Cagan type rational expectation model on complex discrete time domains

Ferhan M. Atıcı, Funda Ekiz and Alex Lebedinsky

European Journal of Operational Research, 2014, vol. 237, issue 1, 148-151

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.

Keywords: Stochastic difference equations; Rational expectations; Martingales (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:237:y:2014:i:1:p:148-151

DOI: 10.1016/j.ejor.2014.02.028

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