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Robustness and Pricing with Uncertain Growth
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Cited by:
- Nengjiu Ju & Jianjun Miao, 2012.
"Ambiguity, Learning, and Asset Returns,"
Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
- 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.
- Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
- Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
- Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
- Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
- Michal Pakos & Hui Chen, 2008. "Asset Pricing with Uncertainty About the Long Run," 2008 Meeting Papers 295, Society for Economic Dynamics.
- Kyle Jurado, 2016. "Advance Information and Distorted Beliefs in Macroeconomic and Financial Fluctuations," 2016 Meeting Papers 154, Society for Economic Dynamics.
- John Driffill & Turalay Kenc & Martin Sola, 2013.
"Real Options With Priced Regime-Switching Risk,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-30.
- John Driffill & Martin Sola & Turalay Kenc, 2009. "Real Options with Priced Regime-Switching Risk," Department of Economics Working Papers 2009-09, Universidad Torcuato Di Tella.
- Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
- Deng, Kebin & Peng, Jiaxin & Peng, Juan & Zhang, Yuhua, 2022. "Real options with overextrapolation," Economic Modelling, Elsevier, vol. 114(C).
- Luo, Yulei & Young, Eric R., 2016.
"Induced uncertainty, market price of risk, and the dynamics of consumption and wealth,"
Journal of Economic Theory, Elsevier, vol. 163(C), pages 1-41.
- Luo, Yulei & Young, Eric, 2014. "Induced Uncertainty, Market Price of Risk, and the Dynamics of Consumption and Wealth," MPRA Paper 57111, University Library of Munich, Germany.
- Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011.
"Risk-Price Dynamics,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 9(1), pages 3-65, Winter.
- Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
- Lars Peter Hansen & Jaroslav BoroviÄ ka & Mark Hendricks & José A. Scheinkman, 2010. "Risk Price Dynamics," Working Papers 2010-004, Becker Friedman Institute for Research In Economics.
- Jaroslav Borovicka & Lars Peter Hansen & Mark Hendricks & Jose A. Scheinkman, 2009. "Risk Price Dynamics," Working Papers 1393, Princeton University, Department of Economics, Econometric Research Program..
- 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.
- James Bullard & Aarti Singh, 2012.
"Learning And The Great Moderation,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(2), pages 375-397, May.
- Aarti Singh & James Bullard, 2007. "Learning and the Great Moderation," 2007 Meeting Papers 523, Society for Economic Dynamics.
- Bullard, James & Singh, Aarti, 2009. "Learning and the Great Moderation," Working Papers 2009-01, University of Sydney, School of Economics.
- James B. Bullard & Aarti Singh, 2009. "Learning and the Great Moderation," Working Papers 2007-027, Federal Reserve Bank of St. Louis.
- Bullard, James & Singh, Aarti, 2009. "Learning and the Great Moderation," CEPR Discussion Papers 7401, C.E.P.R. Discussion Papers.
- Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
- Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc.
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2023.
"Epidemic responses under uncertainty,"
Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 120(2), pages 2208111120-, January.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," Working Papers 2020-72, Becker Friedman Institute for Research In Economics.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," NBER Working Papers 27289, National Bureau of Economic Research, Inc.
- Larry G. Epstein & Martin Schneider, 2007.
"Learning Under Ambiguity,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1275-1303.
- Larry Epstein & Martin Schneider, 2002. "Learning Under Ambiguity," RCER Working Papers 497, University of Rochester - Center for Economic Research (RCER), revised Mar 2005.
- Larry Epstein & Martin Schneider, 2006. "Learning Under Ambiguity," RCER Working Papers 527, University of Rochester - Center for Economic Research (RCER).
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2010.
"Information Acquisition and Under-Diversification,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 779-805.
- Laura Veldkamp & Stijn Van Nieuwerburgh, 2008. "Information Acquisition and Under-Diversification," Working Papers 08-21, New York University, Leonard N. Stern School of Business, Department of Economics.
- Stijn Van Nieuwerburgh & Laura Veldkamp, 2008. "Information Acquisition and Under-Diversification," NBER Working Papers 13904, National Bureau of Economic Research, Inc.
- Suda, J., 2013. "Belief shocks and the macroeconomy," Working papers 434, Banque de France.
- Meyer-Gohde, Alexander, 2019.
"Generalized entropy and model uncertainty,"
Journal of Economic Theory, Elsevier, vol. 183(C), pages 312-343.
