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Evan W. Anderson

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Jennifer Juergens & Evan Anderson & Eric Ghysels, 2004. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Econometric Society 2004 North American Summer Meetings 477, Econometric Society.

    Cited by:

    1. Park, Sunjin, 2022. "Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium," Journal of Banking & Finance, Elsevier, vol. 136(C).
    2. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    3. Anastassia Fedyk, 2018. "Disagreement after News: Gradual Information Diffusion or Differences of Opinion?," 2018 Meeting Papers 1095, Society for Economic Dynamics.
    4. Chi, Jianxin (Daniel) & Gupta, Manu, 2009. "Overvaluation and earnings management," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1652-1663, September.
    5. Todd Feldman & Shuming Liu, 2018. "A New Predictive Measure Using Agent-Based Behavioral Finance," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 941-959, April.
    6. Jongen, R. & Muller, A. & Verschoor, W.F.C., 2012. "Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 148-169.
    7. Hussinger, Katrin & Pacher, Sebastian, 2014. "Information ambiguity and firm value," ZEW Discussion Papers 14-093, ZEW - Leibniz Centre for European Economic Research.
    8. Roberto Pascual & David Veredas, 2009. "Does the open limit order book matter in explaining informational volatility?," ULB Institutional Repository 2013/183777, ULB -- Universite Libre de Bruxelles.
    9. Onishchenko, Olena & Zhao, Jing & Kongahawatte, Sampath & Kuruppuarachchi, Duminda, 2024. "Investor heterogeneity and anchoring-induced momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    10. Attig, Najah & El Ghoul, Sadok, 2021. "Flying under the radar: The real effects of anonymous trading," Journal of Corporate Finance, Elsevier, vol. 71(C).
    11. Adam V. Reed & Pedro A. C. Saffi & Edward D. Van Wesep, 2021. "Short-Sales Constraints and the Diversification Puzzle," Management Science, INFORMS, vol. 67(2), pages 1159-1182, February.
    12. Leonardo Iania & Robbe Collage & Michiel Vereycken, 2023. "The Impact of Uncertainty in Macroeconomic Variables on Stock Returns in the USA," JRFM, MDPI, vol. 16(3), pages 1-15, March.
    13. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    14. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    15. Elyès Jouini, 2023. "Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy," Management Science, INFORMS, vol. 69(7), pages 4190-4209, July.
    16. Graham, John R. & Harvey, Campbell R. & Rajgopal, Shiva, 2005. "The economic implications of corporate financial reporting," Journal of Accounting and Economics, Elsevier, vol. 40(1-3), pages 3-73, December.
    17. Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
    18. Luisito Bertinelli & Arnaud Bourgain & Florian Léon, 2020. "Corruption and tax compliance: evidence from small retailers in Bamako, Mali," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 366-370, March.
    19. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    20. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
    21. Luo, Xin & Tao, Yunqing & Zou, Kai, 2022. "A new measure of realized volatility: Inertial and reverse realized semivariance," Finance Research Letters, Elsevier, vol. 47(PA).
    22. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    23. Xue-Zhong He & Lei Shi & Min Zheng, 2012. "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series 302, Quantitative Finance Research Centre, University of Technology, Sydney.
    24. Kenneth Kasa & Todd B. Walker & Charles H. Whiteman, 2014. "Heterogeneous Beliefs and Tests of Present Value Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 81(3), pages 1137-1163.
    25. De Santis, Roberto A. & Ehling, Paul, 2007. "Do international portfolio investors follow firms' foreign investment decisions?," Working Paper Series 815, European Central Bank.
    26. Söderlind, Paul, 2009. "Why disagreement may not matter (much) for asset prices," Finance Research Letters, Elsevier, vol. 6(2), pages 73-82, June.
    27. Kewei Hou & Chen Xue & Lu Zhang, 2017. "Replicating Anomalies," NBER Working Papers 23394, National Bureau of Economic Research, Inc.
    28. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
    29. Katrin Hussinger & Sebastian Pacher, 2018. "Information Ambiguity, Patents and the Market Value of Innovative Assets," DEM Discussion Paper Series 18-17, Department of Economics at the University of Luxembourg.
    30. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
    31. Jozef Barunik & Martin Hronec & Ondrej Tobek, 2024. "Predicting the distributions of stock returns around the globe in the era of big data and learning," Papers 2408.07497, arXiv.org.
    32. Aleksejs Krecetovs & Pasquale Della Corte, 2016. "Macro uncertainty and currency premia," 2016 Meeting Papers 624, Society for Economic Dynamics.
    33. Liu, Hao & Zhang, Qun, 2021. "Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
    34. D. Schneller & S. Heiden & M. Heiden & A. Hamid, 2018. "Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility," German Economic Review, Verein für Socialpolitik, vol. 19(2), pages 209-236, May.
    35. Asani Sarkar & Robert A. Schwartz, 2006. "Two-sided markets and intertemporal trade clustering: insights into trading motives," Staff Reports 246, Federal Reserve Bank of New York.
