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Citations for "A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection"

by Evan W. Anderson & Lars Peter Hansen & Thomas J. Sargent

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  1. 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.
  2. 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.
  3. Richard Dennis & Kai Leitemo & Ulf Soderstrom, 2006. "Methods for Robust Control," Working Papers 307, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  4. 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.
  5. Luo, Yulei & Nie, Jun & Young, Eric, 2015. "Robust Permanent Income in General Equilibrium," MPRA Paper 63985, University Library of Munich, Germany.
  6. Marc Henry & Alexei Onatski, 2011. "Set Coverage and Robust Policy," CIRJE F-Series CIRJE-F-821, CIRJE, Faculty of Economics, University of Tokyo.
  7. Hansen, Lars Peter & Scheinkman, José A., 2008. "Long Term Risk : An Operator Approach," Economics Papers from University Paris Dauphine 123456789/2282, Paris Dauphine University.
  8. 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.
  9. Nicolas Vincent & Isaac Kleshchelski, 2008. "Robust Equilibrium Yield Curves," 2008 Meeting Papers 486, Society for Economic Dynamics.
  10. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen.
  11. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  12. Hansen, Lars Peter & Sargent, Thomas J., 2012. "Three types of ambiguity," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 422-445.
  13. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01109639, HAL.
  14. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, 03.
  15. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
  16. Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
  17. Barillas, Francisco & Hansen, Lars Peter & Sargent, Thomas J., 2009. "Doubts or variability?," Journal of Economic Theory, Elsevier, vol. 144(6), pages 2388-2418, November.
  18. Athanasios Yannacopoulos & Anastasios Xepapadeas & William Brock, . "Robust Control and Hot Spots in Spatiotemporal Economic Systems," DEOS Working Papers 1223, Athens University of Economics and Business.
  19. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1020-1033.
  20. 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.
  21. 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.
  22. 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.
  23. Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
  24. 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.
  25. 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.
  26. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  27. Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.
  28. 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.
  29. 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).
  30. Taboga, Marco, 2005. "Portfolio selection with two-stage preferences," Finance Research Letters, Elsevier, vol. 2(3), pages 152-164, September.
  31. Bo Yi & Frederi Viens & Baron Law & Zhongfei Li, 2015. "Dynamic portfolio selection with mispricing and model ambiguity," Annals of Finance, Springer, vol. 11(1), pages 37-75, February.
  32. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
  33. Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
  34. Anastasios Xepapadeas & Catarina Roseta-Palma, 2013. "Instabilities and robust control in natural resource management," Portuguese Economic Journal, Springer, vol. 12(3), pages 161-180, December.
  35. Timothy Cogley & Thomas Sargent, . "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US," Working Papers 2133503, Department of Economics, W. P. Carey School of Business, Arizona State University.
  36. Flor, Christian Riis & Hesel, Søren, 2015. "Uncertain dynamics, correlation effects, and robust investment decisions," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 278-298.
  37. Hansen, Lars Peter & Sargent, Thomas J., 2005. "Robust estimation and control under commitment," Journal of Economic Theory, Elsevier, vol. 124(2), pages 258-301, October.
  38. 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.
  39. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  40. Martin Ellison & Thomas J. Sargent, 2015. "Welfare Cost of Business Cycles with Idiosyncratic Consumption Risk and a Preference for Robustness," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(2), pages 40-57, April.
  41. 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.
  42. Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
    • Jaroslav Borovi\v{c}ka & Lars Peter Hansen & Jos\'e A. Scheinkman, 2014. "Misspecified Recovery," Papers 1412.0042, arXiv.org, revised Jul 2015.
  43. Juillard, Michel & Karam, Philippe & Laxton, Douglas & Pesenti, Paolo, 2006. "Welfare-based monetary policy rules in an estimated DSGE model of the US economy," Working Paper Series 0613, European Central Bank.
  44. 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.
  45. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
  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.
  47. 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.
  48. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
  49. Shun Kobayashi, 2012. "Application of a Search Model to Appropriate Designing of Reference Rates: Actual Transactions and Expert Judgment," Bank of Japan Working Paper Series 12-E-13, Bank of Japan.
  50. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.
  51. Wang, Gaowang, 2014. "Model Uncertainty, the Spirit of Capitalism and Asset Pricing," MPRA Paper 62421, University Library of Munich, Germany, revised 03 Mar 2015.
  52. Jianjun Miao, . "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Boston University - Department of Economics - Working Papers Series wp2009-019, Boston University - Department of Economics.
  53. Goodman, James, 2014. "Evidence for ecological learning and domain specificity in rational asset pricing and market efficiency," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 48(C), pages 27-39.
  54. Hansen, Lars Peter & Mayer, Ricardo & Sargent, Thomas, 2010. "Robust hidden Markov LQG problems," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 1951-1966, October.
  55. 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.
  56. 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.
  57. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  58. Croce, Mariano M. & Nguyen, Thien T. & Schmid, Lukas, 2012. "The market price of fiscal uncertainty," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 401-416.
  59. 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.
  60. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc.
  61. repec:ebl:ecbull:v:4:y:2006:i:2:p:1-15 is not listed on IDEAS
  62. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
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