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Maćkowiak, Bartosz; Matějka, Filip; Wiederholt, Mirko - 2017

Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention problems. We start from the benchmark rational inattention problem. An agent tracks a variable of interest that follows a Gaussian process. The...

Persistent link: https://www.econbiz.de/10011636897

Individual Property Risk Management

Belasco, Eric - 2010

This paper reviews household property risk management and estimates normatively optimal choice under theoretical assumptions. Although risk retention limits are common in the financial planning industry, estimates of optimal risk retention that include both financial and human wealth far exceed...

Persistent link: https://www.econbiz.de/10013146583

Rational inattention in the frequency domain

Jurado, Kyle - In: Journal of economic theory 208 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014390487

Learning and Risk Management Decisions

Lohmaier, Dominik - 2015

Due to the lack of descriptive information about the effectiveness of risk management activities, decision-makers often have to rely on (their own) prior experience with these investments. Thus, we propose a novel, feedback-based approach to examine risk management decisions. We simulate...

Persistent link: https://www.econbiz.de/10013019703

Financial surveillance

Frisén, Marianne (ed.) - 2008

Persistent link: https://www.econbiz.de/10003555592

Non-parametric approach to dynamic time series discrete choice models

Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - 2013

Persistent link: https://www.econbiz.de/10010349116

Simulation estimation of dynamic discrete choice panel models with accelerated importance samplers

Zhang, Wei; Lee, Lung-fei - In: The econometrics journal 7 (2004) 1, pp. 120-142

Persistent link: https://www.econbiz.de/10002121982

Revisiting forecasting of recessions via dynamic probit for time series by Kauppi and Saikkonen (2008)

Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - 2017

Persistent link: https://www.econbiz.de/10011746524

Forecasting of recessions via dynamic probit for time series : replication and extension of Kauppi and Saikkonen (2008)

Park, Byeong U.; Simar, Léopold; Zelenyuk, Valentin - In: Empirical economics : a journal of the Institute for … 58 (2020) 1, pp. 379-392

Persistent link: https://www.econbiz.de/10012219002

Rational Exuberance Booms and Asymmetric Business Cycles

Ambrocio, Gene - 2016

I propose a theory of information production and learning in credit markets in which the incentives to engage in … excessive optimism that fueled booms preceding financial crises and the slow recoveries that followed. In my theory, information … with model predictions, I find supporting evidence in terms of a U-shaped pattern in macro-uncertainty measures over the …

Persistent link: https://www.econbiz.de/10014131465

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