    36. Shi, Lei, 2016. "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 30-46.
    37. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
    38. Junjun Ma & Xindan Li & Lei Lu & Weixing Wu & Xiong Xiong, 2022. "Individual investors' dispersion in beliefs and stock returns," Financial Management, Financial Management Association International, vol. 51(3), pages 929-953, September.
    39. Fabrice Rousseau & Hervé Boco & Laurent Germain, 2016. "Heterogeneous Noisy Beliefs and Dynamic Competition in Financial Markets," Economics Department Working Paper Series n269-16.pdf, Department of Economics, National University of Ireland - Maynooth.
    40. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    41. Alexandre Ziegler, 2007. "Why Does Implied Risk Aversion Smile?," The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 859-904.
    42. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
    43. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.
    44. Xue-Zhong He & Lei Shi, 2012. "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series 303, Quantitative Finance Research Centre, University of Technology, Sydney.
    45. Naes, Randi & Skjeltorp, Johannes A., 2006. "Order book characteristics and the volume-volatility relation: Empirical evidence from a limit order market," Journal of Financial Markets, Elsevier, vol. 9(4), pages 408-432, November.
    46. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    47. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Staff Working Papers 08-16, Bank of Canada.
    48. Li, Yan & Liang, Chao & Huynh, Toan L.D. & He, Qiubei, 2022. "Price reversal and heterogeneous belief," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 104-119.
    49. Vu Tran & Rasha Alsakka & Owain ap Gwilym, 2018. "Multiple credit ratings and market heterogeneity," Working Papers 2018-26, Swansea University, School of Management.
    50. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
    51. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
    52. Ikeda, Naoshi, 2023. "Optimism, divergence of investors’ opinions, and the long-run underperformance of IPOs," Journal of Financial Markets, Elsevier, vol. 64(C).
    53. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    54. Gauvin, Ludovic & McLoughlin, Cameron & Reinhardt, Dennis, 2014. "Policy uncertainty spillovers to emerging markets – evidence from capital flows," Bank of England working papers 512, Bank of England.
    55. Shin S. Ikeda & Yan Zhang, 2012. "Heterogeneous Beliefs, a Short-Sale Restriction, and the Cross Section of Stock Returns: An Evidence from China," GRIPS Discussion Papers 12-12, National Graduate Institute for Policy Studies.
    56. Yang, Jianlei & Yang, Chunpeng & Hu, Xiaoyi, 2021. "Economic policy uncertainty dispersion and excess returns: Evidence from China," Finance Research Letters, Elsevier, vol. 40(C).
    57. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2023. "Policy uncertainty and stock market volatility revisited: The predictive role of signal quality," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2307-2321, December.
    58. Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "Economic Uncertainty, Disagreement, and Credit Markets," Management Science, INFORMS, vol. 60(5), pages 1281-1296, May.
    59. Pietro Dindo, 2015. "Survival in Speculative Markets," LEM Papers Series 2015/32, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    60. Gupta-Mukherjee, Swasti, 2013. "When active fund managers deviate from their peers: Implications for fund performance," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1286-1305.
    61. Jordi Mondria & Xavier Vives & Liyan Yang, 2022. "Costly Interpretation of Asset Prices," Management Science, INFORMS, vol. 68(1), pages 52-74, January.
    62. Jeffrey Hobbs & Hei Wai Lee & Vivek Singh, 2017. "New evidence on the effect of belief heterogeneity on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 289-309, February.
    63. He, Xue-Zhong & Shi, Lei, 2017. "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 64-79.
    64. Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.
    65. Andrew Y. Chen & Tom Zimmermann, 2022. "Open Source Cross-Sectional Asset Pricing," Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
    66. Yang, Mingjing & Cheng, Xiaoke & Chan, Kam C. & Gao, Shenghao, 2018. "Information cost or heterogeneous beliefs? An examination of the impact of value uncertainty on auction-style SEO discounts in China," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 206-217.
    67. Yan Han & Xue-Feng Shao & Xin Cui & Xiao-Guang Yue & Kelvin Joseph Bwalya & Otilia Manta, 2019. "Assessing Investor Belief: An Analysis of Trading for Sustainable Growth of Stock Markets," Sustainability, MDPI, vol. 11(20), pages 1-18, October.
    68. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    69. Nezafat, Mahdi & Shen, Tao & Wang, Qinghai & Wu, Julie, 2022. "Longs, shorts, and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 138(C).
    70. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
    71. Tobek, Ondrej & Hronec, Martin, 2021. "Does it pay to follow anomalies research? Machine learning approach with international evidence," Journal of Financial Markets, Elsevier, vol. 56(C).
    72. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
