Details about Lars Peter Hansen

Homepage:	http://home.uchicago.edu/~lhansen
Workplace:	Department of Economics, University of Chicago, (more information at EDIRC)

Access statistics for papers by Lars Peter Hansen.

Last updated 2022-08-16. Update your information in the RePEc Author Service.

Short-id: pha303

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Working Papers

2022

1. Making Decisions under Model Misspecification
   Papers, arXiv.org View citations (4)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (5)
   Working Papers, Becker Friedman Institute for Research In Economics (2020) View citations (4)

2021

2. Climate Change Uncertainty Spillover in the Macroeconomy
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Chapter (2021)
   Journal Article in NBER Macroeconomics Annual (2022)
3. Rational Policymaking during a Pandemic
   Post-Print, HAL View citations (5)
   Also in Working Papers, IESEG School of Management (2020) View citations (3)

2020

4. Robust Identification of Investor Beliefs
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2020) View citations (8)
   Working Papers, Becker Friedman Institute for Research In Economics (2020) View citations (8)
   See also Journal Article in Proceedings of the National Academy of Sciences (2020)
5. Uncertainty Spillovers for Markets and Policy
   Working Papers, Becker Friedman Institute for Research In Economics View citations (2)
   See also Journal Article in Annual Review of Economics (2021)
6. Uncertainty and Decision-Making During a Crisis: How to Make Policy Decisions in the COVID-19 Context?
   Working Papers, Becker Friedman Institute for Research In Economics View citations (1)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2020) View citations (1)

2019

7. Macroeconomic Uncertainty Prices when Beliefs are Tenuous
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article in Journal of Econometrics (2021)

2017

8. The Past, Present, and Future of Economics: A Celebration of the 125-Year Anniversary of the JPE and of Chicago Economics
   Natural Field Experiments, The Field Experiments Website View citations (3)

2016

9. Sets of Models and Prices of Uncertainty
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
10. Term Structure of Uncertainty in the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Chapter (2016)

2015

11. Misspecified Recovery
    Papers, arXiv.org View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (15)
    Working Papers, Princeton University, Department of Economics, Econometric Research Program. (2015) View citations (3)
    See also Journal Article in Journal of Finance (2016)

2014

12. Biographical
    Nobel Prize in Economics documents, Nobel Prize Committee
13. Shock Elasticities and Impulse Responses
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
14. Uncertainty Outside and Inside Economic Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
    Also in Nobel Prize in Economics documents, Nobel Prize Committee (2013) View citations (19)

2013

15. Challenges in Identifying and Measuring Systemic Risk
    Working Papers, CEMFI View citations (38)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (26)
    See also Chapter (2013)
16. Interview with 2013 Laureate in Economic Sciences Lars Peter Hansen
    Nobel Prize in Economics documents, Nobel Prize Committee
17. Stochastic Compounding and Uncertain Valuation
    Working Papers, Princeton University, Department of Economics, Econometric Research Program.

2012

18. Examining macroeconomic models through the lens of asset pricing
    Working Paper Series, Federal Reserve Bank of Chicago View citations (6)
    See also Journal Article in Journal of Econometrics (2014)
19. Recursive utility in a Markov environment with stochastic growth
    Working Papers, Princeton University, Department of Economics, Econometric Research Program. View citations (22)

2009

20. Managing expectations and fiscal policy
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
21. Nonlinearity and Temporal Dependence
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
    Also in CIRANO Working Papers, CIRANO (2009) View citations (2)
    Working Papers, Yale University, Department of Economics (2008) View citations (5)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2008) View citations (15)
    See also Journal Article in Journal of Econometrics (2010)
22. Principal Components and Long Run Implications of Multivariate Diffusions
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (21)
23. Principal components and the long run
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (22)
    Also in Levine's Bibliography, UCLA Department of Economics (2005) View citations (15)
24. Risk Price Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Working Papers, Princeton University, Department of Economics, Econometric Research Program. (2009)
25. Underidentification?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
    See also Journal Article in Journal of Econometrics (2012)
26. Underidentification? (Resumen)
    Working Papers, CEMFI View citations (7)