- Meyer-Gohde, Alexander, 2017. "Generalized Entropy and Model Uncertainty," SFB 649 Discussion Papers 2017-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019.
"Recovery rates: Uncertainty certainly matters,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
- Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
- Pakoš, Michal, 2013.
"Long-run risk and hidden growth persistence,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
- Pakos, Michal, 2013. "Long-Run Risk and Hidden Growth Persistence," MPRA Paper 47217, University Library of Munich, Germany.
- repec:pri:metric:wp033_2012_hansen_borovicka_hendricks_scheinkman_risk%20price%20dynamics. is not listed on IDEAS
- Stefano d’Addona & Christos Giannikos, 2014. "Asset pricing and the role of macroeconomic volatility," Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
- Larry G. Epstein & Martin Schneider, 2008.
"Ambiguity, Information Quality, and Asset Pricing,"
Journal of Finance, American Finance Association, vol. 63(1), pages 197-228, February.
- Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
- Larry Epstein & Martin Schneider, 2005. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 519, University of Rochester - Center for Economic Research (RCER).
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- Gonçalo Faria & João Correia-da-Silva, 2012.
"The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices,"
Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
- Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
- Yulei Luo & Jun Nie & Eric Young, 2015.
"Robust permanent income in general equilibrium,"
Research Working Paper
RWP 15-14, Federal Reserve Bank of Kansas City.
- Luo, Yulei & Nie, Jun & Young, Eric, 2015. "Robust Permanent Income in General Equilibrium," MPRA Paper 63985, University Library of Munich, Germany.
- Christoph Gortz & John D. Tsoukalas, 2013.
"Learning, Capital Embodied Technology and Aggregate Fluctuations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(4), pages 708-723, October.
- Gortz, Christoph & John, Tsoukalas, 2011. "Learning, capital-embodied technology and aggregate fluctuations," MPRA Paper 35438, University Library of Munich, Germany, revised Nov 2011.
- Christoph Görtz & John Tsoukalas, 2011. "Learning, Capital-Embodied Technology and Aggregate Fluctuations," Discussion Papers 11/06, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
- Christoph Gortz & John D. Tsoukalas, 2012. "Code and data files for "Learning, Capital Embodied Technology and Aggregate Fluctuations"," Computer Codes 11-165, Review of Economic Dynamics.
- Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020.
"Ambiguous Business Cycles: A Quantitative Assessment,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
- Sumru Altug & Fabrice Collard & Cem Çakmakli & Sujoy Mukerji & Han Özsöylev, 2020. "Ambiguous business cycles: a quantitative assessment," Post-Print hal-03039262, HAL.
- Altug, Sumru & Collard, Fabrice & Cakmakli, Cem & Mukerji, Sujoy & Ozsöylev, Han, 2020. "Ambiguous Business Cycles: A Quantitative Assessment," TSE Working Papers 20-1107, Toulouse School of Economics (TSE).
- Mulligan, Casey B., 2004. "What do Aggregate Consumption Euler Equations Say about the Capital Income Tax Burden?," Working Papers 189, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
- Claudio Campanale, 2011.
"Learning, Ambiguity and Life-Cycle Portfolio Allocation,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
- Claudio Campanale, 2008. "Learning, Ambiguity and Life-cycle Portfolio Allocation," CeRP Working Papers 80, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Claudio Campanale, 2009. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," 2009 Meeting Papers 38, Society for Economic Dynamics.
- Claudio Campanale, 2010. "Code files for "Learning, ambiguity and life-cycle portfolio allocation"," Computer Codes 09-54, Review of Economic Dynamics.
- M. Trojanowska & P. M. Kort, 2010. "The Worst Case for Real Options," Journal of Optimization Theory and Applications, Springer, vol. 146(3), pages 709-734, September.
- Isaac Kleshchelski & Nicolas Vincent, 2007.
"Robust Equilibrium Yield Curves,"
Cahiers de recherche
08-02, HEC Montréal, Institut d'économie appliquée.
- Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
- Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
- Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2012.
"Inflation, human capital and Tobin's q,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 1057-1074.
- Basu, Parantap & Gillman, Max & Pearlman, Joseph, 2009. "Inflation, Human Capital and Tobin's q," Cardiff Economics Working Papers E2009/16, Cardiff University, Cardiff Business School, Economics Section.
