Stationary bubble equilibria in rational expectation models
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Publication:2227066
DOI10.1016/j.jeconom.2020.04.035zbMath1464.91058OpenAlexW3122736434MaRDI QIDQ2227066
Alain Monfort, Christian Gouriéroux, Joanna Jasiak
Publication date: 9 February 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://crest.science/RePEc/wpstorage/2016-31.pdf
transversality conditionrational expectationspeculative bubbledynamic equilibrium identificationstationary martingalevolatility induced mean-reversion
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)
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Noncausal affine processes with applications to derivative pricing ⋮ Editors' introduction. Special issue in honor of Jean-Marie Dufour on identification, inference, and causality ⋮ On the study of a rational expectation model with lagged endogenous variables
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