Folgen
Martin M. Andreasen
Martin M. Andreasen
Bestätigte E-Mail-Adresse bei econ.au.dk - Startseite
Titel
Zitiert von
Zitiert von
Jahr
The pruned state-space system for non-linear DSGE models: Theory and empirical applications
MM Andreasen, J Fernández-Villaverde, JF Rubio-Ramírez
The Review of Economic Studies 85 (1), 1-49, 2018
3352018
On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models
MM Andreasen
Review of Economic Dynamics 15 (3), 295-316, 2012
1282012
An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia
MM Andreasen
European Economic Review 56 (8), 1656-1674, 2012
882012
The TIPS liquidity premium
MM Andreasen, JHE Christensen, S Riddell
Review of Finance 25 (6), 1639-1675, 2021
802021
Non‐linear DSGE models and the central difference Kalman filter
MM Andreasen
Journal of Applied Econometrics 28 (6), 929-955, 2013
682013
How to maximize the likelihood function for a DSGE model
MM Andreasen
Computational Economics 35, 127-154, 2010
592010
Term structure analysis with big data: one-step estimation using bond prices
MM Andreasen, JHE Christensen, GD Rudebusch
Journal of Econometrics 212 (1), 26-46, 2019
472019
The business cycle implications of banksʼ maturity transformation
MM Andreasen, M Ferman, P Zabczyk
Review of Economic Dynamics 16 (4), 581-600, 2013
422013
Non-linear DSGE models, the central difference Kalman filter, and the mean shifted particle filter
MM Andreasen
The Central Difference Kalman Filter, and The Mean Shifted Particle Filter …, 2008
42*2008
Dynamic term structure models: The best way to enforce the zero lower bound
MM Andreasen, A Meldrum
342014
Non-linear DSGE models and the optimized central difference particle filter
MM Andreasen
Journal of Economic Dynamics and Control 35 (10), 1671-1695, 2011
34*2011
The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
MM Andreasen, BJ Christensen
Journal of Econometrics 184 (2), 420-451, 2015
312015
Market beliefs about the UK monetary policy lift-off horizon: a no-arbitrage shadow rate term structure model approach
MM Andreasen, A Meldrum
Bank of England Working Paper, 2015
232015
Likelihood inference in non-linear term structure models: the importance of the lower bound
MM Andreasen, A Meldrum
Bank of England Working Paper, 2013
232013
The yield spread and bond return predictability in expansions and recessions
MM Andreasen, T Engsted, SV Møller, M Sander
The Review of Financial Studies 34 (6), 2773-2812, 2021
222021
Explaining macroeconomic and term structure dynamics jointly in a non-linear DSGE model
MM Andreasen
CREATES Research Paper, 2011
222011
A shadow rate or a quadratic policy rule? The best way to enforce the zero lower bound in the United States
MM Andreasen, A Meldrum
Journal of Financial and Quantitative Analysis 54 (5), 2261-2292, 2019
202019
Stochastic volatility and DSGE models
MM Andreasen
Economics Letters 108 (1), 7-9, 2010
182010
TIPS Liquidity and the Outlook for Inflation
MM Andreasen, JHE Christensen
FRBSF Economic Letter 35, 1-5, 2016
172016
Efficient bond price approximations in non-linear equilibrium-based term structure models
MM Andreasen, P Zabczyk
Studies in Nonlinear Dynamics & Econometrics 19 (1), 1-33, 2015
172015
Das System kann den Vorgang jetzt nicht ausführen. Versuchen Sie es später erneut.
Artikel 1–20