substantial parameter uncertainty. We study the bias and MSE of estimators of tail probabilities and percentiles, with focus on 1 … of addressing parameter uncertainty, is seen to double the estimation bias. A bias corrected estimator is thus proposed …

This paper proposes a direct and robust method to quantify economic uncertainty. Cap and floor options are empirically … used to gauge uncertainty about future interest rates. The developed measure is shown to be counter-cyclical, precedes bad … distribution of the cyclically adjusted price-to-earnings ratio (CAPE ratio) as function of economic and uncertainty conditions …