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Citations for "Robust Permanent Income and Pricing"

by Hansen, Lars Peter & Sargent, Thomas J & Tallarini, Thomas D, Jr

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  1. Claudio Campanale & Gian Luca Clementi & Rui Castro, 2008. "Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences," Working Papers. Serie AD 2008-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  2. Konstantinos Angelopoulos & James Malley, 2010. "Fear of model misspecification and the robustness premium," Working Papers 2010_24, Business School - Economics, University of Glasgow.
  3. Lee E. Ohanian, 2010. "The Economic Crisis from a Neoclassical Perspective," Journal of Economic Perspectives, American Economic Association, vol. 24(4), pages 45-66, Fall.
  4. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc.
  5. Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H., 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
  6. Siniscalchi, Marciano, 2006. "A behavioral characterization of plausible priors," Journal of Economic Theory, Elsevier, vol. 128(1), pages 91-135, May.
  7. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
  8. Lars Peter Hansen & Thomas J. Sargent, 2001. "Acknowledging Misspecification in Macroeconomic Theory," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 519-535, July.
  9. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  10. Ekaterina Svetlova & Henk van Elst, 2012. "How is non-knowledge represented in economic theory?," Papers 1209.2204, arXiv.org.
  11. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 3-37.
  12. Aaron Tornell, 2003. "Robust-H_infinity Forecasting and Asset Pricing Anomalies (December 2001)," UCLA Economics Online Papers 237, UCLA Department of Economics.
  13. Jouini, Elyès & Napp, Clotilde, 2007. "Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs," Economics Papers from University Paris Dauphine 123456789/78, Paris Dauphine University.
  14. Fidel Gonzalez & Arnulfo Rodriguez, 2004. "Robust Control: A Note on the Response of the Control to Changes in the “Free” Parameter Conditional on the Character of Nature," Computational Economics, Society for Computational Economics, vol. 24(3), pages 223-238, March.
  15. Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
  16. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 507-532, June.
  17. Miles Kimball & Philippe Weil, 1992. "Precautionary Saving and Consumption Smoothing Across Time and Possibilities," Sciences Po publications 3976, Sciences Po.
  18. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
  19. Rustem, Berc & Wieland, Volker & Zakovic, Stan, 2005. "Stochastic Optimization and Worst Case Analysis in Monetary Policy Design," CEPR Discussion Papers 5019, C.E.P.R. Discussion Papers.
  20. Longstaff, Francis A. & Piazzesi, Monika, 2004. "Corporate earnings and the equity premium," Journal of Financial Economics, Elsevier, vol. 74(3), pages 401-421, December.
  21. Bryan R. Routledge & Stanley E. Zin, 2001. "Model Uncertainty and Liquidity," NBER Working Papers 8683, National Bureau of Economic Research, Inc.
  22. Peter T. Gottschalk & Enrico Spolaore, 2000. "On the Evaluation of Economic Mobility," JCPR Working Papers 185, Northwestern University/University of Chicago Joint Center for Poverty Research.
  23. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
  24. Alessandra Fogli & Laura Veldkamp, 2007. "Nature or Nurture? Learning and Female Labor Force Dynamics," Working Papers 07-12, New York University, Leonard N. Stern School of Business, Department of Economics.
  25. Adam Altar-Samuel, 2008. "Robust Monetary Policy," Advances in Economic and Financial Research - DOFIN Working Paper Series 21, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  26. Yulei Luo & Jun Nie & Eric R. Young, 2013. "Robust Control, Informational Frictions, and International Consumption Correlations," Working Papers 212013, Hong Kong Institute for Monetary Research.
  27. Jean-Marc Tallon & Sujoy Mukerji, 2004. "Ambiguity aversion and the absence of wage indexation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174562, HAL.
  28. Robert J. Tetlow & Peter von zur Muehlen, 2000. "Robust monetary policy with misspecified models: does model uncertainty always call for attenuated policy?," Finance and Economics Discussion Series 2000-28, Board of Governors of the Federal Reserve System (U.S.).
