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Does Ambiguity about Volatility Matter Empirically?

posted Dec 2, 2015, 12:17 PM by Julian Thimme   [ updated Dec 2, 2015, 12:20 PM ]
It does! My new working paper, coauthored by Nicole Branger and Christian Schlag, provides empirical evidence for a statistically and economically significantly positive premium for ambiguity about volatility in equity returns and a model-based explanation why it should. The paper comprises large parts of our older working paper "Ambiguous Long Run Risks". It can be downloaded from SSRN here.