3 papers
q-fin.TR2026
The Quarter-Hour Effect: Periodic Algorithmic Trading and Return Predictability in Cryptocurrency Futures
Chan Kim, Peter Reinhard Hansen
Cryptocurrency markets exhibit periodic bursts in volatility and volume at one-minute, five-minute, and quarter-hour marks. Using trade data for six Binance perpetual contracts, we…
econ.EM2026
The Generalized Fisher Transformation: Finite-Sample Properties and Inference
Ilya Archakov, Peter Reinhard Hansen
We study the finite-sample behavior of the Generalized Fisher Transformation (GFT), the parametrization of a correlation matrix by . The GFT co…
econ.EM2026
Tweedie's Formula and Score-Driven Updating
Peter Reinhard Hansen, Chen Tong
Score-driven models update time-varying parameters using conditional likelihood scores. This paper develops a Bayesian interpretation of such updates through Tweedie's formula, whi…