Accuracy of stochastic perturbation methods: The case of asset pricing models

Author:

Collard Fabrice,Juillard Michel

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference15 articles.

1. Solving asset pricing models with Gaussian shocks;Burnside;Journal of Economic Dynamics and Control,1998

2. Collard, F., Juillard, M., 1999. A higher-order Taylor expansion approach to simulation of stochastic forward-looking models with an application to a nonlinear Phillips curve model. Working Paper 99–19, Cepremap; Computational Economics, forthcoming.

3. Cooley, T.F., Prescott, E.C., 1995. Economic growth and the business cycle. In: Cooley, T. (Ed.), Frontiers of Business Cycle Research, Princeton University Press, Princeton, NJ, pp. 1–38 (Chapter 1).

4. An algorithm for the solution of stochastic optimal control problems for large nonlinear econometric models;Hall;Journal of Applied Econometrics,1990

5. Output growth, the real wage, and employment fluctuations;Hercowitz;American Economic Review,1991

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