On Modeling Risk Shocks

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Dorofeenko, Victor ; Lee, Gabriel ; Salyer, Kevin ; Strobel, Johannes (2016)
  • Subject: 330 Wirtschaft | ddc:330

Within the context of a financial accelerator model, we model time-varying uncertainty (i.e. risk shocks) through the use of a mixture Normal model with time variation in the weights applied to the underlying distributions characterizing entrepreneur productivity. Speci... View more
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