Does Smooth Ambiguity Matter for Asset Pricing?
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing 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 cons...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Oxford University Press
2019
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| Online Access: | View Fulltext in Publisher |