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Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds
16 references·2 citing·39 second hop
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References

  • 1921Risk, Uncertainty and Profit9,962 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US1,955 cited
  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 1998Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory1,166 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2005The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models1,004 cited
  • 2003Recursive multiple-priors868 cited
  • 2005What does the yield curve tell us about GDP growth?815 cited
  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 1992Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio776 cited
  • 2005A consumption-based model of the term structure of interest rates☆

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693 cited
  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • Cited by

    • 2011Nominal Bonds, Real Bonds, and Equity27 cited
    • 2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature24 cited