Twisted probabilities, uncertainty, and prices
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Publication:2305982
DOI10.1016/j.jeconom.2020.01.011zbMath1456.91049OpenAlexW2910745875MaRDI QIDQ2305982
Lars Peter Hansen, Bálint Szőke, Lloyd S. Han, Thomas J. Sargent
Publication date: 20 March 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.01.011
uncertaintyrobustnessrelative entropyriskasset pricesexponential quadratic stochastic discount factor
Related Items (3)
Macroeconomic uncertainty prices when beliefs are tenuous ⋮ Structured ambiguity and model misspecification ⋮ Estimating robustness
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