    73. Benjamin Croitoru & Lei Lu, 2015. "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs," Management Science, INFORMS, vol. 61(9), pages 2203-2219, September.
    74. H. Henry Cao & Hui Ou-Yang, 2009. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options," The Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 299-335, January.
    75. Mariya Letdin & C. Stace Sirmans & G. Stacy Sirmans, 2024. "Spread Too Thin: REIT Asset Dispersion and Divergence of Opinion," The Journal of Real Estate Finance and Economics, Springer, vol. 69(2), pages 201-227, August.
    76. Hillert, Alexander & Jacobs, Heiko & Müller, Sebastian, 2018. "Journalist disagreement," Journal of Financial Markets, Elsevier, vol. 41(C), pages 57-76.
    77. Bo Liu & Kemin Wang, 2019. "Uncertainty of political subsidy, heterogeneous beliefs, and IPO anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 923-951, May.
    78. Hayette Gatfaoui, 2010. "Capital Asset Pricing Model," Post-Print hal-00589904, HAL.
    79. Carl Chen & Peter Lung & F. Wang, 2013. "Where are the sources of stock market mispricing and excess volatility?," Review of Quantitative Finance and Accounting, Springer, vol. 41(4), pages 631-650, November.
    80. Riccardo Colacito & Mariano M. Croce, 2012. "International Robust Disagreement," American Economic Review, American Economic Association, vol. 102(3), pages 152-155, May.
    81. Steven D. Baker & Burton Hollifield & Emilio Osambela, 2018. "Preventing Controversial Catastrophes," Finance and Economics Discussion Series 2018-052, Board of Governors of the Federal Reserve System (U.S.).
    82. Eric Aldrich, 2012. "Trading Volume in General Equilibrium with Complete Markets," 2012 Meeting Papers 36, Society for Economic Dynamics.
    83. Adem Atmaz & Suleyman Basak, 2018. "Belief Dispersion in the Stock Market," Journal of Finance, American Finance Association, vol. 73(3), pages 1225-1279, June.
    84. Bams, Dennis & Blanchard, Gildas & Honarvar, Iman & Lehnert, Thorsten, 2017. "Does oil and gold price uncertainty matter for the stock market?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 270-285.
    85. Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
    86. Samdani, Taufique, 2019. "Anchor-backed IPOs, reported earnings, and heterogeneous investors' beliefs," Journal of Corporate Finance, Elsevier, vol. 59(C), pages 72-87.
    87. Hwai-Chung Ho & Chien-Chih Lin, 2011. "Influence of heterogeneous beliefs on volatility when agents' degree of confidence differs," Applied Economics Letters, Taylor & Francis Journals, vol. 18(10), pages 955-959.
    88. Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima, 2024. "Media opinion divergence and stock returns: Evidence from China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    89. Rieger, Jörg, 2014. "Financial Integration with Heterogeneous Beliefs," Working Papers 0568, University of Heidelberg, Department of Economics.
    90. Fatemi, Ali & Glaum, Martin & Kaiser, Stefanie, 2018. "ESG performance and firm value: The moderating role of disclosure," Global Finance Journal, Elsevier, vol. 38(C), pages 45-64.
    91. Mirza Faizan Ahmed, 2019. "Estimating proportion of noise traders and asset prices," Business Review, School of Economics and Social Sciences, IBA Karachi, vol. 14(2), pages 1-12, July-Dece.
    92. Alexandre Ziegler, 2002. "Why does Implied Risk Aversion Smile?," FAME Research Paper Series rp47, International Center for Financial Asset Management and Engineering.
    93. Kang, Hyung Cheol & Lee, Dong Wook & Park, Kyung Suh, 2010. "Does the difference in valuation between domestic and foreign investors help explain their distinct holdings of domestic stocks?," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2886-2896, December.
    94. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2022. "Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors," Economic Modelling, Elsevier, vol. 107(C).
    95. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    96. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    97. Gong, Qiang & Jacoby, Gady & Li, Shi & Lu, Lei, 2021. "Commonality in disagreement," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    98. Zhiqi Cao & Wenfeng Wu, 2023. "Difference of opinion among investors versus analysts," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2347-2381, June.
    99. Hibbert, Ann Marie & Kang, Qiang & Kumar, Alok & Mishra, Suchi, 2020. "Heterogeneous beliefs and return volatility around seasoned equity offerings," Journal of Financial Economics, Elsevier, vol. 137(2), pages 571-589.
    100. Steven D Baker & Burton Hollifield & Emilio Osambela, 2020. "Preventing Controversial Catastrophes," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(1), pages 1-60.
    101. Saskia ter Ellen & Willem F.C. Verschoor & Remco C.J. Zwinkels, 2016. "Agreeing on disagreement: heterogeneity or uncertainty?," Working Paper 2016/4, Norges Bank.
    102. Jin, Shunyao & Kimbrough, Michael D. & Wang, Isabel Yanyan, 2024. "Privileged information access, analyst consensus building, and stock return volatility: Evidence from the JOBS Act," Advances in accounting, Elsevier, vol. 64(C).
    103. Gao, George P. & Lu, Xiaomeng & Song, Zhaogang & Yan, Hongjun, 2019. "Disagreement beta," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 96-113.
    104. Feng, Shu & Zhang, Yi & Friesen, Geoffrey C., 2015. "The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 62-73.

