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Chapter 6. Solving and Simulating Models with Heterogeneous Agents and Aggregate Uncertainty

Algan, Yann; Allais, Olivier; Den Haan, Wouter J.; … - In: Handbook of computational economics : volume 3, (pp. 277-324). 2014

Although almost nonexistent 15 years ago, there are now numerous papers that analyze models with both aggregate uncertainty and a large number—typically a continuum—of heterogeneous agents. These models make it possible to study whether macroeconomic fluctuations affect different agents...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014025716

Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions

Algan, Yann; Allais, Olivier; Den Haan, Wouter J. - In: Journal of economic dynamics & control 34 (2010) 1, pp. 59-68

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003922106

From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011350605

Solving heterogeneous-agent models with parameterized cross-sectional distributions

Algan, Yann; Allais, Olivier; Den Haan, Wouter J. - 2007

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003413777

Solving heterogeneous-agent models with parameterized cross-sectional distributions

Algan, Yann; Allais, Olivier; Den Haan, Wouter J. - In: Journal of economic dynamics & control 32 (2008) 3, pp. 875-908

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003687458

Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm and non-stochastic simulations

Young, Eric R. - In: Journal of economic dynamics & control 34 (2010) 1, pp. 36-41

Persistent link: https://ebvufind01.dmz1.zbw.eu/10003922087

Simulations for models with heterogeneous agents, incomplete markets, real assets and aggregate uncertainty

Pierri, Damian - In: Journal of economic interaction and coordination 20 (2025) 1, pp. 197-236

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331217

Asymptotic methods for asset market equilibrium analysis

Judd, Kenneth L.; Guu, Sy-Ming - In: Economic theory : official journal of the Society for … 18 (2001) 1, pp. 127-157

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001592821

Utility maximization in incomplete markets with random endowment

Cvitanić, Jakša; Schachermayer, Walter; Wang, Hui - In: Finance and stochastics 5 (2001) 2, pp. 259-272

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001571508

Asymptotic methods for asset market equilibrium analysis

Judd, Kenneth L.; Guu, Sy-Ming - 2001

Persistent link: https://ebvufind01.dmz1.zbw.eu/10001558167