- Parantap Basu & Max Gillman & Joseph Pearlman, 2010. "Inflation, Human Capital and Tobin's q," CERS-IE WORKING PAPERS 1017, Institute of Economics, Centre for Economic and Regional Studies.
- Parantap Basu & Max Gillman & Joseph Pearlman, 2009. "Inflation, Human Capital and Tobin's q," CDMA Conference Paper Series 0904, Centre for Dynamic Macroeconomic Analysis.
- Cosmin L. Ilut & Martin Schneider, 2014.
"Ambiguous Business Cycles,"
American Economic Review, American Economic Association, vol. 104(8), pages 2368-2399, August.
- Martin Schneider & Cosmin Ilut, 2011. "Ambiguous Business Cycles," 2011 Meeting Papers 612, Society for Economic Dynamics.
- Cosmin Ilut & Martin Schneider, 2012. "Ambiguous Business Cycles," NBER Working Papers 17900, National Bureau of Economic Research, Inc.
- Cosmin Ilut & Martin Schneider, 2012. "Ambiguous Business Cycles," Working Papers 12-06, Duke University, Department of Economics.
- Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018.
"Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
- Martin Schneider & Cosmin Ilut & Francesco Bianchi, 2013. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," 2013 Meeting Papers 202, Society for Economic Dynamics.
- Bianchi, Francesco & Ilut, Cosmin & Schneider, Martin, 2017. "Uncertainty shocks, asset supply and pricing over the business cycle," CEPR Discussion Papers 11950, C.E.P.R. Discussion Papers.
- Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2014. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," NBER Working Papers 20081, National Bureau of Economic Research, Inc.
- Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010.
"Ambiguity in Asset Markets: Theory and Experiment,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1325-1359, April.
- Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2006. "Ambiguity in Asset Markets: Theory and Experiment," Carlo Alberto Notebooks 27, Collegio Carlo Alberto, revised 2009.
- Takayuki Ogawa & Jun Sakamoto, 2021. "Welfare implications of mitigating investment uncertainty," Annals of Finance, Springer, vol. 17(4), pages 559-582, December.
- Robert Feicht & Wolfgang Stummer, 2010. "Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary," DEGIT Conference Papers c015_041, DEGIT, Dynamics, Economic Growth, and International Trade.
- Seong-Hoon Kim, 2012. "Sequential Action and Beliefs Under Partially Observable DSGE Environments," Computational Economics, Springer;Society for Computational Economics, vol. 40(3), pages 219-244, October.
- Daniel Andrei & Bruce Carlin & Michael Hasler, 2019. "Asset Pricing with Disagreement and Uncertainty About the Length of Business Cycles," Management Science, INFORMS, vol. 67(6), pages 2900-2923, June.
- Stefano d’Addona & Christos Giannikos, 2014.
"Asset pricing and the role of macroeconomic volatility,"
Annals of Finance, Springer, vol. 10(2), pages 197-215, May.
- Stefano D'Addona & Christos Giannikos, 2011. "Asset Pricing And The Role Of Macroeconomic Volatility," Working Papers 0711, CREI Università degli Studi Roma Tre, revised 2011.
- George M. Constantinides, 2006.
"Market Organization And The Prices Of Financial Assets,"
Manchester School, University of Manchester, vol. 74(s1), pages 1-23, September.
- Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
- Luo, Yulei & Nie, Jun & Wang, Haijun, 2022. "Ignorance, pervasive uncertainty, and household finance," Journal of Economic Theory, Elsevier, vol. 199(C).
- Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
- Tak Kuen Siu, 2023. "Bayesian nonlinear expectation for time series modelling and its application to Bitcoin," Empirical Economics, Springer, vol. 64(1), pages 505-537, January.
- Henry Lam, 2016. "Robust Sensitivity Analysis for Stochastic Systems," Mathematics of Operations Research, INFORMS, vol. 41(4), pages 1248-1275, November.
- Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
- Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012.
"No good deals—no bad models,"
Staff Reports
589, Federal Reserve Bank of New York.
- Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2013. "No Good Deals - No Bad Models," Working Papers 2013_04, Business School - Economics, University of Glasgow.
- Nina, Boyarchenko & Mario, Cerrato & John, Crosby & Stewart, Hodges, 2013. "No Good Deals - No Bad Models," SIRE Discussion Papers 2013-20, Scottish Institute for Research in Economics (SIRE).
- Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
- Wälde, Klaus, 2011.
"Production technologies in stochastic continuous time models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 616-622, April.
- Klaus Wälde, 2009. "Production Technologies in Stochastic Continuous Time Models," CESifo Working Paper Series 2831, CESifo.
- Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007.
"Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
- Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group.
- Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5148, C.E.P.R. Discussion Papers.
- Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers.
- Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
- Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404.
- Jaroslav Borovicka, 2016.
"Identifying ambiguity shocks in business cycle models using survey data,"
2016 Meeting Papers
1615, Society for Economic Dynamics.
- Anmol Bhandari & Jaroslav Borovička & Paul Ho, 2016. "Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data," NBER Working Papers 22225, National Bureau of Economic Research, Inc.
- Yiqun Mou & Lars A. Lochstoer & Michael Johannes, 2011. "Learning about Consumption Dynamics," 2011 Meeting Papers 306, Society for Economic Dynamics.
- Lubos Pastor & Pietro Veronesi, 2009.
"Learning in Financial Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
- Veronesi, Pietro & Pástor, Luboš, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
- Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," NBER Working Papers 14646, National Bureau of Economic Research, Inc.
- 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.
- Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
- Jianjun Miao, 2009.
"Ambiguity, Risk and Portfolio Choice under Incomplete Information,"
Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
- Jianjun Miao, "undated". "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Boston University - Department of Economics - Working Papers Series wp2009-019, Boston University - Department of Economics.
- Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
- Itzhak Ben-David & John R. Graham & Campbell R. Harvey, 2007. "Managerial Overconfidence and Corporate Policies," NBER Working Papers 13711, National Bureau of Economic Research, Inc.
- Shuo Cao, 2018. "Learning about Term Structure Predictability under Uncertainty," GRU Working Paper Series GRU_2018_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
- Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
- Yulei Luo & Jun Nie & Haijun Wang, 2023. "Ambiguous Consumption and Asset Allocation with Unknown Markovian Income Growth," Annals of Economics and Finance, Society for AEF, vol. 24(2), pages 237-275, November.
- Babiak, Mykola & Kozhan, Roman, 2024. "Parameter learning in production economies," Journal of Monetary Economics, Elsevier, vol. 144(C).
- Guihai Zhao, 2020. "Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields," Staff Working Papers 20-14, Bank of Canada.
- Hening Liu & Yuzhao Zhang, 2022. "Financial Uncertainty with Ambiguity and Learning," Management Science, INFORMS, vol. 68(3), pages 2120-2140, March.
- Mykola Babiak & Roman Kozhan, 2021. "Growth Uncertainty, Rational Learning, and Option Prices," CERGE-EI Working Papers wp682, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
- Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
- Casey Mulligan, 2004.
"What Do Aggregate Consumption Euler Equations Say About the Capital-Income Tax Burden?,"
American Economic Review, American Economic Association, vol. 94(2), pages 166-170, May.
- Casey B. Mulligan, 2004. "What do Aggregate Consumption Euler Equations Say about the Capital Income Tax Burden?," NBER Working Papers 10262, National Bureau of Economic Research, Inc.
- Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
- Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 522, University of California, Davis, Department of Economics.
- Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
- Richard Dennis, 2005. "Robust control with commitment: a modification to Hansen-Sargent," Working Paper Series 2005-20, Federal Reserve Bank of San Francisco.
- Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
- Yulei Luo & Jun Nie & Xiaowen Wang & Eric Young, 2021. "Production and Inventory Dynamics under Ambiguity Aversion," Research Working Paper RWP 21-05, Federal Reserve Bank of Kansas City.
- Pietro Veronesi, "undated". "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
- Goddard, John & Kita, Arben & Wang, Qingwei, 2015. "Investor attention and FX market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 79-96.
- Takayuki Ogawa & Jun Sakamoto, 2018. "Welfare Implications of Mitigating Investment Uncertainty," Discussion Papers in Economics and Business 18-33-Rev., Osaka University, Graduate School of Economics, revised Dec 2018.
- Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020.
"Ambiguous Business Cycles: A Quantitative Assessment,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 220-237, October.
- Sumru Altug & Cem Cakmakli & Fabrice Collard & Sujoy Mukerji & Han Ozsoylev, 2020. "Online Appendix to "Ambiguous Business Cycles: A Quantitative Assessment"," Online Appendices 19-269, Review of Economic Dynamics.
- Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.