A. Ronald Gallant

Pennsylvania State University

University Park

State College, PA 16802

United States

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Scholarly Papers (1)

1.

Does Smooth Ambiguity Matter for Asset Pricing?

FRB International Finance Discussion Paper No. 1221
Number of pages: 83 Posted: 22 Jan 2018
A. Ronald Gallant, Mohammad R. Jahan-Parvar and Hening Liu
Pennsylvania State University, Board of Governors of the Federal Reserve System and University of Manchester - Alliance Manchester Business School
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Abstract:

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Ambiguity, Bayesian estimation, equity premium, Markov-switching, long-run risk