Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with …-free option markets, implied divergence systematically decomposes the price of uncertainty into the contributions of distinct …

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty …

crises. This study aimed to build the uncertainty index and control it in the regression analysis model to solve the …

risk-free rate puzzle. Intuitively, the presence of (or an increase in) inflation uncertainty in an economy should … neglecting inflation uncertainty may result in an overestimation of real risk-free rate. We also study jointly the impact of …

Risk aversion and uncertainty are often both at play in market price determination, but it is empirically challenging … aversion and uncertainty inherent to the government bond markets in the euro area between 2007 and 2011. We particularly … uncertainty but raised risk aversion for all countries except Greece in a risk-pooling mechanism: this can therefore weaken the …