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A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
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Cited by:
- Hansen, Lars Peter & Sargent, Thomas J., 2022. "Structured ambiguity and model misspecification," Journal of Economic Theory, Elsevier, vol. 199(C).
- Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012.
"No good deals—no bad models,"
Staff Reports
589, Federal Reserve Bank of New York.
- Nina Boyarchenko, 2014. "No Good Deals—No Bad Models," Liberty Street Economics 20140505, Federal Reserve Bank of New York.
- Nina, Boyarchenko & Mario, Cerrato & John, Crosby & Stewart, Hodges, 2013. "No Good Deals - No Bad Models," SIRE Discussion Papers 2013-20, Scottish Institute for Research in Economics (SIRE).
- 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.
- Chi Seng Pun, 2022. "Robust classical-impulse stochastic control problems in an infinite horizon," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 291-312, October.
- Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
- Hansen, Lars Peter, 2013.
"Uncertainty Outside and Inside Economic Models,"
Nobel Prize in Economics documents
2013-7, Nobel Prize Committee.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers 2014-06, Becker Friedman Institute for Research In Economics.
- Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
- Söderlind, Paul, 2009.
"The C-CAPM without ex post data,"
Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
- Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
- Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
- Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen.
- Lars Peter Hansen & Thomas J Sargent, 2014.
"Robust Control and Model Misspecification,"
World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 6, pages 155-216,
World Scientific Publishing Co. Pte. Ltd..
- 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.
- Yan, Jingzhou & Mu, Congming & Yan, Qianhui & Luo, Deqing, 2023. "Robust leverage choice of hedge funds with rare disasters," Finance Research Letters, Elsevier, vol. 54(C).
- Tim Bollerslev & Viktor Todorov, 2011.
"Tails, Fears, and Risk Premia,"
Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
- Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
- Vedolin, Andrea & Maenhout, Pascal & Xing, Hao, 2020. "Generalized Robustness and Dynamic Pessimism," CEPR Discussion Papers 14592, C.E.P.R. Discussion Papers.
- Dennis, Richard, 2014.
"Imperfect credibility and robust monetary policy,"
Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 218-234.
- Richard Dennis, 2012. "Imperfect Credibility and Robust Monetary Policy," CAMA Working Papers 2012-41, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Richard Dennis, 2013. "Imperfect Credibility and Robust Monetary Policy," CAMA Working Papers 2013-68, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Richard Dennis, 2013. "Imperfect Credibility and Robust Monetary Policy," Working Papers 2013_14, Business School - Economics, University of Glasgow.
- Dennis, Richard, 2013. "Imperfect Credibility and Robust Monetary Policy," SIRE Discussion Papers 2013-78, Scottish Institute for Research in Economics (SIRE).
- Richard Dennis, 2012. "Imperfect Credibility and Robust Monetary Policy," ANU Working Papers in Economics and Econometrics 2012-582, Australian National University, College of Business and Economics, School of Economics.
- Han, Nan-Wei & Hung, Mao-Wei, 2021. "The annuity puzzle and consumption hump under ambiguous life expectancy," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 76-88.
- Nengjiu Ju & Jianjun Miao, 2012.
"Ambiguity, Learning, and Asset Returns,"
Econometrica, Econometric Society, vol. 80(2), pages 559-591, March.
- Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
- Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
- Jianjun Miao & NENGJIU JU, 2010. "Ambiguity, Learning, And Asset Returns," Boston University - Department of Economics - Working Papers Series WP2010-031, Boston University - Department of Economics.
- 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.
- Markus Leippold & Felix Matthys, 2022. "Economic Policy Uncertainty and the Yield Curve [Pricing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(4), pages 751-797.
- Wu, Yaoyao & Yang, Jinqiang & Zou, Zhentao, 2017. "Dynamic corporate investment and liquidity management under model uncertainty," Economics Letters, Elsevier, vol. 155(C), pages 9-13.
- Larry G. Epstein & Martin Schneider, 2010.
