Browsing by Subject "macroeconomic uncertainty"
Now showing items 1-2 of 2
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(2016-05-10)We measure macroeconomic uncertainty and study its link to asset returns via a consumption-based model employing recursive preferences. We introduce a stochastic volatility model with two asymptotic regimes and smooth ...
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(2018-07-27)This dissertation includes two essays on ambiguity and stock return volatility. The first essay focuses on the degree of ambiguity in the firm news, and studies the impact of ambiguous information regarding dividends and ...