We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict …

Bayesian time-varying parameter VAR model with stochastic volatility to US data from 1970 to 2014. GDP becomes highly sensitive …

estimate long-run risk models in which the conditional variance of consumption growth follows either an autoregressive (AR … improve model performance; (2) expected consumption growth has a very persistent component, whereas consumption volatility is …

Robust control theory is a tool for assessing decision rules when a decision maker distrusts either the specification … control theory to the so-called multiplier and constraint preferences that have been used to express ambiguity aversion …

This presentation reconsiders Knight's Risk, Uncertainty, and Profit of 1921 in light of the emergence of the World … Wide Web in early-1990s, Emanuel Derman's pioneering work in Model Risk Management at Goldman Sachs in mid-1990s, backlash … around mid-2013. Based upon review of related financial risk modeling practices and exponentially increasing Cyber era …