Stochastic volatility and DSGE models

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 108
Issue: 1
Pages: 7-9

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:108:y:2010:i:1:p:7-9
Journal Field
General
Author Count
1
Added to Database
2026-01-24