  29. Juha Kilponen, 2004. "A positive theory of monetary policy and robust control," Macroeconomics 0404014, EconWPA.
  30. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
  31. Maria Demertzis & Andrew Hughes Hallett, 2004. "Rational Ambiguity and Monitoring the Central Bank," Vanderbilt University Department of Economics Working Papers 0404, Vanderbilt University Department of Economics.
  32. Ludwig, Alexander & Zimper, Alexander, 2004. "Rational Expectations and Ambiguity: A Comment on Abel (2002)," Sonderforschungsbereich 504 Publications 04-66, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  33. Ellen R. McGrattan & Edward C. Prescott, 2001. "Taxes, regulations, and asset prices," Working Papers 610, Federal Reserve Bank of Minneapolis.
  34. Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
  35. Kenneth Kasa, 2000. "Forecasting the Forecasts of Others in the Frequency Domain," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(4), pages 726-756, October.
  36. Nicholas Bloom, 2013. "Fluctuations in uncertainty," LSE Research Online Documents on Economics 57976, London School of Economics and Political Science, LSE Library.
  37. Aaron Tornell, 2003. "Exchange Rate Anomalies Under Model Misspecification: A Mixed Optimal/Robust Approach (January 2003)," UCLA Economics Online Papers 266, UCLA Department of Economics.
  38. Richard Dennis, 2008. "Model Uncertainty And Monetary Policy," CAMA Working Papers 2009-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  39. repec:hal:journl:halshs-00174562 is not listed on IDEAS
  40. Elyès Jouini & Clotilde Napp, 2004. "Hétérogénéité des croyances, prix du risque et volatilité des marchés," Post-Print halshs-00176465, HAL.
  41. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, vol. 147(5), pages 2028-2039.
  42. Abel, Andrew B., 2002. "An exploration of the effects of pessimism and doubt on asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1075-1092, July.
  43. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  44. Aaron Tornell, 2003. "Exchange Rate Puzzles and Distorted Beleifs (June 2003), with Pierre-Olivier Gourinchas," UCLA Economics Online Papers 265, UCLA Department of Economics.
  45. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
  46. Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
  47. Gregory C. Chow, 2003. "Equity Premium and Consumption Sensitivity When the Consumer- Investor Allows for Unfavorable Circumstances," Macroeconomics 0306012, EconWPA.
  48. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
  49. Massimo Guidolin & Francesca Rinaldi, 2011. "Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature," Working Papers 417, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  50. Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
  51. Demertzis, Maria & Hughes Hallett, Andrew, 2005. "Forming Rational Expectations and When it is Right to be 'Wrong'," CEPR Discussion Papers 5042, C.E.P.R. Discussion Papers.
  52. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  53. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
  54. Yulei Luo, 2005. "Consumption Dynamics under Information Processing Constraints," Macroeconomics 0505011, EconWPA, revised 03 Jun 2005.
  55. Raghu Suryanarayanan, 2006. "A Model of Anticipated Regret and Endogenous Beliefs," CSEF Working Papers 161, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Dec 2008.
  56. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
  57. Richard Dennis, 2005. "Robust control with commitment: a modification to Hansen-Sargent," Working Paper Series 2005-20, Federal Reserve Bank of San Francisco.
  58. Glenn Rudebusch & Eric Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco.
  59. Alvarez, Fernando & Jermann, Urban J., 2000. "Using Asset Prices to Measure the Cost of Business Cycles," Working Papers 00-1, University of Pennsylvania, Wharton School, Weiss Center.
  60. Chow, Gregory C. & Zheng, Lihui, 2002. "Equity premium and consumption sensitivity when the consumer-investor allows for unfavorable circumstances," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1417-1429, August.
  61. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
  62. So, Leh-chyan, 2013. "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper 52493, University Library of Munich, Germany.
  63. Dennis, Richard & Leitemo, Kai & Söderström, Ulf, 2009. "Methods for robust control," Journal of Economic Dynamics and Control, Elsevier, vol. 33(8), pages 1604-1616, August.
  64. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
  65. repec:dgr:kubcen:200533 is not listed on IDEAS
  66. Longstaff, Francis & Piazzesi, Monika, 2002. "Corporate Earnings and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management qt3qn115m4, Anderson Graduate School of Management, UCLA.
  67. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.
  68. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April.
