Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case

DOI10.1007/S00199-002-0302-YMaRDI QIDQ1404151zbMATH OpenOpenAlexFDO

Authors Peter J. Hammond, Yeneng Sun

Publication date 20 August 2003

Published in Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00199-002-0302-y

zbMATH Keywords

exchangeabilitylaw of large numbersde Finetti's theoremjoint measurabilityMonte Carlo convergenceLoeb spacescontinuum of random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Exchangeability for stochastic processes (60G09)

Recommendations

• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case
• Risk premiums and macroeconomic dynamics in a heterogeneous agent model
• Monte Carlo inference in econometric models with symmetric stable disturbances
• Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
• Optimal risk in wealth exchange models: agent dynamics from a microscopic perspective
• Estimation of financial agent-based models with simulated maximum likelihood
• scientific article; zbMATH DE number 7228943
• Equilibrium heterogeneous-agent models as measurement tools: some Monte Carlo evidence

Cited in

(10)

• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case
• The exact law of large numbers via Fubini extension and characterization of insurable risks
• Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case
• The essential equivalence of pairwise and mutual conditional independence
• Monte Carlo sampling processes and incentive compatible allocations in large economies
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
• Conditional exact law of large numbers and asymmetric information economies with aggregate uncertainty
• Joint measurability and the one-way Fubini property for a continuum of independent random variables
• The one-way Fubini property and conditional independence: an equivalence result
• Core, equilibria and incentives in large asymmetric information economies

This page was built for publication: Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1404151)