A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION

By Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent. 2003

625 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/af963d5eba7c8629411722eeb2a4d3b6a7129c3a

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Citations in the corpus

Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle (2012, neutral): “16See Anderson et al. (2003), Maccheroni et al. (2006) and Hansen and Sargent (2008b) among others.”
Pricing Uncertainty Induced by Climate Change (2020, neutral): “Anderson et al. (2018) used a discrete-time formulation of this approach to study an alternative energy climate model with concerns for model misspecification.”
Model Specification and Risk Premia: Evidence from Futures Options (2007, background): “As Anderson, Hansen, and Sargent (2003) note, model misspecification can appear in the form of a risk premium.”
Ambiguity Aversion and Model Misspecification: An Economic Perspective (2016, background): “This type of uncertainty motivated the work of Hansen and Sargent (2001), Chen and Epstein (2002), and Anderson et al. (2003). It is also a central motivation for the dynamic extension of the class of variational preferences as discussed in Maccheroni et al. (2006a).”
Risk Price Dynamics (2009, neutral): “Anderson et al. (2003) give a robust utility interpretation for the EZ model with a unitary elasticity of substitution for which the parameter γ reflects a concern for model specification instead of risk aversion.”
Long‐Term Risk: An Operator Approach (2006, positive): “It supports local pricing and generalizations of the analyses of Backus and Zin (1994) and Alvarez and Jermann (2004) that use fixed income securities to make inferences about economic fundamentals.”
Nobel Lecture: Uncertainty Outside and Inside Economic Models (2014, background): “See Hansen, Heaton, and Luttmer ð1995Þ for further discussion.”
The impact of risk and uncertainty on expected returns. (2009, background): “Papers by Hansen and Sargent (1995, 2001, 2003, 2005, 2007), Hansen, Sargent, and Tallarini (1999), Anderson, Hansen, and Sargent (2003), Hansen, Sargent, Turmuhambetova, and Williams (2006), Chen and Epstein (2002), Maenhout (2004, 2006), Uppal and Wang (2003), Kogan and Wang (2002), and Liu, Pan,…”
Tails, Fears and Risk Premia (2010, neutral): “2 Anderson et al. (2003) and Broadie et al. (2007) both forcefully argue from very difierent perspectives that misspecifled parametric models can result in highly misleading estimates for the risk premia.”
A Stochastic Control Approach to a Robust Utility Maximization Problem (2007, methodology): “We explicitly mention here the two papers [1] and [11] which also contain more references.”
Fragile beliefs and the price of uncertainty (2010, methodology): “(2002) and Anderson et al. (2003) in ways described by Hansen et al.”