Recursive preferences, learning and large deviations

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

2 Scopus Citations
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Author(s)

  • Chetan Dave
  • Kwok Ping Tsang

Detail(s)

Original languageEnglish
Pages (from-to)329-334
Journal / PublicationEconomics Letters
Volume124
Issue number3
Publication statusPublished - Sep 2014
Externally publishedYes

Abstract

We estimate the relative contribution of recursive preferences versus adaptive learning in accounting for the tail thickness of price-dividends/rents ratios. We find that both of these sources of volatility account for volatility in liquid (stocks) but not illiquid (housing) assets. © 2014 Elsevier B.V.

Research Area(s)

  • Adaptive learning, Asset prices, Fat tails, Large deviations, Recursive preferences

Citation Format(s)

Recursive preferences, learning and large deviations. / Dave, Chetan; Tsang, Kwok Ping.

In: Economics Letters, Vol. 124, No. 3, 09.2014, p. 329-334.

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review