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Title
Learning rare disasters / von Laszlo Tetenyi
AuthorTetenyi, Laszlo
CensorHaefke, Christian
Published2014
Description49 Bl. : graph. Darst.
Institutional NoteWien, Techn. Univ., Master Thesis, 2014
LanguageEnglish
Document typeMaster Thesis
Keywords (EN)learning / macro-finance / disasters / Epstein-Zin utility / Markov
URNurn:nbn:at:at-ubtuw:1-77420 Persistent Identifier (URN)
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 The work is publicly available
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Learning rare disasters [0.56 mb]
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Abstract (English)

The purpose of this thesis is to evaluate the performance of a macrofinance model equipped with Epstein-Zin utility, learning and disasters. The observed high price of risk in the United States economy is successfully explained, but the variances of the financial variables generated by the model are unrealistically low.

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