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Andreasen, Martin M.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,575 |
Total
Citations
39 |
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1.
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Andreasen, Martin M.
CREATES, Aarhus University
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02 Sep 08
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Last Revised:
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25 Feb 11
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222
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3
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Epstein-Zin-Weil preferences, Habits, Long-run risk, Non-linear filtering, Time-varying term premia
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Non-Linear DSGE Models, the Central Difference Kalman Filter, and the Mean Shifted Particle Filter
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Andreasen, Martin M.
CREATES, Aarhus University
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Posted:
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27 May 08
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Last Revised:
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19 Jun 08
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191
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Andreasen, Martin M.
CREATES, Aarhus University
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91
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Multivariate Stirling interpolation, Particle filtering, Non-linear DSGE models, Non-normal shocks, Quasi-maximum likelihood
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Andreasen, Martin M.
CREATES, Aarhus University
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27 May 08
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Last Revised:
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17 Jun 08
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100
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Multivariate Stirling interpolation, Particle Filtering, Non-linear DSGE models, Non-normal shocks, Quasi-Maximum Likelihood
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3.
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The Business Cycle Implications of Banks' Maturity Transformation
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Andreasen, Martin M.
CREATES, Aarhus University Ferman, Marcelo
London School of Economics & Political Science (LSE) - Department of Economics Zabczyk, Pawel
Bank of England
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Posted:
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16 Mar 10
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Last Revised:
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21 Nov 12
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153
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Andreasen, Martin M.
CREATES, Aarhus University Ferman, Marcelo
London School of Economics & Political Science (LSE) - Department of Economics Zabczyk, Pawel
Bank of England
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14
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banks, DSGE model, financial frictions, long-term credit, maturity transformation
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Andreasen, Martin M.
CREATES, Aarhus University Ferman, Marcelo
London School of Economics & Political Science (LSE) - Department of Economics Zabczyk, Pawel
Bank of England
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16 Mar 10
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Last Revised:
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21 Mar 11
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139
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1
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Banks, DSGE model, Financial frictions, Firm heterogeneity, Maturity transformation
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4.
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Andreasen, Martin M.
CREATES, Aarhus University
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29 Aug 10
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Last Revised:
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14 Sep 11
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151
(97,184)
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3
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Non-linear filtering, Non-Gaussian shocks, Quasi Maximum Likelihood, Stochastic volatility, Third order perturbation
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5.
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Andreasen, Martin M.
CREATES, Aarhus University Meldrum, Andrew
University of Cambridge
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119
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Adaptive particle filtering, Bayesian inference, Higher order moments, PMCMC, Quadratic term structure models
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6.
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How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models
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Andreasen, Martin M.
CREATES, Aarhus University
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Posted:
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11 Sep 10
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Last Revised:
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14 Sep 11
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110
(126,048)
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Andreasen, Martin M.
CREATES, Aarhus University
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38
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Epstein-Zin-Weil preferences, GARCH, rare disasters, risk premia, stochastic volatility
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Andreasen, Martin M.
CREATES, Aarhus University
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11 Sep 10
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Last Revised:
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14 Sep 11
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72
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Epstain-Zin-Weil preferences, GARCH, rare disasters, risk premia, stochastic volatility
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7.
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Andreasen, Martin M.
CREATES, Aarhus University
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110
(126,048)
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7
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Simulated Annealing, Resampling, CMA-ES, CMA-ES optimization routine,Likelihood function, Multimodel objective function, Non-convex search space, Resampling, The Nelder-Mead simplex routine
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8.
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Andreasen, Martin M.
CREATES, Aarhus University
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14 May 10
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Last Revised:
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22 Feb 11
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99
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1
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Market price of risk, Non-linear filtering, Quantity of risk, Epstein-Zin-Weil preferences, Third-order perturbation.
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9.
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Ensuring the Validity of the Micro Foundation in DSGE Models
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Versions (2)
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Andreasen, Martin M.
CREATES, Aarhus University
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Posted:
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27 Feb 08
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Last Revised:
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01 Oct 09
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92
(142,813)
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2
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Andreasen, Martin M.
CREATES, Aarhus University
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27
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2
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Deterministic trends, DSGE models, Error distributions, Moment generating functions, Stochastic trends, Stochastic volatility, Unit-roots
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Andreasen, Martin M.
CREATES, Aarhus University
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| Posted: |
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27 Feb 08
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Last Revised:
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01 Oct 09
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65
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2
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Deterministic trends, DSGE models, Error distributions, Moment generating functions, Stochastic trends, Unit-roots
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10.
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Andreasen, Martin M.
CREATES, Aarhus University
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28 Jan 10
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Last Revised:
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15 Dec 10
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88
(147,078)
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2
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Likelihood inference, Non-linear DSGE models, Non-normal shocks, Particle filtering
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11.
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An Efficient Method of Computing Higher-Order Bond Price Perturbation Approximations
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Versions (2)
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Andreasen, Martin M.
CREATES, Aarhus University Zabczyk, Pawel
Bank of England
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Posted:
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04 May 10
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Last Revised:
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18 Mar 11
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70
(169,088)
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4
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Andreasen, Martin M.
CREATES, Aarhus University Zabczyk, Pawel
Bank of England
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23
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4
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Perturbation method, DSGE models, habit model, higher-order approximation
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Andreasen, Martin M.
CREATES, Aarhus University Zabczyk, Pawel
Bank of England
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04 May 10
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Last Revised:
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11 May 10
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47
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4
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Perturbation method, DSGE models, Habit model, Higher order approximation
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12.
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Andreasen, Martin M.
CREATES, Aarhus University Christensen, Bent Jesper
University of Aarhus - Department of Economics
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09 Mar 10
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Last Revised:
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26 Apr 11
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62
(180,424)
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2
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Bond data, GMM, Non-linear filtering, Non-linear least squares, SMM
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13.
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Andreasen, Martin M.
CREATES, Aarhus University
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59
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2
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Great Moderation, Productivity shocks, and Time-varying coefficients
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14.
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Andreasen, Martin M.
CREATES, Aarhus University Ferman, Marcelo
London School of Economics & Political Science (LSE) - Department of Economics Zabczyk, Pawel
Bank of England
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27
(251,488)
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1
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Banks, DSGE model, financial frictions, firm heterogeneity, maturity transformation
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15.
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Andreasen, Martin M.
CREATES, Aarhus University
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22
(267,871)
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market price of risk, non-linear filtering, quantity of risk, Epstein-Zin-Weil preferences, third-order perturbation
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16.
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Andreasen, Martin M.
CREATES, Aarhus University Fernández-Villaverde, Jesús
University of Pennsylvania - Department of Economics Rubio-Ramirez, Juan Francisco
Duke University - Department of Economics
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0
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5
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