Tail of the stationary solution of the stochastic equation Yn+1=anYn+bn with Markovian coefficients
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jess Benhabib & Alberto Bisin & Mi Luo, 2019.
"Wealth Distribution and Social Mobility in the US: A Quantitative Approach,"
American Economic Review, American Economic Association, vol. 109(5), pages 1623-1647, May.
- Jess Benhabib & Alberto Bisin & Mi Luo, 2015. "Wealth Distribution and Social Mobility in the US: A Quantitative Approach," NBER Working Papers 21721, National Bureau of Economic Research, Inc.
- Dave, Chetan & Malik, Samreen, 2017. "A tale of fat tails," European Economic Review, Elsevier, vol. 100(C), pages 293-317.
- Toda, Alexis Akira, 2019.
"Wealth distribution with random discount factors,"
Journal of Monetary Economics, Elsevier, vol. 104(C), pages 101-113.
- Toda, Alexis Akira, 2017. "Wealth Distribution with Random Discount Factors," University of California at San Diego, Economics Working Paper Series qt5n29f260, Department of Economics, UC San Diego.
- Predrag R. Jelenković & Jian Tan, 2010. "Modulated Branching Processes, Origins of Power Laws, and Queueing Duality," Mathematics of Operations Research, INFORMS, vol. 35(4), pages 807-829, November.
- Jess Benhabib & Alberto Bisin & Shenghao Zhu, 2011.
"The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents,"
Econometrica, Econometric Society, vol. 79(1), pages 123-157, January.
- Jess Benhabib & Alberto Bisin, 2009. "The distribution of wealth and fiscal policy in economies with finitely lived agents," NBER Working Papers 14730, National Bureau of Economic Research, Inc.
- Cozzi, Guido & Mantovan, Noemi, 2021. "To get Rich is Glorious, but only if Fairly," MPRA Paper 107305, University Library of Munich, Germany.
- Brendan K. Beare & Alexis Akira Toda, 2022.
"Determination of Pareto Exponents in Economic Models Driven by Markov Multiplicative Processes,"
Econometrica, Econometric Society, vol. 90(4), pages 1811-1833, July.
- Brendan K. Beare & Alexis Akira Toda, 2017. "Determination of Pareto exponents in economic models driven by Markov multiplicative processes," Papers 1712.01431, arXiv.org, revised Jan 2022.
- Jess Benhabib & Chetan Dave, 2014.
"Learning, Large Deviations and Rare Events,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(3), pages 367-382, July.
- Jess Benhabib & Chetan Dave, 2011. "Learning, Large Deviations and Rare Events," NBER Working Papers 16816, National Bureau of Economic Research, Inc.
- Cline, Daren B.H., 2007. "Regular variation of order 1 nonlinear AR-ARCH models," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 840-861, July.
- Stelzer, Robert, 2008. "Multivariate Markov-switching ARMA processes with regularly varying noise," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1177-1190, July.
- Christian Pietro & Marco M. Sorge, 2018. "Stochastic dominance and thick-tailed wealth distributions," Journal of Economics, Springer, vol. 123(2), pages 141-159, March.
- Sabiou Inoua, 2015. "The Intrinsic Instability of Financial Markets," Papers 1508.02203, arXiv.org.
- Benhabib, Jess & Bisin, Alberto & Zhu, Shenghao, 2015. "The wealth distribution in Bewley economies with capital income risk," Journal of Economic Theory, Elsevier, vol. 159(PA), pages 489-515.
- Blanchet, Jose & Lam, Henry & Zwart, Bert, 2012. "Efficient rare-event simulation for perpetuities," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3361-3392.
More about this item
Keywords
Stochastic difference equation Markov-switching auto-regression Markov chains Renewal theory Non-negative matrices Spectral radius Random walk Ladder heights;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:115:y:2005:i:12:p:1954-1978. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no bibliographic references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.