Matching the moments: a test of three representative agent models

DOI10.1080/00207729808929607MaRDI QIDQ4546802zbMATH OpenOpenAlexFDO

Authors Roger Craine

Publication date 1998

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (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

• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

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