  2. Evan W. Anderson & Lars Peter Hansen & Ellen R. McGrattan & Thomas J. Sargent, 1995. "On the mechanics of forming and estimating dynamic linear economies," Staff Report 198, Federal Reserve Bank of Minneapolis.

    Cited by:

    1. Linnea Polgreen & Pedro Silos, 2005. "Capital-skill complementarity and inequality: a sensitivity analysis," FRB Atlanta Working Paper 2005-20, Federal Reserve Bank of Atlanta.
    2. Jean-Paul L'Huillier & Guido Lorenzoni & Olivier J. Blanchard, 2009. "News, Noise and Fluctuations: An Empirical Exploration," 2009 Meeting Papers 99, Society for Economic Dynamics.
    3. Svensson, Lars E. O. & Williams, Noah, 2005. "Monetary policy with model uncertainty: distribution forecast targeting," Discussion Paper Series 1: Economic Studies 2005,35, Deutsche Bundesbank.
    4. Frank Hespeler, 2007. "Solution Algorithm to a Class of Monetary Rational Equilibrium Macromodels with Optimal Monetary Policy Design," EcoMod2007 23900036, EcoMod.
    5. Richard Dennis, 2007. "Model uncertainty and monetary policy," Working Paper Series 2007-09, Federal Reserve Bank of San Francisco.
    6. Jean-Bernard Chatelain & Kirsten Ralf, 2014. "Stability and Identification with Optimal Macroprudential Policy Rules," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00978145, HAL.
    7. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," Working Papers 04-20, New York University, Leonard N. Stern School of Business, Department of Economics.
    8. Parra-Alvarez, Juan Carlos & Polattimur, Hamza & Posch, Olaf, 2021. "Risk matters: Breaking certainty equivalence in linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    9. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2001. "Comparing dynamic equilibrium economies to data," FRB Atlanta Working Paper 2001-23, Federal Reserve Bank of Atlanta.
    10. Liu, Philip, 2010. "Stabilization bias for a small open economy: The case of New Zealand," Journal of Macroeconomics, Elsevier, vol. 32(3), pages 921-935, September.
    11. Pelin Ilbas, 2007. "Optimal Monetary Policy Rules for the Euro Area in a DSGE Framework," Money Macro and Finance (MMF) Research Group Conference 2006 59, Money Macro and Finance Research Group.
    12. Chatelain, Jean-Bernard & Ralf, Kirsten, 2017. "Can we Identify the Fed's Preferences?," MPRA Paper 76831, University Library of Munich, Germany.
    13. Favero, Carlo A. & Milani, Fabio, 2005. "Parameter Instability, Model Uncertainty and the Choice of Monetary Policy," CEPR Discussion Papers 4909, C.E.P.R. Discussion Papers.
    14. Jean-Bernard Chatelain & Kirsten Ralf, 2019. "A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables," Economics Bulletin, AccessEcon, vol. 39(4), pages 2429-2440.
    15. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    16. Mahdi Ebrahimi Kahou & Jesús Fernández-Villaverde & Jesse Perla & Arnav Sood, 2021. "Exploiting Symmetry in High-Dimensional Dynamic Programming," NBER Working Papers 28981, National Bureau of Economic Research, Inc.
    17. Elmar Mertens, 2010. "Discreet Commitments and Discretion of Policymakers with Private Information," 2010 Meeting Papers 763, Society for Economic Dynamics.
    18. Michel Juillard & Tarik Ocaktan, 2008. "Méthodes de simulation des modèles stochastiques d'équilibre général," Post-Print hal-00813425, HAL.
    19. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
    20. Chao, Hui-Ping, 1998. "Regime Switching In Us Livestock Cycles," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20824, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    21. Hall, George J., 1996. "Overtime, effort, and the propagation of business cycle shocks," Journal of Monetary Economics, Elsevier, vol. 38(1), pages 139-160, August.
    22. Jean-Bernard Chatelain & Kirsten Ralf, 2020. "The Welfare of Ramsey Optimal Policy Facing Auto-Regressive Shocks," Working Papers halshs-02564377, HAL.
    23. Chatelain, Jean-Bernard & Ralf Kirsten, 2016. "Countercyclical versus Procyclical Taylor Principles," EconStor Preprints 129796, ZBW - Leibniz Information Centre for Economics.
    24. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
    25. Tatiana Damjanovic & Vladislav Damjanovic & Charles Nolan, 2011. "Ordering policy rules with an unconditional welfare measure," Working Papers 2011_15, Business School - Economics, University of Glasgow.
    26. Sharon Kozicki & Peter A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.
    27. Christoph Himmels & Tatiana Kirsanova, 2011. "Expectations Traps and Monetary Policy with Limited Commitment," Discussion Papers 1102, University of Exeter, Department of Economics.
    28. Uhlig, H.F.H.V.S., 1995. "A toolkit for analyzing nonlinear dynamic stochastic models easily," Discussion Paper 1995-97, Tilburg University, Center for Economic Research.
    29. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September.
    30. George J. Hall, 2002. "Exchange Rates and Casualties During the First World War," NBER Working Papers 9261, National Bureau of Economic Research, Inc.
    31. Francesca Monti, 2008. "Forecast with judgment and models," Working Paper Research 153, National Bank of Belgium.
    32. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2004. "Estimating dynamic equilibrium economies: linear versus nonlinear likelihood," FRB Atlanta Working Paper 2004-3, Federal Reserve Bank of Atlanta.
    33. Dennis, Richard & Leitemo, Kai & Söderström, Ulf, 2009. "Methods for robust control," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1604-1616, August.
    34. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CESifo Working Paper Series 8250, CESifo.
    35. Chan, N.H. & Cheung, Simon K.C. & Wong, Samuel P.S., 2020. "Inference for the degree distributions of preferential attachment networks with zero-degree nodes," Journal of Econometrics, Elsevier, vol. 216(1), pages 220-234.
    36. Andrew P. Blake & Tatiana Kirsanova, 2012. "Discretionary Policy and Multiple Equilibria in LQ RE Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(4), pages 1309-1339.
    37. Lubik, Thomas A. & Matthes, Christian & Mertens, Elmar, 2020. "Indeterminacy and imperfect information," Discussion Papers 01/2020, Deutsche Bundesbank.
    38. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724, Elsevier.
    39. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic Equilibrium Economies: A Framework for Comparing Models and Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 433-451.
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    41. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Thomas J. Sargent, 2005. "A, B, C’s, (and D’s) for understanding VARs," FRB Atlanta Working Paper 2005-09, Federal Reserve Bank of Atlanta.
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    1. Baoline Chen & Peter Zadrozny, 2003. "Higher-Moments in Perturbation Solution of the Linear-Quadratic Exponential Gaussian Optimal Control Problem," Computational Economics, Springer;Society for Computational Economics, vol. 21(1), pages 45-64, February.

