Numerical solution of dynamic quantile models

DOI10.1016/J.JEDC.2023.104617MaRDI QIDQ6164883zbMATH OpenOpenAlexFDO

Authors Luciano I. de Castro, Antonio F. Galvao, Andre Muchon

Publication date 4 July 2023

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2023.104617

zbMATH Keywords

dynamic programmingquantile preferencesvalue function iterations

Mathematics Subject Classification ID

Dynamic programming (90C39) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02)

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• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Unique solutions for stochastic recursive utilities

Cited in

(5)

• Static and dynamic quantile preferences
• Dynamic quantile models
• A numerically stable quadrature procedure for the one-factor random-component discrete choice model
• Analytical Quantile Solution for the S-distribution, Random Number Generation and Statistical Data Modeling
• Quantile approach to intertemporal consumption with multiple assets

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