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Mean-variance utility functions and the demand for risky assets : an empirical analysis using flexible functional forms

Aivazian, Varouj A. - In: Journal of financial and quantitative analysis : JFQA 18 (1983) 4, pp. 411-424

Persistent link: https://www.econbiz.de/10001815100

Separability, aggregation, and Euler equation estimation

Fleissig, Adrian R.; Gallant, A. Ronald; Seater, John J. - In: Macroeconomic dynamics 4 (2000) 4, pp. 547-572

Persistent link: https://www.econbiz.de/10001548635

The nexus between the elasticity of intertemporal substitution and the coefficient of relative risk aversion

Azar, Samih Antoine - In: International journal of financial research 9 (2018) 3, pp. 98-102

Persistent link: https://www.econbiz.de/10012236959

Dispersion of beliefs, ambiguity, and the cross-section of stock returns

Lee, Deok-Hyeon; Min, Byoung-Kyu; Kim, Tong Suk - In: Journal of empirical finance 50 (2019), pp. 43-56

Persistent link: https://www.econbiz.de/10012169918

Measuring the origins of macroeconomic uncertainty

Mumtaz, Haroon - 2018

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

Persistent link: https://www.econbiz.de/10011895010

Empirical evidence on the dynamics of investment under uncertainty in the US

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012224674

Measuring macroeconomic uncertainty : a historical perspective

Shen, Yifan - In: Economics letters 196 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012510982

Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility

Gong, Xiao-Li; Lu, Jin-Yan; Xiong, Xiong; Zhang, Wei - In: Financial innovation : FIN 8 (2022), pp. 1-22

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of … uncertainty risk on the transmission mechanism among macroeconomic sectors. The empirical research found that uncertainty risk …

Persistent link: https://www.econbiz.de/10013272633

Subjective expectations and uncertainty

Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławska, Ewa - 2022

Persistent link: https://www.econbiz.de/10013188035

Subjective expectations and uncertainty

Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławsk, Ewa - 2022

Persistent link: https://www.econbiz.de/10013193414