Robust permanent income and pricing with filtering

Macroeconomic Dynamics

Volumn 6, Issue 1, 2002, Pages 40-84

  Hansen, Lars Peter ^a   Sargent, Thomas J ^b   Wang, Neng E ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b STANFORD UNIVERSITY   (United States)

Author keywords

Approximating Model; Equity Premium; Kalman Filter; Knightian Uncertainty; Market Price of Uncertainty; Permanent Income; Robustness

Indexed keywords

EID: 0036002888     PISSN: 13651005     EISSN: None     Source Type: Journal    
DOI: 10.1017/S1365100502027049     Document Type: Article

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