52 citations · 119 across the 24 of their papers we have counts for
5 papers · 1 filter
Risk Sensitivity and Stationary Equilibrium in Incomplete Markets
Qingyin Ma, John Stachurski, Bin Wu
We study stationary equilibrium and comparative statics in an incomplete market economy with risk-sensitive preferences. We prove that a stationary equilibrium exists for every non…
Monotone Mixing and Distribution Dynamics
Takashi Kamihigashi, Qingyin Ma, John Stachurski
Many economic applications establish stability of Markov dynamics using the monotone mixing condition (MMC) of Hopenhayn and Prescott (1992). Working in the same setting as that pa…
Rare States and Long-Run Pricing
Ye Lu, John Stachurski
Macroeconomic crises are rare, yet they can have large effects on asset prices. Because the probability of entering a crisis from normal times is small relative to the probability…
A New Approach to Goodness of Fit for Ergodic Markov Processes
Vance Martin, Yoshihiko Nishiyama, John Stachurski +1
We introduce a new density-based goodness of fit test for ergodic Markov processes. Our test compares the data against the class of models specified in the null hypothesis, and rej…
Stationary Distributions in Monotone Markov Models: Theory and Applications
Takashi Kamihigashi, John Stachurski
Many economic models feature monotone Markov dynamics on state spaces that may be noncompact. Establishing existence, uniqueness, and stability of stationary distributions in such…