How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders
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- Walker, Todd B., 2007. "How equilibrium prices reveal information in a time series model with disparately informed, competitive traders," Journal of Economic Theory, Elsevier, vol. 137(1), pages 512-537, November.
- Todd B. Walker, 2005. "How Equilibrium Prices Reveal Information in Time Series Models with Disparately Informed, Competitive Traders," Finance 0509021, University Library of Munich, Germany.
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Citations
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Cited by:
- Tan, Fei, 2018. "A Frequency-Domain Approach to Dynamic Macroeconomic Models," MPRA Paper 90487, University Library of Munich, Germany.
- Philippe Bacchetta & Eric Van Wincoop, 2008.
"Higher Order Expectations in Asset Pricing,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, August.
- Philippe Bacchetta & Eric Van Wincoop, 2008. "Higher Order Expectations in Asset Pricing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(5), pages 837-866, August.
- Philippe Bacchetta & Eric van Wincoop, 2004. "Higher Order Expectations in Asset Pricing," Working Papers 04.03, Swiss National Bank, Study Center Gerzensee.
- Bacchetta, Philippe & van Wincoop, Eric, 2008. "Higher Order Expectations in Asset Pricing," CEPR Discussion Papers 6648, C.E.P.R. Discussion Papers.
- Philippe BACCHETTA & Eric VAN WINCOOP, 2004. "Higher Order Expectations in Asset Pricing," FAME Research Paper Series rp110, International Center for Financial Asset Management and Engineering.
- Kristoffer Nimark, 2007.
"Dynamic Higher Order Expectations,"
2007 Meeting Papers
542, Society for Economic Dynamics.
- Nimark, Kristoffer P, 2017. "Dynamic Higher Order Expectations," CEPR Discussion Papers 11863, C.E.P.R. Discussion Papers.
- Kristoffer Nimark, 2007. "Dynamic higher order expectations," Economics Working Papers 1118, Department of Economics and Business, Universitat Pompeu Fabra, revised Mar 2011.
- Kristoffer Nimark, 2017. "Dynamic Higher Order Expectations," 2017 Meeting Papers 1132, Society for Economic Dynamics.
- Eric R. Young & Ponpoje Porapakkarm, 2008. "Information Heterogeneity in the Macroeconomy," 2008 Meeting Papers 67, Society for Economic Dynamics.
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- Pengfei Wang & Yi Wen, 2007. "Incomplete information and self-fulfilling prophecies," Working Papers 2007-033, Federal Reserve Bank of St. Louis.
- George-Marios Angeletos & Chen Lian, 2016. "Incomplete Information in Macroeconomics: Accommodating Frictions in Coordination," NBER Working Papers 22297, National Bureau of Economic Research, Inc.
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- Rondina, Giacomo & Walker, Todd B., 2021.
"Confounding dynamics,"
Journal of Economic Theory, Elsevier, vol. 196(C).
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More about this item
Keywords
Asset Pricing; Asymmetric Information;JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FIN-2006-09-30 (Finance)
- NEP-FMK-2006-09-30 (Financial Markets)
- NEP-FOR-2006-09-30 (Forecasting)
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