Articles

  1. Evan W. Anderson & Ai-Ru (Meg) Cheng, 2016. "Robust Bayesian Portfolio Choices," The Review of Financial Studies, Society for Financial Studies, vol. 29(5), pages 1330-1375.

    Cited by:

    1. Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
    2. Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
    3. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    4. Johannes Bock, 2018. "An updated review of (sub-)optimal diversification models," Papers 1811.08255, arXiv.org.
    5. Svetlana Bryzgalova & Jiantao Huang & Christian Julliard, 2023. "Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models," Journal of Finance, American Finance Association, vol. 78(1), pages 487-557, February.
    6. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
    7. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
    8. Kellerer, Belinda, 2019. "Portfolio Optimization and Ambiguity Aversion," Junior Management Science (JUMS), Junior Management Science e. V., vol. 4(3), pages 305-338.
    9. Angelini, Pierpaolo & Maturo, Fabrizio, 2022. "The price of risk based on multilinear measures," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 39-57.
    10. Kouaissah, Noureddine, 2021. "Robust conditional expectation reward–risk performance measures," Economics Letters, Elsevier, vol. 202(C).
    11. Kouaissah, Noureddine, 2023. "Robust reward-risk performance measures with weakly second-order stochastic dominance constraints," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 53-62.
    12. Carrasco, Ignacio & Hansen, Erwin, 2022. "Asset pricing model uncertainty and portfolio choice," Finance Research Letters, Elsevier, vol. 45(C).
    13. Beckmann, J & Koop, G & Korobilis, D & Schüssler, R, 2017. "Exchange rate predictability and dynamic Bayesian learning," Essex Finance Centre Working Papers 20781, University of Essex, Essex Business School.

  2. Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J., 2012. "Small noise methods for risk-sensitive/robust economies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 468-500.