2008

27. Modeling the Long Run: Valuation in Dynamic Stochastic Economies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
28. Robustness and US Monetary
    2008 Meeting Papers, Society for Economic Dynamics View citations (26)

2007

29. Beliefs, Doubts and Learning: Valuing Economic Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (123)
30. Long-term Risk: An Operator Approach
    Levine's Bibliography, UCLA Department of Economics View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (1)
    See also Journal Article in Econometrica (2009)

2005

31. Consumption Strikes Back?: Measuring Long-Run Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (34)
    See also Journal Article in Journal of Political Economy (2008)
32. Recursive robust estimation and control without commitment
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (7)
    See also Journal Article in Journal of Economic Theory (2007)

2003

33. Advances in economics and econometrics:theory and applications
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (406)

1999

34. Micro Data and General Equilibrium Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (335)
    See also Chapter (1999)

1997

35. Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Business & Economic Statistics (1996)
36. Robust Permanent Income and Pricing
    Levine's Working Paper Archive, David K. Levine View citations (20)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (21)
    See also Chapter (2014)
    Journal Article in Review of Economic Studies (1999)

1995

37. On the mechanics of forming and estimating dynamic linear economies
    Staff Report, Federal Reserve Bank of Minneapolis View citations (12)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) View citations (51)
    See also Chapter (1996)

1994

38. Assessing Specification Errors in Stochastic Discount Factor Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (9)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1994) View citations (7)
    See also Journal Article in Journal of Finance (1997)

1993

39. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (35)
    See also Journal Article in Econometrica (1995)
40. Econometric Evaluation of Asset Pricing Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Review of Financial Studies (1995)
41. Flat rate taxes with adjustment costs and several capital stocks and household types
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco
    See also Journal Article in Proceedings (1993)

1992

42. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (208)
    See also Chapter (1992)

1990

43. Implications of Security Market Data for Models of Dynamic Economies
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1990) View citations (31)
    See also Journal Article in Journal of Political Economy (1991)
44. Recursive Linear Models of Dynamic Economies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article in Proceedings (1993)

1987

45. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (1990)

1986

46. A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article in The Quarterly Journal of Economics (1988)

1983

47. Identification of continuous time rational expectations models from discrete time data
    Staff Report, Federal Reserve Bank of Minneapolis View citations (3)

1982

48. Formulating and estimating continuous time rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (3)

1981

49. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (26)
    See also Journal Article in Economics Letters (1981)
50. Aggregation over time and the inverse optimal predictor problem for adaptive expectations in continuous time
    Staff Report, Federal Reserve Bank of Minneapolis View citations (5)
    See also Journal Article in International Economic Review (1983)
51. Exact linear rational expectations models: specification and estimation
    Staff Report, Federal Reserve Bank of Minneapolis View citations (30)
52. Instrumental variables procedures for estimating linear rational expectations models
    Staff Report, Federal Reserve Bank of Minneapolis View citations (7)
    See also Journal Article in Journal of Monetary Economics (1982)
53. The dimensionality of the aliasing problem in models with rational spectral densities
    Staff Report, Federal Reserve Bank of Minneapolis View citations (2)
    See also Journal Article in Econometrica (1983)

1980

54. Linear rational expectations models for dynamically interrelated variables
    Working Papers, Federal Reserve Bank of Minneapolis View citations (23)
55. Methods for estimating continuous time Rational Expectations models from discrete time data
    Staff Report, Federal Reserve Bank of Minneapolis View citations (15)
56. Rational expectations models and the aliasing phenomenon
    Staff Report, Federal Reserve Bank of Minneapolis View citations (3)

1979

57. Formulating and estimating dynamic linear rational expectations models
    Working Papers, Federal Reserve Bank of Minneapolis View citations (22)
    See also Journal Article in Journal of Economic Dynamics and Control (1980)

Undated

58. Perturbation Methods for Risk-Sensitive Economies
    Computing in Economics and Finance 1996, Society for Computational Economics View citations (1)
59. Small Sample Properties of Alternative GMM Estimators
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business

