models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

In this paper we investigate transmission and spillovers of local and foreign economic policy uncertainty shocks to … addition to local effects we find foreign uncertainty shocks influence the Euro area but not the US unemployment. Moreover we … document weaker spillovers of both local and foreign uncertainty shocks in the more volatile times. …

model uncertainty or imprecision in a probabilistic framework. We discuss imprecise versions of stochastic processes with a …