This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty … overall macroeconomic uncertainty. To demonstrate the proposed method we consider two applications. First, we estimate UK … macroeconomic uncertainty due to external shocks and show that this component has become increasingly important over time for …

We consider the classical investment timing problem in a framework where the instantaneous volatility of the project … value is itself given by a stochastic process, hence lifting the old question about the investment-uncertainty relationship …), we consider processes of similar functional form, but with Heston stochastic volatility replacing the constant volatility …

We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented … by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty … negative effect of uncertainty on firm investment decisions. We test these predictions on a panel dataset of UK firms: we first …