Matching the moments: a test of three representative agent models

DOI10.1080/00207729808929607zbMath1065.91527OpenAlexW1967856790MaRDI QIDQ4546802

Roger Craine

Publication date: 1998

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729808929607

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Matching models (91B68)

Cites Work

• Unnamed Item
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
• Martingales and arbitrage in multiperiod securities markets
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

This page was built for publication: Matching the moments: a test of three representative agent models