What order? Perturbation methods for stochastic volatility asset pricing and business cycle models
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- Oliver de Groot, 2016. "What order? Perturbation methods for stochastic volatility asset pricing and business cycle models," Discussion Paper Series, Department of Economics 201611, Department of Economics, University of St. Andrews.
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- repec:eee:dyncon:v:80:y:2017:i:c:p:1-16 is not listed on IDEAS
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KeywordsNumerical solution methods; Time-varying uncertainty; Equity premium; DSGE models; Welfare;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-10-09 (All new papers)
- NEP-MAC-2016-10-09 (Macroeconomics)
- NEP-ORE-2016-10-09 (Operations Research)
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