Bounding tail probabilities in dynamic economic models

DOI10.1017/S136510051100054XMaRDI QIDQ2907909zbMATH OpenOpenAlexFDO

Authors John Stachurski

Publication date 4 September 2012

Published in Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s136510051100054x

zbMATH Keywords

ergodicitystationary distributionstail events

Mathematics Subject Classification ID

Economic dynamics (91B55) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)

Recommendations

• scientific article; zbMATH DE number 880297
• Problems of ruin and survival in economics: applications of limit theorems in probability
• Tail behavior of a threshold autoregressive stochastic volatility model
• INVARIANT PROBABILITY DISTRIBUTIONS IN ECONOMIC MODELS: A GENERAL RESULT
• Expected utility inequalities: theory and applications

Cites work

• Markov Chains and Stochastic Stability
• Simulated Moments Estimation of Markov Models of Asset Prices
• Threshold Autoregression with a Unit Root

Cited in

(1)

• Small noise methods for risk-sensitive/robust economies

This page was built for publication: Bounding tail probabilities in dynamic economic models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2907909)