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Macroeconomic uncertainty prices when beliefs are tenuous
Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of econometrics 223 (2021) 1, pp. 222-250
Persistent link: https://www.econbiz.de/10012619969
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Sharing model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024
Persistent link: https://www.econbiz.de/10014537225
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Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
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Export decision under risk
Sousa, José de; Disdier, Anne-Célia; Gaigné, Carl - 2019
Persistent link: https://www.econbiz.de/10012234761
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Value at risk using the factor-ARCH model
Christiansen, Charlotte - 1998
Persistent link: https://www.econbiz.de/10000994075
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CAViaR : conditional value at risk by quantile regression
Engle, Robert F.; Manganelli, Simone - 1999
Persistent link: https://www.econbiz.de/10001415135
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Residual risk revisited
Lehmann, Bruce Neal - In: Journal of econometrics 45 (1990) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10001332079
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Portfolio choices, firm shocks and uninsurable wage risk
Fagereng, Andreas; Guiso, Luigi; Pistaferri, Luigi - 2016
Persistent link: https://www.econbiz.de/10011581155
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019
Persistent link: https://www.econbiz.de/10012124936