This article studies the estimation of state space models whose parameters are switching endogenously between two regimes, depending on whether an autoregressive latent factor crosses some threshold level. Endogeneity stems from the sustained impacts of transition innovations on the latent...

This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...

Axiomatic, everywhere, to experiences of the COVID-19 pandemic are models: models for prediction, models for understanding, models for projection, models for story-telling. Struggles over the interlocking global crises that the pandemic has provoked—and what to do about them— translate, in...

Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...

This paper develops a general framework to study how misinterpreting information impacts learning. Our main result is a simple criterion to characterize long-run beliefs based on the underlying form of misspecification. We present this characterization in the context of social learning, then...

We use decision theory to confront uncertainty that is sufficiently broad to incorporate “models as approximations.” We presume the existence of a featured collection of what we call “structured models” that have explicit substantive motivations. The decision maker confronts uncertainty...

We derive analytic formulae which link $\alpha$, $\nu$ and $\rho$ parameters in Andreasen-Huge style SABR model to the ATM price and option prices at four strikes close to ATM. Based on these formulae we give a characterisation for the SABR parameters in terms of derivatives of the swap rate...

This paper considers the identification and estimation of hedonic models. We establish that in an additive version of the hedonic model, technology and preferences are generically identified up to affine transformations from data on demand and supply in a single hedonic market. For a very...

In this article we are going to review the modelling of NMDs via replicating portfolios due to the revived interest in NMDs in the context of the interest rate risk of the banking book (IRRBB). The main goal is to provide a self contained presentation of the replicating portfolio approach from...

We propose simple mathematical models for the legal concept of balancing of interests, to resolve the conflict between the rights to privacy and to the protection of personal data in Art. 7 and Art. 8 of the EU Charter of Fundamental Rights (EUCh) against the right of access to information...