Journal Articles

2022

1. Central banking challenges posed by uncertain climate change and natural disasters
   Journal of Monetary Economics, 2022, 125, (C), 1-15 View citations (6)
2. Climate Change Uncertainty Spillover in the Macroeconomy
   NBER Macroeconomics Annual, 2022, 36, (1), 253 - 320
   See also Chapter (2021)
   Working Paper (2021)
3. Structured ambiguity and model misspecification
   Journal of Economic Theory, 2022, 199, (C) View citations (4)

2021

4. Macroeconomic uncertainty prices when beliefs are tenuous
   Journal of Econometrics, 2021, 223, (1), 222-250 View citations (2)
   See also Working Paper (2019)
5. Uncertainty Spillovers for Markets and Policy
   Annual Review of Economics, 2021, 13, (1), 371-396
   See also Working Paper (2020)

2020

6. Pricing Uncertainty Induced by Climate Change
   Review of Financial Studies, 2020, 33, (3), 1024-1066 View citations (48)
7. Robust identification of investor beliefs
   Proceedings of the National Academy of Sciences, 2020, 117, (52), 33130-33140 View citations (8)
   See also Working Paper (2020)
8. Twisted probabilities, uncertainty, and prices
   Journal of Econometrics, 2020, 216, (1), 151-174 View citations (2)

2018

9. Aversion to ambiguity and model misspecification in dynamic stochastic environments
   Proceedings of the National Academy of Sciences, 2018, 115, (37), 9163-9168 View citations (13)
10. Comment
    NBER Macroeconomics Annual, 2018, 32, (1), 479 - 489

2017

11. Time-Series Econometrics in Macroeconomics and Finance
    Journal of Political Economy, 2017, 125, (6), 1774 - 1782
12. ПОСЛЕДСТВИЯ НЕОПРЕДЕЛЕННОСТИ ДЛЯ ЭКОНОМИЧЕСКОГО АНАЛИЗА // THE CONSEQUENCES OF UNCERTAINTY FOR ECONOMIC ANALYSIS
    Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, 2015, (2), 6-12

2016

13. Misspecified Recovery
    Journal of Finance, 2016, 71, (6), 2493-2544 View citations (17)
    See also Working Paper (2015)

2015

14. Four types of ignorance
    Journal of Monetary Economics, 2015, 69, (C), 97-113 View citations (7)
15. [Robust Control and Model Uncertainty], Belirsizlik Modeli ve Saðlamlýlýk Kontrolü
    Journal of Economics Bibliography, 2015, 2, (2), 57-65

2014

16. Examining macroeconomic models through the lens of asset pricing
    Journal of Econometrics, 2014, 183, (1), 67-90 View citations (29)
    See also Working Paper (2012)
17. Nobel Lecture: Uncertainty Outside and Inside Economic Models
    Journal of Political Economy, 2014, 122, (5), 945 - 987 View citations (70)

2012

18. Comment
    NBER Macroeconomics Annual, 2012, 26, (1), 132 - 143
19. Dynamic Valuation Decomposition Within Stochastic Economies
    Econometrica, 2012, 80, (3), 911-967 View citations (52)
20. Pricing growth-rate risk
    Finance and Stochastics, 2012, 16, (1), 1-15 View citations (18)
21. Proofs for large sample properties of generalized method of moments estimators
    Journal of Econometrics, 2012, 170, (2), 325-330 View citations (6)
22. Small noise methods for risk-sensitive/robust economies
    Journal of Economic Dynamics and Control, 2012, 36, (4), 468-500 View citations (22)
23. Three types of ambiguity
    Journal of Monetary Economics, 2012, 59, (5), 422-445 View citations (35)
    See also Chapter (2014)
24. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280
    See also Working Paper (2009)

2011

25. Robustness and ambiguity in continuous time
    Journal of Economic Theory, 2011, 146, (3), 1195-1223 View citations (18)

