consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used …

investment funds traces out a meanvariance tradeoff for the growth rate of the economy. In particular, the volatility of these … and volatility. …

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …

induces greater volatility of average consumption. …

consumption-wealth ratio, and welfare should be greater in an open economy because of higher productivity and/or less volatility …