"Ambiguity and Asset Markets,"
Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
- Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
- Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
- Karantounias, Anastasios G., 2023.
"Doubts about the model and optimal policy,"
Journal of Economic Theory, Elsevier, vol. 210(C).
- Anastasios G. Karantounias, 2020. "Doubts about the Model and Optimal Policy," FRB Atlanta Working Paper 2020-12, Federal Reserve Bank of Atlanta.
- Anastasios G. Karantounias, 2023. "Doubts about the model and optimal policy," School of Economics Discussion Papers 0423, School of Economics, University of Surrey.
- Anastasios G. Karantounias, 2023. "Doubts about the model and optimal policy," Discussion Papers 2312, Centre for Macroeconomics (CFM).
- Lars Peter Hansen & Thomas J Sargent, 2014.
"Doubts or Variability?,"
World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 7, pages 217-256,
World Scientific Publishing Co. Pte. Ltd..
- Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
- Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
- Wang, Haijun, 2017. "Robust asset pricing with stochastic hyperbolic discounting," Finance Research Letters, Elsevier, vol. 21(C), pages 178-185.
- Miao, Jianjun & Wang, Neng, 2011.
"Risk, uncertainty, and option exercise,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 442-461, April.
- Jianjun Miao & Neng Wang, 2004. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-136, Boston University - Department of Economics.
- Jianjun Miao & Neng Wang, 2010. "Risk, uncertainty,and option exercise," Boston University - Department of Economics - Working Papers Series WP2010-029, Boston University - Department of Economics.
- Jianjun Miao, 2004. "Risk, uncertainty and option exercise," Finance 0410013, University Library of Munich, Germany.
- Jianjun Miao & Neng Wang, 2007. "Risk, Uncertainty, and Option Exercise," Boston University - Department of Economics - Working Papers Series WP2007-016, Boston University - Department of Economics.
- Kwon, Hyosung & Miao, Jianjun, 2017.
"Three types of robust Ramsey problems in a linear-quadratic framework,"
Journal of Economic Dynamics and Control, Elsevier, vol. 76(C), pages 211-231.
- Hyosung Kwon & Jianjun Miao, 2013. "Three Types of Robjst Ramsey Problem in a Linear-Quadratic Framework," Boston University - Department of Economics - Working Papers Series 2013-019, Boston University - Department of Economics.
- Hackbarth, Dirk & Miao, Jianjun, 2012.
"The dynamics of mergers and acquisitions in oligopolistic industries,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 585-609.
- Dirk Hackbarth & Jianjun Maio, 2007. "The Dynamics of Mergers and Acquisitions in Oligopolistic Industries," Boston University - Department of Economics - Working Papers Series WP2007-017, Boston University - Department of Economics.
- Jianjun Miao & Dirk Hackbarth, 2011. "The dynamics of mergers and acquisitions in oligopolistic industries," Boston University - Department of Economics - Working Papers Series WP2011-029, Boston University - Department of Economics.
- 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.
- Wang, Gaowang, 2014. "Model Uncertainty, the Spirit of Capitalism and Asset Pricing," MPRA Paper 62421, University Library of Munich, Germany, revised 03 Mar 2015.
- Anmol Bhandari & Jaroslav Borovička & Paul Ho, 2016.
"Identifying Ambiguity Shocks in Business Cycle Models Using Survey Data,"
NBER Working Papers
22225, National Bureau of Economic Research, Inc.
- Jaroslav Borovicka, 2016. "Identifying ambiguity shocks in business cycle models using survey data," 2016 Meeting Papers 1615, Society for Economic Dynamics.
- Evan Anderson & Ai-ru (Meg) Cheng, 2022. "Portfolio Choices with Many Big Models," Management Science, INFORMS, vol. 68(1), pages 690-715, January.
- Szőke, Bálint, 2022. "Estimating robustness," Journal of Economic Theory, Elsevier, vol. 199(C).
- Borovička, Jaroslav & Hansen, Lars Peter, 2014.
