Sources of Entropy in Representative Agent Models
收藏NBER2011-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w17219
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资源简介：
We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over different
提供机构：
美国国家经济研究局
创建时间：
2011-07-01
