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This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...
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the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …
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This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …
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