2010

26. Fragile beliefs and the price of uncertainty
    Quantitative Economics, 2010, 1, (1), 129-162 View citations (80)
    See also Chapter (2014)
27. Nonlinearity and temporal dependence
    Journal of Econometrics, 2010, 155, (2), 155-169 View citations (37)
    See also Working Paper (2009)
28. Robust hidden Markov LQG problems
    Journal of Economic Dynamics and Control, 2010, 34, (10), 1951-1966 View citations (5)

2009

29. Doubts or variability?
    Journal of Economic Theory, 2009, 144, (6), 2388-2418 View citations (112)
    See also Chapter (2014)
30. Long-Term Risk: An Operator Approach
    Econometrica, 2009, 77, (1), 177-234 View citations (177)
    See also Working Paper (2007)

2008

31. Consumption Strikes Back? Measuring Long-Run Risk
    Journal of Political Economy, 2008, 116, (2), 260-302 View citations (319)
    See also Working Paper (2005)
32. Robustness and U.S. Monetary Policy Experimentation
    Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 View citations (63)
    Also in Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 (2008) View citations (8)

2007

33. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
    American Economic Review, 2007, 97, (2), 1-30 View citations (127)
    See also Chapter (2014)
34. Recursive robust estimation and control without commitment
    Journal of Economic Theory, 2007, 136, (1), 1-27 View citations (90)
    See also Working Paper (2005)

2006

35. Introduction to model uncertainty and robustness
    Journal of Economic Theory, 2006, 128, (1), 1-3 View citations (3)
36. Robust control and model misspecification
    Journal of Economic Theory, 2006, 128, (1), 45-90 View citations (139)
    See also Chapter (2014)

2005

37. Certainty equivalence and model uncertainty
    Proceedings, 2005, 17-38 View citations (5)
38. Model uncertainty and policy evaluation: some theory and empirics - comments
    Proceedings, 2005
39. Robust estimation and control under commitment
    Journal of Economic Theory, 2005, 124, (2), 258-301 View citations (77)

2004

40. AN INTERVIEW WITH CHRISTOPHER A. SIMS
    Macroeconomic Dynamics, 2004, 8, (2), 273-294 View citations (6)
41. Empirical and policy performance of a forward-looking monetary model, comments
    Proceedings, 2004, (Mar)

2003

42. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
    Journal of the European Economic Association, 2003, 1, (1), 68-123 View citations (258)
    See also Chapter (2014)
43. Robust control of forward-looking models
    Journal of Monetary Economics, 2003, 50, (3), 581-604 View citations (126)

2002

44. ROBUST PERMANENT INCOME AND PRICING WITH FILTERING
    Macroeconomic Dynamics, 2002, 6, (1), 40-84 View citations (83)
45. Robustness and Pricing with Uncertain Growth
    Review of Financial Studies, 2002, 15, (2), 363-404 View citations (95)

2001

46. Acknowledgement Misspecification in Macroeconomic Theory
    Monetary and Economic Studies, 2001, 19, (S1), 213-227 View citations (43)
47. Acknowledging Misspecification in Macroeconomic Theory
    Review of Economic Dynamics, 2001, 4, (3), 519-535 View citations (115)
48. Robust Control and Model Uncertainty
    American Economic Review, 2001, 91, (2), 60-66 View citations (564)
    See also Chapter (2014)

1999

49. Robust Permanent Income and Pricing
    Review of Economic Studies, 1999, 66, (4), 873-907 View citations (289)
    See also Working Paper (1997)
    Chapter (2014)

1998

50. Spectral methods for identifying scalar diffusions
    Journal of Econometrics, 1998, 86, (1), 1-32 View citations (60)

1997

51. Assessing Specification Errors in Stochastic Discount Factor Models
    Journal of Finance, 1997, 52, (2), 557-90 View citations (362)
    See also Working Paper (1994)
52. BOOTSTRAPPING THE LONG RUN
    Macroeconomic Dynamics, 1997, 1, (2), 279-311 View citations (19)

1996

53. Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors
    Journal of Business & Economic Statistics, 1996, 14, (1), 53-68 View citations (60)
    See also Working Paper (1997)
54. Finite-Sample Properties of Some Alternative GMM Estimators
    Journal of Business & Economic Statistics, 1996, 14, (3), 262-80 View citations (605)
55. The Empirical Foundations of Calibration
    Journal of Economic Perspectives, 1996, 10, (1), 87-104 View citations (188)

