Aït-Sahalia, Yacine; Matthys, Felix; Osambela, Emilio; … - National Bureau of Economic Research - 2021
We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing … volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty …