Model Uncertainty and Liquidity

By Bryan R. Routledge, Stanley E. Zin. 2001

217 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/008fbd39c23f225cf2c960aec842128b9296147a

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Citations in the corpus

Modeling the Change of Paradigm: Non-Bayesian Reactions to Unexpected News † (2012, background): “(See Caballero and Krishnamurthy 2009; Caballero and Simsek 2009; Guidolin and Rinaldi 2010; and Routledge and Zin 2009.)”
Ambiguity and Asset Markets (2010, methodology): “This is why MP has been used to capture the increase in uncertainty during financial crises (Caballero & Krishnamurthy 2008, Caballero & Simsek 2009, Guidolin & Rinaldi 2009, Routledge & Zin 2009).”
MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006, methodology): “The other one is based on worst-case or “maxmin” approach and has been axiomatized by [Gilboa & Schmeidler] and studied in the context of asset pricing by [Epstein & Wang, Routledge & Zin (2001)] and others.”
Learning Under Ambiguity (2007, unknown): “Multiple-priors applications typically employ a constant set of one-step-ahead probabilities (Epstein and Miao [17], Routledge and Zin [39]).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Routledge and Zin (2009) have also examined the effects of ambiguity on liquidity and shown that as the framework of analysis grows more realistic, it is hard —albeit this remains intuitively sensible—to conclude that ambiguity will decrease liquidity and be the cause of market break-downs.”
Fear of the Unknown: Familiarity and Economic Decisions (2007, background): “See Routledge and Zin (2003) on how ambiguity aversion can lead to fluctuations in liquidity, such as the extreme illiquidity and “flight to quality” that occurred in international bond markets during the Russian debt crisis of August 1998.”
Risk, Uncertainty, and Option Exercise (2011, unknown): “5 See Chen and Epstein (2002), Epstein and Miao (2003), Epstein and Schneider (2006, 2007), Epstein and Wang (1994, 1995), Kogan and Wang (2002), Miao (2004, 2009), and Routledge and Zin (2009).”
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “Multiple-priors applications typically employ a constant set of one-step-ahead probabilities (Epstein and Miao, 2003; Routledge and Zin, 2001).”
Stock Market Liquidity and Firm Dividend Policy (2007, unknown): “The decline in trading activity is consistent with the idea that stock market liquidity deteriorates after significant market devaluations; see Chordia, Roll, and Subrahmanyam (2001) and Routledge and Zin (2001).”