  69. Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
  70. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, School of Economics and Management, University of Aarhus.
  71. Uppal, Raman & Wang, Tan, 2002. "Model Misspecification and Under-Diversification," CEPR Discussion Papers 3304, C.E.P.R. Discussion Papers.
  72. Cosmin Ilut & Martin Schneider, 2012. "Ambiguous Business Cycles," Working Papers 12-06, Duke University, Department of Economics.
  73. Fousseni Chabi-Yo & Eric Ghysels & Eric Renault, 2008. "On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk," Working Papers 08-16, Bank of Canada.
  74. Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena 569, Department of Economics, University of Siena.
  75. Tobias Adrian & Nina Boyarchenko, 2012. "Intermediary leverage cycles and financial stability," Staff Reports 567, Federal Reserve Bank of New York.
  76. Ghirardato, Paolo & Marinacci, Massimo, 2002. "Ambiguity Made Precise: A Comparative Foundation," Journal of Economic Theory, Elsevier, vol. 102(2), pages 251-289, February.
  77. Robert E. Lucas Jr., 2003. "Macroeconomic Priorities," American Economic Review, American Economic Association, vol. 93(1), pages 1-14, March.
  78. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2008. "Probabilities in Economic Modelling," Levine's Working Paper Archive 122247000000001976, David K. Levine.
  79. Aaron Tornell, 2000. "Robust-H-infinity Forecasting and Asset Pricing Anomalies," NBER Working Papers 7753, National Bureau of Economic Research, Inc.
  80. Kenneth Kasa, 2000. "A robust Hansen-Sargent prediction formula," Working Paper Series 2000-11, Federal Reserve Bank of San Francisco.
  81. Albert S. Kyle, 2001. "Contagion as a Wealth Effect," Journal of Finance, American Finance Association, vol. 56(4), pages 1401-1440, 08.
  82. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  83. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.
  84. Bigio, Saki, 2010. "Learning under fear of floating," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1923-1950, October.
  85. Jianjun Miao, 2004. "A Note on Consumption and Savings under Knightian Uncertainty," Annals of Economics and Finance, Society for AEF, vol. 5(2), pages 299-311, November.
  86. Kevin J. Lansing, 2005. "Lock-in of extrapolative expectations in an asset pricing model," Working Paper Series 2004-06, Federal Reserve Bank of San Francisco.
  87. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 3-30, January.
  88. Marciano Siniscalchi, 2007. "Vector Expected Utility and Attitudes toward Variation," Discussion Papers 1455, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  89. Lars Peter Hansen & Thomas J. Sargent, 2005. "Certainty equivalence and model uncertainty," Proceedings, Board of Governors of the Federal Reserve System (U.S.), pages 17-38.
  90. Nengjiu Ju & Jianjun Miao, 2010. "Ambiguity, Learning, and Asset Returns," CEMA Working Papers 438, China Economics and Management Academy, Central University of Finance and Economics.
  91. Kenneth Kasa, 2006. "Robustness and Information Processing," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 1-33, January.
  92. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  93. Juha Kilponen, 2004. "Robust expectations and uncertain models – A robust control approach with application to the New Keynesian economy," GE, Growth, Math methods 0404004, EconWPA.
  94. Isaac Kleshchelski & Nicolas Vincent, 2009. "Robust Equilibrium Yield Curves," Cahiers de recherche 0907, CIRPEE.
  95. Luo, Yulei & Young, Eric, 2014. "Induced Uncertainty, Market Price of Risk, and the Dynamics of Consumption and Wealth," MPRA Paper 57111, University Library of Munich, Germany.
  96. Olalla, Myriam García & Gómez, Alejandro Ruiz, 2011. "Robust control and central banking behaviour," Economic Modelling, Elsevier, vol. 28(3), pages 1265-1278, May.
  97. Li, Xin & Narajabad, Borghan N. & Temzelides, Theodosios, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," Finance and Economics Discussion Series 2014-75, Board of Governors of the Federal Reserve System (U.S.).
  98. Sujoy Mukerji & Jean-Marc Tallon, 2003. "An overview of economic applications of David Schmeidler`s models of decision making under uncertainty," Economics Series Working Papers 165, University of Oxford, Department of Economics.
