Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk
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More about this item
Keywords
nonlinear vector autoregression; nonlinear impulse responses; skewness risk;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-DGE-2015-01-26 (Dynamic General Equilibrium)
- NEP-ECM-2015-01-26 (Econometrics)
- NEP-ORE-2015-01-26 (Operations Research)
Statistics
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