Hoevenaars, Roy P. P. M.; Molenaar, Roderick D. J.; … - In: Journal of Applied Econometrics 29 (2014) 3, pp. 353-376
SUMMARY We study the effect of parameter uncertainty on the long‐run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative prior we find that parameter uncertainty raises the annualized long‐run volatilities of all three asset...
