multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

decision theory to characterize when learning or discriminating among competing probability models is challenging. I also use … choice theory under uncertainty to explore the ramifications of model uncertainty and learning in environments in which … underpinnings of asset pricing models. I illustrate how statistical ambiguity can alter the risk-return tradeoff familiar from asset …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … markets per se are incomplete and yield volatility risk cannot be hedged by taking positions solely in the Treasury bond … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We …

intermediate view: that both data and theory are useful for decision-making. We investigate optimal portfolio choice for an …

specifications asset allocations in the presence of estimation risk exhibit sensitivity to those differences. …