Cross-paper technical concepts and methods used throughout the project. Grouped by theme; frontier topics tagged (active) or (emerging).
Regime-switching asset pricing & term structure
- Coupled Riccati recursions (active)
- CRE cap-rate decomposition
- Exponential-quadratic asset pricing factors (active)
- Inflation risk premium
- Markov regime-switching asset prices
- Markov-switching RE CRE pricing (emerging)
- Multiplicative factorization of the SDF
- Regime-shift risk premium
- Regime-switching affine term-structure model
- Regime-switching affine term structure
- Regime-switching no-arbitrage term structure
Markov jump linear systems & control
- Coupled algebraic Riccati equation
- Markov jump linear system
- Mean-square stability via operator spectral radius
- Principal eigenfunction of the pricing operator
- Risk-sensitive MJLS impossibility (emerging)
- Semigroup approach to asset pricing
- Spectral-radius test for the Markov pricing operator (active)
Rational expectations & monetary policy
- Bayesian indeterminacy testing (active)
- Beliefs & counterfactual simulation (emerging)
- Forward convergence condition
- Forward-looking Taylor rule with regime switching
- Forward method for rational expectations
- Identification under regime switching (active)
- Long-run Taylor principle
- MOD solution & MSRE determinacy (active)
- Monetary-policy regime switching
- New Keynesian Phillips curve
- No-bubble condition
Filtering & state estimation
- Exponential belief-state growth
- Gaussian mixture reduction
- GPB & IMM collapsing filters
- Interacting Multiple Model (IMM)
- RBPF particle-count diagnostics (emerging)
- State-dependent regime transitions
- Switching Kalman filter