A standard real business-cycle model with external habit and capital adjustment costs
matches a long list of asset price and business-cycle moments: equity, firm value, and risk …

This study evaluates the accuracy of a set of techniques that approximate the solution of
continuous-time Dynamic Stochastic General Equilibrium models. Using the neoclassical …

We propose a simple and powerful numerical algorithm to compute the transition process in
continuous-time dynamic equilibrium models with rare events. In this paper we transform the …

We provide a framework for inference in dynamic equilibrium models including financial
market data at daily frequency, along with macro series at standard lower frequency. Our …

This paper explores the ability of the New-Keynesian (NK) model to explain the recent
periods of quiet and stable inflation at near-zero nominal interest rates. We show how …

We provide a general state space framework for estimation of the parameters of continuous-
time linear DSGE models from discrete-time data. Our approach relies on the exact discrete …

We propose a simple and powerful method for determining the transition process in
continuous-time DSGE models under Poisson uncertainty numerically. The idea is to …

This paper evaluates the accuracy of a set of techniques that approximate the solution of
continuous-time DSGE models. Using the neoclassical growth model I compare linear …

This paper presents the approach to solving optimal control problems that appear in
economic models using the Lagrange's multipliers method. This method is not as widely …

Many theories of asset prices assume time-varying uncertainty in order to generate time-
varying risk premia. This paper generates time-varying uncertainty endogenously, through …