Ayoub, Mahmoud; Qadan, Mahmoud - In: Financial innovation : FIN 10 (2024), pp. 1-23
Recent theoretical developments in economics distinguish between risk and ambiguity (Knightian uncertainty). Using state-of-the-art methods with intraday stock market data from February 1993 to February 2021, we derive financial ambiguity and empirically examine the effect of shocks to it on the...