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Cagan type rational expectation model on complex discrete time domains

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  • Atıcı, Ferhan M.
  • Ekiz, Funda
  • Lebedinsky, Alex

Abstract

In this article, we derive a solution for a linear stochastic model on a complex time domain. In this type of models, the time domain can be any collection of points along the real number line, so these models are suitable for problems where events do not occur at evenly-spaced time intervals. We present examples based on well-known results from economics and finance to illustrate how our model generalizes and extends conventional dynamic models.

Suggested Citation

  • Atıcı, Ferhan M. & Ekiz, Funda & Lebedinsky, Alex, 2014. "Cagan type rational expectation model on complex discrete time domains," European Journal of Operational Research, Elsevier, vol. 237(1), pages 148-151.
    • Handle: RePEc:eee:ejores:v:237:y:2014:i:1:p:148-151
    DOI: 10.1016/j.ejor.2014.02.028
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    References listed on IDEAS

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    9. Laurence Broze & Jacques Janssen & Ariane Szafarz, 1984. "On Solutions of Linear Models with Rational Expectations," ULB Institutional Repository 2013/659, ULB -- Universite Libre de Bruxelles.
    10. Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-425, March.
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    Cited by:

    1. Jørgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2023. "Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03634370, HAL.
    2. Jørgen Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2023. "Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems," Post-Print hal-03634370, HAL.
    3. Jørgen Vitting Andersen & Roy Cerqueti & Giulia Rotundo, 2017. "Rational expectations and stochastic systems," Documents de travail du Centre d'Economie de la Sorbonne 17060, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Oct 2019.
    4. Jorgen-Vitting Andersen & Roy Cerqueti & Jessica Riccioni, 2023. "Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems," Annals of Operations Research, Springer, vol. 326(1), pages 295-316, July.

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