Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099000 | Journal of Economic Dynamics and Control | 2010 | 6 Pages |
Abstract
This article describes the approach to computing the version of the stochastic growth model with idiosyncratic and aggregate risk that relies on collapsing the aggregate state space down to a small number of moments used to forecast future prices. One innovation relative to most of the literature is the use of a non-stochastic simulation routine.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Eric R. Young,