Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility
Year of publication: |
2015
|
---|---|
Authors: | Jeong, Daehee ; Kim, Hwagyun ; Park, Joon Y. |
Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 115.2015, 2, p. 361-382
|
Publisher: |
Elsevier |
Subject: | Recursive utility | Stochastic differential utility | Multiple priors | Ambiguity aversion | Continuous-time conditional mean model | Martingale regression | Time change | Mixed frequency data |
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