possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … reproduces the predictability of stock returns in the data without generating consumption growth predictability. The uncertainty … sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the …

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long …-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is …