"Examining macroeconomic models through the lens of asset pricing,"
Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
- Jaroslav Borovicka & Lars Peter Hansen, 2012. "Examining macroeconomic models through the lens of asset pricing," Working Paper Series WP-2012-01, Federal Reserve Bank of Chicago.
- Cosmin Ilut, 2012.
"Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 4(3), pages 33-65, July.
- Cosmin Ilut, 2009. "Ambiguity Aversion: Implications For The Uncovered Interest Rate Parity Puzzle," 2009 Meeting Papers 328, Society for Economic Dynamics.
- Cosmin L. Ilut, 2010. "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle," Working Papers 10-53, Duke University, Department of Economics.
- Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
- 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.
- Epstein, Larry G. & Ji, Shaolin, 2014.
"Ambiguous volatility, possibility and utility in continuous time,"
Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
- Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
- Ya Huang & Xiangqun Yang & Jieming Zhou, 2017. "Robust optimal investment and reinsurance problem for a general insurance company under Heston model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 305-326, April.
- Laxton, Douglas & Pesenti, Paolo & Juillard, Michel & Karam, Philippe, 2006. "Welfare-based monetary policy rules in an estimated DSGE model of the US economy," Working Paper Series 613, European Central Bank.
- Ellison, Martin & Sargent, Thomas J., 2012.
"Welfare cost of business cycles in economies with individual consumption risk,"
Bank of Finland Research Discussion Papers
25/2012, Bank of Finland.
- Martin Ellison & Thomas J. Sargent, 2014. "Welfare Cost of Business Cycles in Economies with Individual Consumption Risk," Working Papers 2014-9, Economic Research Institute, Bank of Korea.
- Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2010. "Robust general equilibrium under stochastic volatility model," Finance Research Letters, Elsevier, vol. 7(4), pages 224-231, December.
- In-Koo Cho & Kenneth Kasa, 2015.
"Learning and Model Validation,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 82(1), pages 45-82.
- In-Koo Cho & Kenneth Kasa, 2006. "Learning and Model Validation," 2006 Meeting Papers 178, Society for Economic Dynamics.
- Kenneth Kasa & In-Koo Cho, 2011. "Learning and Model Validation," 2011 Meeting Papers 1086, Society for Economic Dynamics.
- Kenneth Kasa, 2007. "Learning and Model Validation," 2007 Meeting Papers 548, Society for Economic Dynamics.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017.
"Volatility of aggregate volatility and hedge fund returns,"
Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
- 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).
- Vikas Agarwal & Eser Arisoy & Narayan Y. Naik, 2017. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01634155, HAL.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Vikas Agarwal & Eser Arisoy & Narayan y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
- Jianjun Miao & Alejandro Rivera, 2016.
"Robust Contracts in Continuous Time,"
Econometrica, Econometric Society, vol. 84, pages 1405-1440, July.
- Jianjun Miao & Alejandro Rivera, 2016. "Robust Contracts in Continuous Time," Econometrica, Econometric Society, vol. 84(4), pages 1405-1440, July.
- Jianjun Miao & Alejandro Rivera, 2013. "Robust Contracts in Continuous Time," Boston University - Department of Economics - Working Papers Series 2013-009, Boston University - Department of Economics.
- Shi, Zhan, 2019. "Time-varying ambiguity, credit spreads, and the levered equity premium," Journal of Financial Economics, Elsevier, vol. 134(3), pages 617-646.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2023.
"Epidemic responses under uncertainty,"
Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 120(2), pages 2208111120-, January.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," NBER Working Papers 27289, National Bureau of Economic Research, Inc.
- Michael Barnett & Greg Buchak & Constantine Yannelis, 2020. "Epidemic Responses Under Uncertainty," Working Papers 2020-72, Becker Friedman Institute for Research In Economics.
- Taboga, Marco, 2005.
"Portfolio selection with two-stage preferences,"
Finance Research Letters, Elsevier, vol. 2(3), pages 152-164, September.
