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In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.
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This paper studies relationships between the local determinacy of a stationary equilibrium in the perfect foresight dynamics, and its local stability in dynamics arising from econometric learning procedures. There is no clear links in linear scalar economieds where agents forecast only one...
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methodology views rational expectations equilibria as reasonable predictors whenever they can be derived from more basic Common …
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We consider Rational Expectations Equilibria in infinite horizon models in which equilibrium to-day depends upon the …
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