1995

56. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
    Econometrica, 1995, 63, (4), 767-804 View citations (139)
    See also Working Paper (1993)
57. Econometric Evaluation of Asset Pricing Models
    Review of Financial Studies, 1995, 8, (2), 237-74 View citations (105)
    See also Working Paper (1993)

1993

58. Flat rate taxes with adjustment costs and several capital stocks and household types
    Proceedings, 1993, (Mar)
    See also Working Paper (1993)
59. Recursive linear models of dynamic economies
    Proceedings, 1993, (Mar) View citations (43)
    See also Working Paper (1990)
60. Seasonality and approximation errors in rational expectations models
    Journal of Econometrics, 1993, 55, (1-2), 21-55 View citations (67)

1991

61. Implications of Security Market Data for Models of Dynamic Economies
    Journal of Political Economy, 1991, 99, (2), 225-62 View citations (741)
    See also Working Paper (1990)

1990

62. Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
    Journal of Business & Economic Statistics, 1990, 8, (1), 53-69 View citations (164)
    See also Working Paper (1987)
63. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
    Journal of Econometrics, 1990, 45, (1-2), 141-179 View citations (68)

1988

64. A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice Under Uncertainty
    The Quarterly Journal of Economics, 1988, 103, (1), 51-78 View citations (341)
    See also Working Paper (1986)

1987

65. The Role of Conditioning Information in Deducing Testable
    Econometrica, 1987, 55, (3), 587-613 View citations (368)

1986

66. Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Comment
    Journal of Business & Economic Statistics, 1986, 4, (4), 418-21 View citations (3)

1985

67. A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators
    Journal of Econometrics, 1985, 30, (1-2), 203-238 View citations (82)

1983

68. Aggregation over Time and the Inverse Optimal Predictor Problem for Adaptive Expectations in Conginuous Time
    International Economic Review, 1983, 24, (1), 1-20 View citations (7)
    See also Working Paper (1981)
69. Multiperiod Probit Models and Orthogonality Condition Estimation
    International Economic Review, 1983, 24, (1), 21-35 View citations (67)
70. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
    Journal of Political Economy, 1983, 91, (2), 249-65 View citations (692)
71. The Dimensionality of the Aliasing Problem in Models with Rational Spectral Densities
    Econometrica, 1983, 51, (2), 377-87 View citations (38)
    See also Working Paper (1981)

1982

72. Consumption, asset markets, and macroeconomic fluctuations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1982, 17, (1), 239-250
73. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
    Econometrica, 1982, 50, (5), 1269-86 View citations (1069)
74. Instrumental variables procedures for estimating linear rational expectations models
    Journal of Monetary Economics, 1982, 9, (3), 263-296 View citations (45)
    See also Working Paper (1981)
75. Large Sample Properties of Generalized Method of Moments Estimators
    Econometrica, 1982, 50, (4), 1029-54 View citations (5664)

1981

76. A note on Wiener-Kolmogorov prediction formulas for rational expectations models
    Economics Letters, 1981, 8, (3), 255-260 View citations (27)
    See also Working Paper (1981)

1980

77. Formulating and estimating dynamic linear rational expectations models
    Journal of Economic Dynamics and Control, 1980, 2, (1), 7-46 View citations (440)
    See also Working Paper (1979)
78. Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
    Journal of Political Economy, 1980, 88, (5), 829-53 View citations (825)

1978

79. A note on first degree stochastic dominance
    Economics Letters, 1978, 1, (4), 315-319 View citations (1)

Undated

80. Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
    The Journal of Financial Econometrics, 18, (4), 715-720
81. Repercussions of Pandemics on Markets and Policy
    The Review of Asset Pricing Studies, 10, (4), 569-573

Books

2014

1. Uncertainty within Economic Models
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (9)

2013

2. Recursive Models of Dynamic Linear Economies
   Economics Books, Princeton University Press View citations (28)

Edited books

2003

1. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (773)
2. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (773)
3. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (773)
4. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (773)
5. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (773)
6. Advances in Economics and Econometrics
   Cambridge Books, Cambridge University Press View citations (773)