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    1. Hyosung Kwon & Jianjun Miao, 2013. "Three Types of Robjst Ramsey Problem in a Linear-Quadratic Framework," Boston University - Department of Economics - Working Papers Series 2013-019, Boston University - Department of Economics.
    2. Ellison, Martin & Sargent, Thomas J., 2012. "Welfare cost of business cycles in economies with individual consumption risk," Bank of Finland Research Discussion Papers 25/2012, Bank of Finland.
    3. William Brock & Anastasios Xepapadeas, 2015. "Modeling Coupled Climate, Ecosystems, and Economic Systems," DEOS Working Papers 1508, Athens University of Economics and Business.
    4. Moll, Benjamin & Fagereng, Andreas & Blomhoff Holm, Martin & Natvik, Gisle James, 2020. "Saving Behavior Across the Wealth Distribution: The Importance of Capital Gains," CEPR Discussion Papers 14355, C.E.P.R. Discussion Papers.
    5. William Brock & Anastasios Xepapadeas, 2020. "Regional climate policy under deep uncertainty: robust control and distributional concerns," DEOS Working Papers 2009, Athens University of Economics and Business.
    6. Anderson, Evan W. & Brock, William & Sanstad, Alan H., 2016. "Robust Consumption and Energy Decisions," 2017 Allied Social Sciences Association (ASSA) Annual Meeting, January 6-8, 2017, Chicago, Illinois 250117, Agricultural and Applied Economics Association.
    7. William Brock & Anastasios Xepapadeas, 2020. "Spatial Environmental and Resource Economics," DEOS Working Papers 2002, Athens University of Economics and Business.
    8. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
    9. In-Koo Cho & Kenneth Kasa, 2013. "An Escape Time Interpretation of Robust Control," Discussion Papers dp13-07, Department of Economics, Simon Fraser University.
    10. Bäuerle, Nicole & Jaśkiewicz, Anna, 2018. "Stochastic optimal growth model with risk sensitive preferences," Journal of Economic Theory, Elsevier, vol. 173(C), pages 181-200.
    11. Anmol Bhandari & David Evans & Mikhail Golosov & Thomas J. Sargent, 2018. "Inequality, Business Cycles, and Monetary-Fiscal Policy," Working Papers 18-26, New York University, Leonard N. Stern School of Business, Department of Economics.
    12. Jaśkiewicz, Anna & Nowak, Andrzej S., 2014. "Stationary Markov perfect equilibria in risk sensitive stochastic overlapping generations models," Journal of Economic Theory, Elsevier, vol. 151(C), pages 411-447.
    13. Nicole Bauerle & Anna Ja'skiewicz, 2015. "Stochastic Optimal Growth Model with Risk Sensitive Preferences," Papers 1509.05638, arXiv.org.
    14. Agliardi, Elettra & Xepapadeas, Anastasios, 2022. "Temperature targets, deep uncertainty and extreme events in the design of optimal climate policy," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    15. Kenneth Kasa & Xiaowen Lei, 2017. "Risk, Uncertainty, and the Dynamics of Inequality," Discussion Papers dp17-06, Department of Economics, Simon Fraser University.
    16. Martin Ellison & Thomas J. Sargent, 2015. "Welfare Cost of Business Cycles with Idiosyncratic Consumption Risk and a Preference for Robustness," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(2), pages 40-57, April.
    17. Lee, Sang Seok & Luk, Paul, 2018. "The Asian Financial Crisis and international reserve accumulation: A robust control approach," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 284-309.
    18. Balbus, Łukasz & Jaśkiewicz, Anna & Nowak, Andrzej S., 2015. "Stochastic bequest games," Games and Economic Behavior, Elsevier, vol. 90(C), pages 247-256.

  3. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.

