This paper studies the quantitative implications of the interaction between robust control and stochastic volatility for key asset pricing phenomena. We present an equilibrium term structure model with a representative agent and an output growth process that is conditionally heteroskedastic. The...

The paper investigates the pricing of derivative securities with calendar-time maturities.

This paper studies the quantitative implications of the interaction between robust control and stochastic volatility for key asset pricing phenomena. We present an equilibrium term structure model in which output growth is conditionally heteroskedastic. The agent does not know the true model of...

The paper investigates the pricing of derivative securities with calendar-time maturities.

This paper proposes a methodology for testing for whether tax reforms are pro-poor. This is done by extending stochastic dominance techniques to help identify tax reforms that will necessarily be deemed absolutely or relatively pro-poor by a wide spectrum of poverty analysts. The statistical...

This paper proposes tests for stochastic dominance in mobility based on the empirical likelihood ratio. Two views of mobility are considered, either based on measures of absolute mobility or on transition matrices. First-order and second-order dominance conditions in mobility are first derived,...

This paper examines multidimensional stochastic dominance when one of the indicators of well-being, such as household size or place of residence, is qualitative. It also uses a test for strict dominance based on the empirical likelihood ratio. Empirical applications are based on the DHS...

The paper investigates how comparisons of multivariate inequality can be made robust to varying the intensity of focus on the share of the population that are more relatively deprived. It follows the dominance approach to making inequality comparisons, as developed for instance by Atkinson...

The paper deals with poverty orderings when multidimensional attributes exhibit some degree of comparability. The paper focuses on an important special case of this, that is, comparisons of poverty that make use of incomes at different time periods. The ordering criteria extend the power of...

The poverty impact of indirect tax reforms is analyzed using sequential stochastic dominance methods. This allows agents to differ in dimensions that cannot always be precisely captured within the usual money-metric indicators of living standards. Examples of such dimensions include household...