Martin M. Andreasen
Martin M. Andreasen
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Zitiert von
Zitiert von
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
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
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
The TIPS liquidity premium
MM Andreasen, JHE Christensen, S Riddell
Review of Finance 25 (6), 1639-1675, 2021
Non‐linear DSGE models and the central difference Kalman filter
MM Andreasen
Journal of Applied Econometrics 28 (6), 929-955, 2013
How to maximize the likelihood function for a DSGE model
MM Andreasen
Computational Economics 35, 127-154, 2010
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
The business cycle implications of banksʼ maturity transformation
MM Andreasen, M Ferman, P Zabczyk
Review of Economic Dynamics 16 (4), 581-600, 2013
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
Dynamic term structure models: The best way to enforce the zero lower bound
MM Andreasen, A Meldrum
Non-linear DSGE models and the optimized central difference particle filter
MM Andreasen
Journal of Economic Dynamics and Control 35 (10), 1671-1695, 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
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
Likelihood inference in non-linear term structure models: the importance of the lower bound
MM Andreasen, A Meldrum
Bank of England Working Paper, 2013
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
Explaining macroeconomic and term structure dynamics jointly in a non-linear DSGE model
MM Andreasen
CREATES Research Paper, 2011
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
Stochastic volatility and DSGE models
MM Andreasen
Economics Letters 108 (1), 7-9, 2010
TIPS Liquidity and the Outlook for Inflation
MM Andreasen, JHE Christensen
FRBSF Economic Letter 35, 1-5, 2016
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
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