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    1. Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
    2. Hsieh, Chia-Chun & Ma, Zhiming & Novoselov, Kirill E., 2019. "Accounting conservatism, business strategy, and ambiguity," Accounting, Organizations and Society, Elsevier, vol. 74(C), pages 41-55.
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    4. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    5. Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2024. "Dual effects of investor sentiment and uncertainty in financial markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 300-315.
    6. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
    7. Wang, Haijun, 2017. "Robust asset pricing with stochastic hyperbolic discounting," Finance Research Letters, Elsevier, vol. 21(C), pages 178-185.
    8. Krahnen, Jan Pieter & Ockenfels, Peter & Wilde, Christian, 2014. "Measuring ambiguity aversion: A systematic experimental approach," SAFE Working Paper Series 55, Leibniz Institute for Financial Research SAFE.
    9. Masud Alam, 2024. "Volatility in U.S. Housing Sector and the REIT Equity Return," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 505-544, October.
    10. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
    11. Coleman, Les, 2014. "Why finance theory fails to survive contact with the real world: A fund manager perspective," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 25(3), pages 226-236.
    12. Leonardo Iania & Robbe Collage & Michiel Vereycken, 2023. "The Impact of Uncertainty in Macroeconomic Variables on Stock Returns in the USA," JRFM, MDPI, vol. 16(3), pages 1-15, March.
    13. Yehuda Izhakian & David Yermack, 2014. "Risk, Ambiguity, and the Exercise of Employee Stock Options," NBER Working Papers 19975, National Bureau of Economic Research, Inc.
    14. Yang, Jianlei & Yang, Chunpeng, 2021. "The impact of mixed-frequency geopolitical risk on stock market returns," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 226-240.
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    16. Menachem Brenner & Yehuda Izhakian & Orly Sade, 2011. "Ambiguity and Overconfidence," Working Papers 11-06, New York University, Leonard N. Stern School of Business, Department of Economics.
    17. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
    18. Ron Bird & Krishna Reddy & Danny Yeung, 2011. "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series 14, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
    19. Viviana Ventre & Roberta Martino, 2022. "Quantification of Aversion to Uncertainty in Intertemporal Choice through Subjective Perception of Time," Mathematics, MDPI, vol. 10(22), pages 1-16, November.
    20. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    21. Huisman, Ronald & Van der Sar, Nico L. & Zwinkels, Remco C.J., 2021. "Volatility expectations and disagreement," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 379-393.
    22. Luisito Bertinelli & Arnaud Bourgain & Florian Léon, 2020. "Corruption and tax compliance: evidence from small retailers in Bamako, Mali," Applied Economics Letters, Taylor & Francis Journals, vol. 27(5), pages 366-370, March.
    23. Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
    24. Licheng Sun & Liang Meng & Mohammad Najand, 2017. "The Role of U.S. Market on International Risk-Return Tradeoff Relations," The Financial Review, Eastern Finance Association, vol. 52(3), pages 499-526, August.
    25. Gasparini, Matteo, 2023. "Are financial markets pricing the net zero carbon transition? A reconsideration of the carbon premium," INET Oxford Working Papers 2023-23, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    26. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
    27. Chen, Qiang & Han, Yu, 2023. "Options market ambiguity and its information content," Journal of Financial Markets, Elsevier, vol. 64(C).
    28. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
    29. Takayuki Ogawa & Jun Sakamoto, 2021. "Welfare implications of mitigating investment uncertainty," Annals of Finance, Springer, vol. 17(4), pages 559-582, December.
    30. Ryan T. Ball & Lindsey Gallo & Eric Ghysels, 2019. "Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product," Review of Accounting Studies, Springer, vol. 24(2), pages 570-592, June.
    31. Turan G. Bali & Hao Zhou, 2011. "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series 2011-45, Board of Governors of the Federal Reserve System (U.S.).
    32. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    33. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
    34. Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers halshs-01898435, HAL.
    35. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
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    37. Katrin Hussinger & Sebastian Pacher, 2018. "Information Ambiguity, Patents and the Market Value of Innovative Assets," DEM Discussion Paper Series 18-17, Department of Economics at the University of Luxembourg.
    38. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    39. Chen, Weihua & Mamon, Rogemar & Xiong, Heng & Zeng, Pingping, 2024. "Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    40. D. Schneller & S. Heiden & M. Heiden & A. Hamid, 2018. "Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility," German Economic Review, Verein für Socialpolitik, vol. 19(2), pages 209-236, May.
    41. Ron Bird & Daniel Choi & Danny Yeung, 2011. "Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift," Working Paper Series 15, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney.
    42. Ghahtarani, Alireza & Saif, Ahmed & Ghasemi, Alireza, 2024. "Worst-case Conditional Value at Risk for asset liability management: A framework for general loss functions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 500-519.
    43. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
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    46. Zhang, Jinqing & Jin, Zeyu & An, Yunbi, 2017. "Dynamic portfolio optimization with ambiguity aversion," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 95-109.
    47. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
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    1. Croce & Colacito, 2008. "Risk sharing for the long-run. The benefits from financial integration," 2008 Meeting Papers 985, Society for Economic Dynamics.
    2. Hakon Tretvoll, 2018. "Real Exchange Variability in a Two-Country Business Cycle Model," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 27, pages 123-145, January.
    3. Lorenzo Maria Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Papers 2304.04599, arXiv.org, revised Dec 2024.
    4. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," The Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
    5. Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
    6. Pashchenko, Svetlana & Porapakkarm, Ponpoje, 2021. "Value of Life and Annuity Demand," MPRA Paper 107378, University Library of Munich, Germany.
    7. Hakon Tretvoll, 2013. "Investment-Specific Technology Shocks and Recursive Preferences," 2013 Meeting Papers 1207, Society for Economic Dynamics.
    8. Sebastian Sitarz, 2009. "Pareto optimal allocations and dynamic programming," Annals of Operations Research, Springer, vol. 172(1), pages 203-219, November.
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    10. Stanca Lorenzo, 2023. "Recursive preferences, correlation aversion, and the temporal resolution of uncertainty," Working papers 080, Department of Economics, Social Studies, Applied Mathematics and Statistics (Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche), University of Torino.
    11. Mariano M. Croce & Riccardo Colacito, 2010. "International Asset Pricing with Risk-Sensitive Rare Events," 2010 Meeting Papers 176, Society for Economic Dynamics.
    12. Hansen, Lars Peter & Sargent, Thomas J., 2007. "Recursive robust estimation and control without commitment," Journal of Economic Theory, Elsevier, vol. 136(1), pages 1-27, September.
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    14. Anastasios G. Karantounias, 2013. "Optimal Fiscal Policy with Recursive Preferences," FRB Atlanta Working Paper 2013-07, Federal Reserve Bank of Atlanta.
    15. Riccardo Colacito & Mariano M. Croce, 2011. "Risks for the Long Run and the Real Exchange Rate," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 153-181.
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    17. Anastasios Xepapadeas & Athanasios Yannacopoulos, 2018. "Spatially Structured Deep Uncertainty, Robust Control, and Climate Change Policies," DEOS Working Papers 1807, Athens University of Economics and Business.
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    21. David Backus & Chase Coleman & Axelle Ferriere & Spencer Lyon, 2016. "Pareto weights as wedges in two-country models," Working Papers 16-07, New York University, Leonard N. Stern School of Business, Department of Economics.
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    25. Nicole Bauerle & Anna Ja'skiewicz, 2015. "Stochastic Optimal Growth Model with Risk Sensitive Preferences," Papers 1509.05638, arXiv.org.
    26. Mariano Croce & Riccardo Colacito, 2012. "International Asset Pricing with Recursive Preferences," 2012 Meeting Papers 984, Society for Economic Dynamics.
    27. Hakon Tretvoll, 2012. "Real exchange rate variability in a two country business cycle model," 2012 Meeting Papers 911, Society for Economic Dynamics.
    28. Riccardo Colacito & Mariano M. Croce, 2012. "International Robust Disagreement," American Economic Review, American Economic Association, vol. 102(3), pages 152-155, May.
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    30. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
    31. Lorenzo Stanca, 2023. "Recursive Preferences, Correlation Aversion, and the Temporal Resolution of Uncertainty," Carlo Alberto Notebooks 693 JEL Classification: C, Collegio Carlo Alberto.
    32. Romain Fillon & Céline Guivarch & Nicolas Taconet, 2023. "Optimal climate policy under tipping risk and temporal risk aversion [Politique climatique optimale en cas de risque de basculement et d'aversion au risque temporel]," Post-Print hal-04250702, HAL.
    33. Lars Peter Hansen & Anastasios G. Karantounias & Thomas J. Sargent, 2009. "Managing expectations and fiscal policy," FRB Atlanta Working Paper 2009-29, Federal Reserve Bank of Atlanta.
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    35. Hubert Asienkiewicz & Łukasz Balbus, 2019. "Existence of Nash equilibria in stochastic games of resource extraction with risk-sensitive players," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(3), pages 502-518, October.

