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Equilibrium prices and trade under ambiguous volatility

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0 Published in 2017 at "Economic Theory"

DOI: 10.1007/s00199-016-0979-y

Abstract: This article considers general equilibrium economies with a primitive uncertainty model that features ambiguity about continuous-time volatility. For the resulting non-equivalence of priors, an appropriate commodity-price space is introduced. Agents are heterogeneous in the size… read more here.

Keywords: volatility; equilibrium; prices trade; ambiguity ... See more keywords