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Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case

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  • Peter Hammond

    ()

  • Yeneng Sun

    ()

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File URL: http://hdl.handle.net/10.1007/s00199-007-0279-7
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 36 (2008)
Issue (Month): 2 (August)
Pages: 303-325

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Handle: RePEc:spr:joecth:v:36:y:2008:i:2:p:303-325

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Web page: http://link.springer.de/link/service/journals/00199/index.htm

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Related research

Keywords: Large economy; Event-wise measurable conditional probabilities; Exchangeability; Conditional independence; Monte Carlo convergence; Monte Carlo σ-algebra; Stochastic macro structure; C00; D80; E00;

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References

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  1. Peter Hammond & Yeneng Sun, 2001. "Monte Carlo Simulation of Macroeconomic Risk with a Continuum of Agents: The Symmetric Case," Working Papers 01015, Stanford University, Department of Economics.
  2. Peter J. Hammond & Yeneng Sun, 2000. "Joint Measurability and the One-way Fubini Property for a Continuum of Independent Random Variables," Working Papers 00008, Stanford University, Department of Economics.
  3. Sun, Yeneng, 1998. "A theory of hyperfinite processes: the complete removal of individual uncertainty via exact LLN1," Journal of Mathematical Economics, Elsevier, vol. 29(4), pages 419-503, May.
  4. Sun, Yeneng & Yannelis, Nicholas C., 2007. "Perfect competition in asymmetric information economies: compatibility of efficiency and incentives," Journal of Economic Theory, Elsevier, vol. 134(1), pages 175-194, May.
  5. Sun, Yeneng, 2006. "The exact law of large numbers via Fubini extension and characterization of insurable risks," Journal of Economic Theory, Elsevier, vol. 126(1), pages 31-69, January.
  6. Yeneng Sun & Nicholas Yannelis, 2008. "Ex ante efficiency implies incentive compatibility," Economic Theory, Springer, vol. 36(1), pages 35-55, July.
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Citations

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Cited by:
  1. Sun, Yeneng & Wu, Lei & Yannelis, Nicholas C., 2012. "Existence, incentive compatibility and efficiency of the rational expectations equilibrium," Games and Economic Behavior, Elsevier, vol. 76(1), pages 329-339.
  2. Yeneng Sun & Lei Wu & Nicholas C. Yannelis, 2011. "Existence, Incentive Compatibility and Efficiency of the Rational Expectations Equilibrium," The School of Economics Discussion Paper Series 1108, Economics, The University of Manchester.

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