  6. Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent, 2003. "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection," Journal of the European Economic Association, MIT Press, vol. 1(1), pages 68-123, March.

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    1. Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
    2. Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
    3. Chi Seng Pun, 2022. "Robust classical-impulse stochastic control problems in an infinite horizon," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 291-312, October.
    4. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
    5. Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
    6. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Control and Model Misspecification," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 6, pages 155-216, World Scientific Publishing Co. Pte. Ltd..
    7. Yan, Jingzhou & Mu, Congming & Yan, Qianhui & Luo, Deqing, 2023. "Robust leverage choice of hedge funds with rare disasters," Finance Research Letters, Elsevier, vol. 54(C).
    8. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
    9. Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
    10. Richard Dennis, 2013. "Imperfect Credibility and Robust Monetary Policy," CAMA Working Papers 2013-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Han, Nan-Wei & Hung, Mao-Wei, 2021. "The annuity puzzle and consumption hump under ambiguous life expectancy," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 76-88.
    12. Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
    13. Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
    14. Wu, Yaoyao & Yang, Jinqiang & Zou, Zhentao, 2017. "Dynamic corporate investment and liquidity management under model uncertainty," Economics Letters, Elsevier, vol. 155(C), pages 9-13.
    15. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    16. Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
    17. Karantounias, Anastasios G., 2023. "Doubts about the model and optimal policy," Journal of Economic Theory, Elsevier, vol. 210(C).
    18. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
    19. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
    20. Wang, Haijun, 2017. "Robust asset pricing with stochastic hyperbolic discounting," Finance Research Letters, Elsevier, vol. 21(C), pages 178-185.
    21. Miao, Jianjun & Wang, Neng, 2011. "Risk, uncertainty, and option exercise," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
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Chapters

  1. Anderson, Evan W. & McGrattan, Ellen R. & Hansen, Lars Peter & Sargent, Thomas J., 1996. "Mechanics of forming and estimating dynamic linear economies," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 4, pages 171-252, Elsevier.
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