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Model uncertainty in financial markets : Long run risk and parameter uncertainty

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  • de Roode, F.A.

    (Tilburg University, School of Economics and Management)

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  • de Roode, F.A., 2014. "Model uncertainty in financial markets : Long run risk and parameter uncertainty," Other publications TiSEM c425daf8-c7a3-4ea4-8b18-3, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:c425daf8-c7a3-4ea4-8b18-370df0e8b21a
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    References listed on IDEAS

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    1. Wallace, Frederick H. & Shelley, Gary L., 2006. "An alternative test of purchasing power parity," Economics Letters, Elsevier, vol. 92(2), pages 177-183, August.
    2. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
    3. Antonios Sangvinatsos & Jessica A. Wachter, 2005. "Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?," Journal of Finance, American Finance Association, vol. 60(1), pages 179-230, February.
    4. William Dudley & Michelle Steinberg Ezer & Jennifer E. Roush, 2009. "The case for TIPS: an examination of the costs and benefits," Economic Policy Review, Federal Reserve Bank of New York, vol. 15(Jul), pages 1-17.
    5. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
    6. Samuelson, Paul A, 1994. "Facets of Balassa-Samuelson Thirty Years Later," Review of International Economics, Wiley Blackwell, vol. 2(3), pages 201-226, October.
    7. Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
    8. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
    9. Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, vol. 56(2), pages 433-470, April.
    10. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
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