Volatility as a Choice

• Authors: Dudek Maciej K.
• Languages of publication: EN

Abstracts

EN

endogenous volatility self-confirming beliefs general equilibrium rationality

Keywords

EN

endogenous volatility; self-confirming beliefs; general equilibrium; rationality

• Publisher: Szkoła Główna Handlowa w Warszawie
• Journal: Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
• Year: 2013
• Volume: 93: Expectations and Forecasting
• Pages: 71-122

Dates

published

2013-09-01

Contributors

author

Dudek Maciej K.

• Uniwersytet Vistula
• Polska Adademia Nauk

References

• Angelatos, G.-M., La'O, J. (2012). Sentiments. Econometrica, forthcoming.
• Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77, 623-685.
• Brock, W. A., Hommes, C. H. (1997). A rational route to randomness. Econometrica, 65, 1059-1095.
• Calvet, L. (2001). Incomplete markets and volatility. Journal of Economic Theory, 98, 295-338.
• Camerer, C. F., Ho, T.-H., Chong, J.-K. (2004). A cognitive hierarchy model of games. Quarterly Journal of Economics, 119, 861-989.
• Diamond, P. A. (1965). National debt in a neoclassical growth model. American Economic Review, 55, 1126-1150.
• Dudek, M. K. (2010). A consistent route to randomness. Journal of Economic Theory, 145, 354-381.
• Dudek, M. K. (2012). Living in an imaginary world that looks real, available at SSRN: http://ssrn.com/abstract=2189708.
• Eyster, E., Piccione, M. (2012). An approach to asset-pricing under incomplete and diverse perceptions. Econometrica, forthcoming.
• Eusepi, S., Preston, B. (2011). Expectations, learning and business cycle fluctuations. American Economic Review, 101, 2844-2872.
• Grandmont, J.-M. (1998). Expectations formation and stability of large socioeconomic systems. Econometrica, 66, 741-781.
• Grossman, S. J., Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. American Economic Review, 70, 393 408.
• Hellwig, C., Veldkamp, L. (2009). Knowing what others know: Coordination motives in information acquisition. Review of Economic Studies, 76, 223-251.
• Hommes, C. H. (1998). On the consistency of backward-looking expectations: The case of the Cobweb. Journal of Behavior and Organization, 33, 333-362.
• Hommes, C. H., Sorger, G. (1998). Consistent expectations equilibria. Macroeconomic Dynamics, 2, 287-321.
• Judd, K. (1995). The law of large numbers with a continuum of IID random variables. Journal of Economic Theory, 35, 19-25.
• Kurz, M., Motolese, M. (2011). Diverse beliefs and time variability of risk premia. Economic Theory, 47, 293-335.
• Lucas, R. E. Jr. (1972). Rational Eexpectations and the neutrality of money. Journal of Economic Theory, 4, 103-124.
• Matsuyama, K. (1999). Growing through cycles. Econometrica, 67, 335 347.
• Radunskaya, A. (1994). Comparing random and deterministic time series. Economic Theory, 4, 765-777.
• Sorger, G. (1998). Imperfect foresight and chaos: An example of a self fulfilling mistake. Journal of Economic Behavior and Organization, 33, 363-383.
• Strzałecki, T. (2011). Depth of reasoning and higher order beliefs, working paper, Harvard University.
• Townsend, R. (1983). Forecasting the forecasts of others. Journal of Political Economy, 91, 546-588.

Identifiers

ISSN

0866-9503