I develop a theoretical framework to identify investors' subjective beliefs that are jointly consistent with survey expectations and asset prices in markets where investors face trading frictions. To quantify the deviation of investors' beliefs from Rational Expectations (RE), I provide a metric...

This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...

We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...