  99. I. Gilboa & A. W. Postlewaite & D. Schmeidler., 2009. "Probability and Uncertainty in Economic Modeling," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 10.
  100. Marciano Siniscalchi, . "Vector-Adjusted Expected Utility," Working Papers 191, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  101. Wang, Tan, 2003. "Conditional preferences and updating," Journal of Economic Theory, Elsevier, vol. 108(2), pages 286-321, February.
  102. Young, Eric R., 2012. "Robust policymaking in the face of sudden stops," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 512-527.
  103. Gourinchas, Pierre-Olivier & Tornell, Aaron, 2004. "Exchange rate puzzles and distorted beliefs," Journal of International Economics, Elsevier, vol. 64(2), pages 303-333, December.
  104. Sialm, Clemens, 2006. "Stochastic taxation and asset pricing in dynamic general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 30(3), pages 511-540, March.
  105. Demertzis, Maria & Hughes Hallett, Andrew, 2008. "Asymmetric information and rational expectations: When is it right to be "wrong"?," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1407-1419, December.
  106. Branger, Nicole & Larsen, Linda Sandris, 2013. "Robust portfolio choice with uncertainty about jump and diffusion risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5036-5047.
  107. van der Ploeg, Frederick, 2009. "Prudent monetary policy and prediction of the output gap," Journal of Macroeconomics, Elsevier, vol. 31(2), pages 217-230, June.
  108. Jianjun Miao, 2003. "Consumption and Saving under Knightian Uncertainty," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-134, Boston University - Department of Economics.
  109. Hansen, Lars Peter & Sargent, Thomas J., 2003. "Robust control of forward-looking models," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 581-604, April.
  110. Alexander Zimper, 2011. "Do Bayesians learn their way out of ambiguity?," Working Papers 240, Economic Research Southern Africa.
  111. Larry G. Epstein & Martin Schneider, 2007. "Learning Under Ambiguity," Review of Economic Studies, Oxford University Press, vol. 74(4), pages 1275-1303.
  112. repec:ebl:ecbull:v:4:y:2006:i:2:p:1-15 is not listed on IDEAS
  113. Luo, Yulei & Nie, Jun & Young, Eric, 2014. "Model Uncertainty and Intertemporal Tax Smoothing," MPRA Paper 54268, University Library of Munich, Germany.
  114. Mordecai Kurz & Maurizio Motolese, . "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  115. Adam, Klaus, 2004. "On the relation between robust and Bayesian decision making," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2105-2117, September.
  116. Wen-Fang Liu, 1998. "Heterogeneous Agent Economies with Knightian Uncertainty," Discussion Papers in Economics at the University of Washington 0053, Department of Economics at the University of Washington.
  117. Ricardo J. Caballero, 2010. "Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome," NBER Working Papers 16429, National Bureau of Economic Research, Inc.
  118. Ted Temzelides & Borghan Narajabad, 2014. "Robust Dynamic Optimal Taxation and Environmental Externalities," 2014 Meeting Papers 59, Society for Economic Dynamics.
  119. Christian Gollier, 2011. "Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion," Review of Economic Studies, Oxford University Press, vol. 78(4), pages 1329-1344.
  120. Kirdan Lees, 2004. "Uncertainty and the open economy: a view through two different lenses," Econometric Society 2004 Australasian Meetings 235, Econometric Society.
  121. Giordani, Paolo & Söderlind, Paul, 2002. "Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions," SSE/EFI Working Paper Series in Economics and Finance 499, Stockholm School of Economics, revised 15 May 2003.
  122. Zimper, Alexander, 2012. "Asset pricing in a Lucas fruit-tree economy with the best and worst in mind," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 610-628.
  123. Govindaraj, Suresh, 2005. "Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities," Finance Research Letters, Elsevier, vol. 2(4), pages 234-247, December.
  124. repec:dgr:kubcen:200536 is not listed on IDEAS
  125. P. Parpas & B. Rustem & V. Wieland & S. Žaković, 2009. "Mean and variance optimization of non–linear systems and worst–case analysis," Computational Optimization and Applications, Springer, vol. 43(2), pages 235-259, June.
