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Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility
Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution into a high-order approximate dynamic stochastic general equilibrium (DSGE) model with...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9171085/ https://www.ncbi.nlm.nih.gov/pubmed/35693847 http://dx.doi.org/10.1186/s40854-022-00370-5 |