Relative risk aversion and power-law distribution of macroeconomic disasters
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Other versions of this item:
- Michal Brzezinski, 2015. "Relative Risk Aversion and Power‐Law Distribution of Macroeconomic Disasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(1), pages 170-175, January.
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- Michal Brzezinski, 2016. "Robust estimation of the Pareto tail index: a Monte Carlo analysis," Empirical Economics, Springer, vol. 51(1), pages 1-30, August.
- Michał Brzeziński, 2013. "Robust estimation of the Pareto index: A Monte Carlo Analysis," Working Papers 2013-32, Faculty of Economic Sciences, University of Warsaw.
More about this item
Keywordscoefficient of relative risk aversion; power-law modelling; macroeconomic disasters; replication; robust statistics;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-16 (All new papers)
- NEP-ECM-2013-02-16 (Econometrics)
- NEP-RMG-2013-02-16 (Risk Management)
- NEP-UPT-2013-02-16 (Utility Models & Prospect Theory)
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