  126. Marco Tucci, 2006. "Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters," Computational Economics, Society for Computational Economics, vol. 27(4), pages 533-558, June.
  127. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2013. "No Good Deals - No Bad Models," Working Papers 2013_04, Business School - Economics, University of Glasgow.
  128. Hansen, Lars Peter & Sargent, Thomas J. & Turmuhambetova, Gauhar & Williams, Noah, 2006. "Robust control and model misspecification," Journal of Economic Theory, Elsevier, vol. 128(1), pages 45-90, May.
  129. Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
  130. Yulei Luo & Jun Nie & Eric R. Young, 2010. "Robustness, information-processing constraints, and the current account in small open economies," Research Working Paper RWP 10-17, Federal Reserve Bank of Kansas City.
  131. Tan Wang, 2000. "Updating Rules for Non-Bayesian Preferences," Econometric Society World Congress 2000 Contributed Papers 0157, Econometric Society.
  132. Anastasios G. Karantounias with Lars Peter Hansen & Thomas J. Sargent, 2009. "Managing expectations and fiscal policy," Working Paper 2009-29, Federal Reserve Bank of Atlanta.
  133. Itzhak Gilboa & Andrew Postlewaite & David Schmeidler, 2007. "Probability and Uncertainty in Economic Modeling, Second Version," PIER Working Paper Archive 08-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 28 Jan 2008.
  134. Dennis, Richard, 2010. "How robustness can lower the cost of discretion," Journal of Monetary Economics, Elsevier, vol. 57(6), pages 653-667, September.
  135. Anderson, Evan W. & Hansen, Lars Peter & Sargent, Thomas J., 2012. "Small noise methods for risk-sensitive/robust economies," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 468-500.
  136. Yulei Luo & Jun Nie & Eric R. Young, 2012. "Model uncertainty, state uncertainty, and state-space models," Research Working Paper RWP 12-02, Federal Reserve Bank of Kansas City.
  137. Chong Wang & Neng Wang & Jinqiang Yang, 2013. "Optimal Consumption and Savings with Stochastic Income," NBER Working Papers 19319, National Bureau of Economic Research, Inc.
  138. Daniel, Kent & Hirshleifer, David & Teoh, Siew Hong, 2002. "Investor psychology in capital markets: evidence and policy implications," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 139-209, January.
  139. Tim W. Cogley & Thomas J. Sargent, 2005. "The Market Price of Risk and the Equity Premium," Working Papers 522, University of California, Davis, Department of Economics.
  140. Arnulfo Rodriguez, 2004. "Robust Control: A Note on the Timing of Model Uncertainty," Computational Economics, Society for Computational Economics, vol. 24(3), pages 209-221, July.
  141. Karantounias, Anastasios G., 2013. "Managing pessimistic expectations and fiscal policy," Theoretical Economics, Econometric Society, vol. 8(1), January.
  142. Frederick van der Ploeg, 2007. "Prudent Monetary Policy and Cautious Prediction of the Output Gap," Economics Working Papers ECO2007/40, European University Institute.
  143. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
  144. Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
  145. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc.
  146. Zakovic, S. & Rustem, B. & Asprey, S. P., 2003. "A parallel algorithm for semi-infinite programming," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 377-390, October.
  147. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer, vol. 36(1), pages 81-108, July.
  148. repec:dgr:kubcen:2006110 is not listed on IDEAS
  149. Demertzis, Maria & Hughes Hallett, Andrew, 2003. "Three Models of Imperfect Transparency in Monetary Policy," CEPR Discussion Papers 4117, C.E.P.R. Discussion Papers.
  150. Pietro Veronesi, . "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  151. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.
  152. Ralph S.J. Koijen & Jules H. van Binsbergen & Juan F. Rubio-Ramírez & Jesus Fernandez-Villaverde, 2008. "Likelihood Estimation of DSGE Models with Epstein-Zin Preferences," 2008 Meeting Papers 1099, Society for Economic Dynamics.
  153. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  154. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
  155. van der Ploeg, Frederick, 2004. "Prudent Monetary Policy: Applications of Cautious LQG Control and Prediction," CEPR Discussion Papers 4222, C.E.P.R. Discussion Papers.
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