Chapters

2021

1. Climate Change Uncertainty Spillover in the Macroeconomy
   A chapter in NBER Macroeconomics Annual 2021, volume 36, 2021, pp 253-320 View citations (7)
   See also Working Paper (2021)
   Journal Article in NBER Macroeconomics Annual (2022)

2017

2. Comment on "Survey Measurement of Probabilistic Economic Expectations: Progress and Promise"
   A chapter in NBER Macroeconomics Annual 2017, volume 32, 2017, pp 479-489

2016

3. Term Structure of Uncertainty in the Macroeconomy
   Elsevier View citations (1)
   See also Working Paper (2016)

2014

4. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
   Chapter 4 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 83-143
   See also Journal Article in Journal of the European Economic Association (2003)
5. Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
   Chapter 10 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 331-377
   See also Journal Article in American Economic Review (2007)
6. Discounted Linear Exponential Quadratic Gaussian Control
   Chapter 2 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 23-32
7. Doubts or Variability?
   Chapter 7 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 217-256
   See also Journal Article in Journal of Economic Theory (2009)
8. Fragile Beliefs and the Price of Uncertainty
   Chapter 9 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 293-330
   See also Journal Article in Quantitative Economics (2010)
9. Introduction
   Chapter 1 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 1-21
10. Robust Control and Model Misspecification
    Chapter 6 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 155-216
    See also Journal Article in Journal of Economic Theory (2006)
11. Robust Control and Model Uncertainty
    Chapter 5 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 145-154
    See also Journal Article in American Economic Review (2001)
12. Robust Estimation and Control without Commitment
    Chapter 8 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 257-291
13. Robust Permanent Income and Pricing
    Chapter 3 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 33-81
    See also Working Paper (1997)
    Journal Article in Review of Economic Studies (1999)
14. Three Types of Ambiguity
    Chapter 11 in UNCERTAINTY WITHIN ECONOMIC MODELS, 2014, pp 379-430
    See also Journal Article in Journal of Monetary Economics (2012)

2013

15. Challenges in Identifying and Measuring Systemic Risk
    A chapter in Risk Topography: Systemic Risk and Macro Modeling, 2013, pp 15-30 View citations (2)
    See also Working Paper (2013)
16. Risk Pricing over Alternative Investment Horizons
    Elsevier View citations (8)

2011

17. Comment on "House Price Booms and the Current Account"
    A chapter in NBER Macroeconomics Annual 2011, Volume 26, 2011, pp 132-143

2010

18. Wanting Robustness in Macroeconomics
    Chapter 20 in Handbook of Monetary Economics, 2010, vol. 3, pp 1097-1157 View citations (40)

2008

19. Time Inconsistency of Robust Control?
    Chapter 7 in Macroeconomics in the Small and the Large, 2008 View citations (41)

2007

20. Intertemporal Substitution and Risk Aversion
    Chapter 61 in Handbook of Econometrics, 2007, vol. 6A View citations (74)
21. Introduction to Robustness
    A chapter in Robustness, 2007 View citations (87)

2005

22. Intangible Risk
    A chapter in Measuring Capital in the New Economy, 2005, pp 111-152 View citations (3)

1999

23. Micro data and general equilibrium models
    Chapter 08 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 543-633 View citations (351)
    See also Working Paper (1999)

1996

24. Mechanics of forming and estimating dynamic linear economies
    Chapter 04 in Handbook of Computational Economics, 1996, vol. 1, pp 171-252 View citations (142)
    See also Working Paper (1995)

1992

25. Asset Pricing Explorations for Macroeconomics
    A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 View citations (208)
    See also Working Paper (1992)

1983

26. Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
    A chapter in Exchange Rates and International Macroeconomics, 1983, pp 113-152 View citations (133)

Software Items

1995

1. Matlab code for robust Muth decision filter
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
2. Matlab code for robustifying Muth Filter
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles

Undated

3. Matlab programs by Hansen and T. Sargent
   Matlab codes