- Marco Taboga, 2005. "Portfolio Selection with Two-Stage Preferences," Finance 0506009, University Library of Munich, Germany.
- Chen, Jun-Home & Huang, Yu-Lieh & Chang, Jow-Ran, 2017. "Robust Good-Deal Bounds In Incomplete Markets: The Case Of Taiwan," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 58(1), pages 53-67, June.
- Ellison, Martin & Sargent, Thomas J., 2012.
"Welfare cost of business cycles in economies with individual consumption risk,"
Research Discussion Papers
25/2012, Bank of Finland.
- Martin Ellison & Thomas J. Sargent, 2014. "Welfare Cost of Business Cycles in Economies with Individual Consumption Risk," Working Papers 2014-9, Economic Research Institute, Bank of Korea.
- Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
- Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
- Luo, Yulei & Young, Eric R., 2016.
"Induced uncertainty, market price of risk, and the dynamics of consumption and wealth,"
Journal of Economic Theory, Elsevier, vol. 163(C), pages 1-41.
- 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.
- Leyla Jianyu Han & Kenneth Kasa, 2019. "Ambiguity and Information Processing in a Model of Intermediary Asset Pricing," Discussion Papers dp19-04, Department of Economics, Simon Fraser University.
- Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
- 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.
- Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for robust control," Working Paper Series 2006-10, Federal Reserve Bank of San Francisco.
- Söderström, Ulf & Leitemo, Kai & ,, 2006. "Methods for Robust Control," CEPR Discussion Papers 5638, C.E.P.R. Discussion Papers.
- Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for Robust Control," 2006 Meeting Papers 493, Society for Economic Dynamics.
- Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for Robust Control," Working Papers 307, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bidder, R.M. & Smith, M.E., 2018.
"Doubts and variability: A robust perspective on exotic consumption series,"
Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
- Rhys M. Bidder & Matthew E. Smith, 2013. "Doubts and Variability: A Robust Perspective on Exotic Consumption Series," Working Paper Series 2013-28, Federal Reserve Bank of San Francisco.
- Jeleva, Meglena & Tallon, Jean-Marc, 2016.
"Ambiguïté, comportements et marchés financiers,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 92(1-2), pages 351-383, Mars-Juin.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01109639, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Post-Print halshs-01109639, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Post-Print hal-01410661, HAL.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," PSE-Ecole d'économie de Paris (Postprint) hal-01410661, HAL.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2014.
"Dynamic Asset Allocation with Ambiguous Return Predictability,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
- Hui Chen & Nengjiu Ju & Jianjun Miao, "undated". "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - Working Papers Series wp2009-015, Boston University - Department of Economics.
- Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
- 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.
- Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.
- Okubo, Masakatsu, 2023. "Model uncertainty, economic development, and welfare costs of business cycles," Journal of Macroeconomics, Elsevier, vol. 76(C).
- Álvaro Cartea & Sebastian Jaimungal, 2017. "Irreversible Investments And Ambiguity Aversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
- Lars Peter Hansen & José A. Scheinkman, 2009.
"Long-Term Risk: An Operator Approach,"
Econometrica, Econometric Society, vol. 77(1), pages 177-234, January.
- Lars Peter Hansen & Jose Scheinkman, 2006. "Long Term Risk: An Operator Approach," NBER Working Papers 12650, National Bureau of Economic Research, Inc.
- Lars Peter Hansen & Jose A Sheinkman, 2007. "Long-term Risk: An Operator Approach," Levine's Bibliography 122247000000001669, UCLA Department of Economics.
- Larry G. Epstein & Shaolin Ji, 2013.
"Ambiguous Volatility and Asset Pricing in Continuous Time,"
The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
- Larry G. Epstein & Shaolin Ji, 2012. "Ambiguous Volatility and Asset Pricing in Continuous Time," CIRANO Working Papers 2012s-29, CIRANO.
- Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
- Chen, Zhiping & Yang, Peng, 2020. "Robust optimal reinsurance–investment strategy with price jumps and correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 27-46.
- Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
- Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
- Martin Ellison & Thomas J. Sargent, 2012.
"A Defense Of The Fomc,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(4), pages 1047-1065, November.
- Martin Ellison & Thomas J. Sargent, 2009. "A defence of the FOMC," Economics Series Working Papers 457, University of Oxford, Department of Economics.
- Sargent, Thomas & Ellison, Martin, 2009. "A defence of the FOMC," CEPR Discussion Papers 7510, C.E.P.R. Discussion Papers.
- Cosmin L. Ilut & Martin Schneider, 2022. "Modeling Uncertainty as Ambiguity: a Review," NBER Working Papers 29915, National Bureau of Economic Research, Inc.
- Hansen, Peter G., 2022. "New formulations of ambiguous volatility with an application to optimal dynamic contracting," Journal of Economic Theory, Elsevier, vol. 199(C).
- Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015.
"Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach,"
European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
- Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.
- Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016.
"Misspecified Recovery,"
Journal of Finance, American Finance Association, vol. 71(6), pages 2493-2544, December.
- Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
- Jaroslav Borovicka & Lars Peter Hansen & Jose A. Scheinkman, 2015. "Misspecified Recovery," Working Papers 063_2014, Princeton University, Department of Economics, Econometric Research Program..
- Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman, 2014. "Misspecified Recovery," Papers 1412.0042, arXiv.org, revised Oct 2015.
- Yulei Luo & Jun Nie & Xiaowen Wang & Eric Young, 2021. "Production and Inventory Dynamics under Ambiguity Aversion," Research Working Paper RWP 21-05, Federal Reserve Bank of Kansas City.
- W. Brock & A. Xepapadeas & A. Yannacopoulos, 2014.
"Robust Control and Hot Spots in Spatiotemporal Economic Systems,"
Dynamic Games and Applications, Springer, vol. 4(3), pages 257-289, September.
- Athanasios Yannacopoulos & Anastasios Xepapadeas & William Brock, 2012. "Robust Control and Hot Spots in Spatiotemporal Economic Systems," DEOS Working Papers 1223, Athens University of Economics and Business.
- Jianjun Miao, 2009.
"Ambiguity, Risk and Portfolio Choice under Incomplete Information,"
Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
- Jianjun Miao, "undated". "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Boston University - Department of Economics - Working Papers Series wp2009-019, Boston University - Department of Economics.
- Henry, Marc & Onatski, Alexei, 2012.
"Set coverage and robust policy,"
Economics Letters, Elsevier, vol. 115(2), pages 256-257.
- Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRJE F-Series CIRJE-F-821, CIRJE, Faculty of Economics, University of Tokyo.
- Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRANO Working Papers 2011s-61, CIRANO.
- Marc Henry & Alexei Onatski, 2021. "Set coverage and robust policy," Papers 2106.09784, arXiv.org.
- Lars Peter Hansen, 2014. "Nobel Lecture: Uncertainty Outside and Inside Economic Models," Journal of Political Economy, University of Chicago Press, vol. 122(5), pages 945-987.
- Claus Munk & Alexey Rubtsov, 2014. "Portfolio management with stochastic interest rates and inflation ambiguity," Annals of Finance, Springer, vol. 10(3), pages 419-455, August.
- Sigrid Källblad, 2017. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Finance and Stochastics, Springer, vol. 21(2), pages 397-425, April.
- Juha Kilponen & Kai Leitemo, 2008.
"Model Uncertainty and Delegation: A Case for Friedman's "k"-Percent Money Growth Rule?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 547-556, March.
- Juha Kilponen & Kai Leitemo, 2008. "Model Uncertainty and Delegation: A Case for Friedman's k‐Percent Money Growth Rule?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 547-556, March.
- Shuang Li & Haijun Wang, 2023. "Robust irreversible investment strategy with ambiguity to jump and diffusion risk," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 645-665, September.
- Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
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- Massimo Guidolin & Francesca Rinaldi, 2013.
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