Recursive preferences, learning and large deviations

被引：4

作者：

Dave, Chetan ^{[1
]}

Tsang, Kwok Ping ^{[2
]}

机构：

[1] New York Univ Abu Dhabi, New York, NY 10276 USA

[2] Virginia Tech, Dept Econ, Blacksburg, VA 24061 USA

来源：

ECONOMICS LETTERS | 2014年 / 124卷 / 03期

关键词：

Recursive preferences; Adaptive learning; Large deviations; Fat tails; Asset prices; TEMPORAL BEHAVIOR; ASSET RETURNS; RISK-AVERSION; SUBSTITUTION; CONSUMPTION;

D O I：

10.1016/j.econlet.2014.06.014

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price-dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：329 / 334

页数：6

共 50 条

[31] Large deviations for mixtures
Biggins, JD
ELECTRONIC COMMUNICATIONS IN PROBABILITY, 2004, 9 : 60 - 71
[32] AN INTRODUCTION TO LARGE DEVIATIONS
JAIN, NC
LECTURE NOTES IN MATHEMATICS, 1985, 1153 : 273 - 296
[33] Large deviations for martingales
Lesigne, E
Volny, D
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2001, 96 (01) : 143 - 159
[34] Large deviations for quicksort
McDiarmid, CJH
Hayward, RB
JOURNAL OF ALGORITHMS, 1996, 21 (03) : 476 - 507
[35] PROBABILITIES OF LARGE DEVIATIONS
WOLF, W
MATHEMATISCHE NACHRICHTEN, 1974, 62 (1-6) : 261 - 285
[36] On large deviations, I
Zhulenev, SV
THEORY OF PROBABILITY AND ITS APPLICATIONS, 1999, 44 (01) : 75 - 92
[37] Large deviations and entropy
Varadhan, SRS
ENTROPY-BK, 2003, : 199 - 214
[38] LARGE DEVIATIONS OF ESTIMATORS
KESTER, ADM
KALLENBERG, WCM
ANNALS OF STATISTICS, 1986, 14 (02): : 648 - 664
[39] Iterated large deviations
Lowe, M
STATISTICS & PROBABILITY LETTERS, 1996, 26 (03) : 219 - 223
[40] Optimal savings distortions with recursive preferences
Farhi, Emmanuel
Werning, Ivan
JOURNAL OF MONETARY ECONOMICS, 2008, 55 (01) : 21 - 42

← 1 2 3 4 5 →