Recursive preferences, learning and large deviations

We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price–dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets.

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Year of publication:	2014
Authors:	Dave, Chetan ; Tsang, Kwok Ping
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 3, p. 329-334
Publisher:	Elsevier
Subject:	Recursive preferences \| Adaptive learning \| Large deviations \| Fat tails \| Asset prices

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Type of publication:	Article
Classification:	D80 - Information and Uncertainty. General ; D83 - Search, Learning, Information and Knowledge ; D84 - Expectations; Speculations
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010930720