This paper studies dynamic identification of parameters of a dynamic stochastic general equilibrium model from the first and second moments of the data. Classical results for dynamic simultaneous ...

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of ...

Cellular dynamics are intrinsically noisy, so mechanistic models must incorporate stochasticity if they are to adequately model experimental observations. As well as intrinsic stochasticity in gene ...

This paper presents and estimates a small open economy dynamic stochastic general-equilibrium model (DSGE) for the Jordanian economy. The model features nominal and real rigidities, imperfect ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

There is hardly any literature on modelling nonlinear dynamic relations involving nonnormal time series data. This is a serious lacuna because nonnormal data are far more abundant than normal ones, ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.