Cagan type rational expectation model on complex discrete time domains

In this article, we derive a solution for a linear stochastic model on a complex time domain. In this type of models, the time domain can be any collection of points along the real number line, so these models are suitable for problems where events do not occur at evenly-spaced time intervals. We present examples based on well-known results from economics and finance to illustrate how our model generalizes and extends conventional dynamic models.

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Year of publication:	2014
Authors:	Atıcı, Ferhan M. ; Ekiz, Funda ; Lebedinsky, Alex
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 237.2014, 1, p. 148-151
Publisher:	Elsevier
Subject:	Stochastic difference equations \| Rational expectations \| Martingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011097695