Institute for advanced studies - IAS
20.05.2021 - 20.05.2021
Andras Fulop is professor in Finance at ESSEC Business School - France
Solved dynamic structural macro_finance models are often non-linear and/or non-Gaussian with high dimension and complex structure. We propose an annealed
controlled sequential Monte Carlo method that delivers an efficient estimate of likelihood function by constructing the globally optimal proposal distributions
relying on approximate dynamic programming and by following a tempering procedure for gradually absorbing information in observations. We further develop
a new adaptive SMC2 algorithm with annealed controlled sequential Monte carlo nested. Finally, we show that our proposed methodology performs well by estimating
two popular macro-finance models, a new Keynesian dynamic stochastic general equilibrium model and a consumption-based long-run risk model. The next steps in our research agenda will also be discussed.
Date : 20 May 2021 from 12:30 to 14:00
To attend the guest lecture, please connect to Zoom:
https://cyu-fr.zoom.us/j/91923607350
ID meeting: 919 2360 7350
The video will be online on the CY AS YouTube channel
