Browsing Economic and Management Sciences by Author "Ivashchenko, Sergey"

Browsing Economic and Management Sciences by Author "Ivashchenko, Sergey"

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  • Forecasting using a nonlinear DSGE model 
    Ivashchenko, Sergey; Gupta, Rangan (Sciendo, 2018)
    A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model was estimated (54 variables, 29 state variables, 7 observed variables). The model includes an observed variable for stock market returns. The ...
  • Forecasting with second-order approximations and Markov-switching DSGE models 
    Ivashchenko, Sergey; Cekin, Semih Emre; Kotze, Kevin; Gupta, Rangan (Springer, 2020-12)
    This paper considers the out-of-sample forecasting performance of first- and second-order perturbation approximations for DSGE models that incorporate Markov-switching behaviour in the policy reaction function and the ...
  • Real-time forecast of DSGE models with time-varying volatility in GARCH form 
    Çekin, Semih Emre; Ivashchenko, Sergey; Gupta, Rangan; Lee, Chien-Chiang (Elsevier, 2024-05)
    Recent research shows that time-varying volatility plays a crucial role in non-linear modeling. Contributing to this literature, we suggest an approach that allows for straightforward computation of DSGE models with ...