Barone-Adesi, Giovanni; Filipovic, Damir; Gagliardinia, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We develop a continuous time general equilibrium model for the term structure of interest rates where economic agents are averse to model uncertainty and consider the possibility of a misspecified dynamic model for the latent risk factors driving interest rates. Aversion to model uncertainty is...