DSGE models

This paper argues that a specification of stochastic volatility commonly used in DSGE models may not be appropriate, because the level of a process with this specification does not have any moments. We suggest three ways to overcome the problem.

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Bibliographic Details
Published in:Economics letters 2010-07, Vol.108 (1), p.7-9
Main Author: Andreasen, Martin M.
Format: Article
Language:English
Subjects:
Applied general equilibrium models
Business cycles
Dynamisches Gleichgewicht
Great Moderation Productivity shocks Time-varying coefficients
Konjunktur
Makroökonomik
Stochastic models
Stochastischer Prozess
Theorie
Volatility
Volatilität
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