Recursive preferences, learning and large deviations
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DOI: 10.1016/j.econlet.2014.06.014
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- Dave, Chetan & Dressler, Scott & Malik, Samreen, 2022. "A Cautionary Tale of Fat Tails," Working Papers 2022-1, University of Alberta, Department of Economics.
- Michele Berardi, 2020. "A probabilistic interpretation of the constant gain learning algorithm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(4), pages 393-403, October.
- Dave, Chetan & Sorge, Marco, 2023. "Fat Tailed DSGE Models: A Survey and New Results," Working Papers 2023-3, University of Alberta, Department of Economics.
- Dave, Chetan & Sorge, Marco M., 2020. "Sunspot-driven fat tails: A note," Economics Letters, Elsevier, vol. 193(C).
- Dave, Chetan & Sorge, Marco, 2020. "Equilibrium Indeterminacy and Extreme Outcomes: A Fat Sunspot Ta(i)l(e)," Working Papers 2020-12, University of Alberta, Department of Economics.
- Dave, Chetan & Sorge, Marco M., 2021. "Equilibrium indeterminacy and sunspot tales," European Economic Review, Elsevier, vol. 140(C).
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More about this item
Keywords
Recursive preferences; Adaptive learning; Large deviations; Fat tails; Asset prices;All these keywords.
JEL classification:
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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