Computation in Macroeconomic Asset Pricing

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Date

2011

Authors

Aldrich, Eric Mark

Advisors

Gallant, A. Ronald

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Abstract

This dissertation investigates computational methods for macroeconomic asset pricing models. It demonstrates that advances in economic modeling often require advances in computation and highlights a particular case where more demanding computational methods are required to solve an economic model. It also discusses advances in computational technology that allow researchers to utilize solution methods that would have been previously infeasible. In particular, it demonstrates the wide applicability and potential gains of GPU computing, a parallel computing framework, and applies those tools to a computationally challenging model which investigates trading volume in a general equilibrium, complete-markets economy where agents have heterogeneous beliefs.

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Citation

Aldrich, Eric Mark (2011). Computation in Macroeconomic Asset Pricing. Dissertation, Duke University. Retrieved from https://hdl.handle.net/10161/5004.

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Dukes student scholarship is made available to the public using a Creative Commons Attribution / Non-commercial / No derivative (CC-BY-NC-ND) license.