On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models

SSRN Electronic Journal ◽

10.2139/ssrn.1674841 ◽

2011 ◽

Author(s):

Martin M. Andreasen

Keyword(s):

Risk Premia ◽

Dsge Models ◽

Uncertainty Shocks ◽

Rare Disasters ◽

Non Linear

Download Full-text

On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models

Review of Economic Dynamics ◽

10.1016/j.red.2011.08.001 ◽

2012 ◽

Vol 15 (3) ◽

pp. 295-316 ◽

Cited By ~ 54

Author(s):

Martin M. Andreasen

Keyword(s):

Risk Premia ◽

Dsge Models ◽

Uncertainty Shocks ◽

Rare Disasters ◽

Non Linear

Download Full-text

How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models

SSRN Electronic Journal ◽

10.2139/ssrn.1786646 ◽

2011 ◽

Cited By ~ 6

Author(s):

Martin M. Andreasen

Keyword(s):

Risk Premia ◽

Dsge Models ◽

Non Linear ◽

Non Gaussian

Download Full-text

Non-linear DSGE Models and The Optimized Central Difference Particle Filter

SSRN Electronic Journal ◽

10.2139/ssrn.1543743 ◽

2010 ◽

Cited By ~ 2

Author(s):

Martin M. Andreasen

Keyword(s):

Particle Filter ◽

Dsge Models ◽

Central Difference ◽

Non Linear

Download Full-text

Using non-linear methods to search for risk premia in currency futures

Journal of International Economics ◽

10.1016/0022-1996(93)90007-k ◽

1993 ◽

Vol 35 (1-2) ◽

pp. 113-132 ◽

Cited By ~ 15

Author(s):

David A. Hsieh

Keyword(s):

Risk Premia ◽

Currency Futures ◽

Non Linear

Download Full-text

Uncertainty shocks and asymmetric dynamics in Korea: a non-linear approach

Applied Economics ◽

10.1080/00036846.2018.1502869 ◽

2018 ◽

Vol 51 (6) ◽

pp. 594-610

Author(s):

Kevin Larcher ◽

Jaebeom Kim ◽

Youngju Kim

Keyword(s):

Uncertainty Shocks ◽

Linear Approach ◽

Non Linear

Download Full-text

NON-LINEAR DSGE MODELS AND THE CENTRAL DIFFERENCE KALMAN FILTER

Journal of Applied Econometrics ◽

10.1002/jae.2282 ◽

2012 ◽

pp. n/a-n/a ◽

Cited By ~ 10

Author(s):

Martin M. Andreasen

Keyword(s):

Kalman Filter ◽

Dsge Models ◽

Central Difference ◽

Non Linear ◽

Central Difference Kalman Filter

Download Full-text

Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation

SSRN Electronic Journal ◽

10.2139/ssrn.2275686 ◽

2013 ◽

Cited By ~ 2

Author(s):

Robert Kollmann

Keyword(s):

Order Approximation ◽

Second Order ◽

Dsge Models ◽

Second Order Approximation ◽

Non Linear

Download Full-text

Tractable Latent State Filtering for Non-Linear DSGE Models Using a Second-Order Approximation

10.24149/gwp147 ◽

2013 ◽

Vol 2013 (147) ◽

Author(s):

Robert Kollmann ◽

Keyword(s):

Order Approximation ◽

Second Order ◽

Dsge Models ◽

Second Order Approximation ◽

Non Linear

Download Full-text

Default Risk Premia and a Non-Linear Asset Pricing Model

SSRN Electronic Journal ◽

10.2139/ssrn.3061712 ◽

2017 ◽

Author(s):

John R. Birge ◽

Yi Zhang

Keyword(s):

Asset Pricing ◽

Default Risk ◽

Risk Premia ◽

Pricing Model ◽

Asset Pricing Model ◽

Non Linear

Download Full-text

Non-Linear DSGE Models, the Central Difference Kalman Filter, and the Mean Shifted Particle Filter

SSRN Electronic Journal ◽

10.2139/ssrn.1148079 ◽

2008 ◽

Cited By ~ 5

Author(s):

Martin M. Andreasen

Keyword(s):

Kalman Filter ◽

Particle Filter ◽

Dsge Models ◽

Central Difference ◽

Non Linear ◽

The Mean ◽

Central Difference Kalman Filter

Download Full-text