ROBUST PERMANENT INCOME AND PRICING WITH FILTERING

By Lars Peter Hansen, Thomas J. Sargent, Neng Wang. Macroeconomic Dynamics, 2002

129 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/2e45b0713740ac1a1e1487aae728d2517e124fc5

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Citations in the corpus

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2004, unknown): “For instance, some articles find the effect of learning to be small [see Hansen, Sargent, and Wang (2002, p. 4) ], whereas other papers have argued that after a certain point, not much can be learned [see Anderson, Hansen, and Sargent (2000, p. 2) and Chen and Epstein (2002, p. 1406)].”
A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION (2003, background): “In earlier work (Hansen, Sargent, and Tallarini (1999), henceforth denoted HST, and Hansen, Sargent, and Wang (2002), henceforth denoted HSW), we studied various discrete time asset pricing models in which decision makers' fear of model misspecification put model uncertainty premia into market…”
Wanting robustness in macroeconomics (2010, background): “See Hansen, Sargent, and Wang (2002) for more details about computing detection error probabilities.”
Acknowledging Misspecification in Macroeconomic Theory (2001, background): “See Anderson, Hansen, and Sargent (1999) and Hansen, Sargent, and Wang (2000) for applications to asset pricing.”
Solution of macromodels with HansenSargent robust policies: some extensions (2002, unknown): “, 1999), asset pricing (Anderson et al., 2003; Hansen et al., 1999; Tornell, 2000; Hansen et al., 2002), and monetary policy rules (Hansen and Sargent, 2001; Giannoni, 2002; Onatski, 2000).”
The Market Price of Risk and the Equity Premium (2005, methodology): “In acknowledging this feature of their models, Anderson, Hansen, and Sargent (2003) and Hansen, Sargent, and Wang (2002) calibrate the degree of robustness that a representative consumer wants, and the consequent quantity of pessimism that emerges, by requiring that the consumer’s worst-case model”