Uncertainty & Ambiguity in Finance
Measuring, pricing, and hedging the fact that investors do not know the true distribution of returns.
•
2 min read
Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
Sebastian Stöckl
Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence
This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity.
martin-gachter
PRIX – A Risk Index for Global Private Investors
The purpose of this paper is to create a universal (asset-class-independent) portfolio risk index for a global private investor.
Sebastian Stöckl
Financial Applications of the Mahalanobis Distance
We describe existing and potential financial applications of the Mahalanobis distance.
Sebastian Stöckl