Matching the moments: a test of three representative agent models

DOI10.1080/00207729808929607zbMATH Open1065.91527OpenAlexW1967856790MaRDI QIDQ4546802FDOQ4546802

Authors: Roger Craine Edit this on Wikidata

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

• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• 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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