Chen Tong

collaborators

7 papers

econ.EM2026

Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity

Xinxian Chen, Peter Reinhard Hansen, Chen Tong

We propose the Split-Session Cluster GARCH model for heavy-tailed multivariate dependence among asset returns decomposed into overnight and intraday components. The model uses conv…

econ.EM2026

Moments by Integrating the Moment-Generating Function

Peter Reinhard Hansen, Chen Tong

We introduce a general integral framework for computing fractional, complex, absolute, and logarithmic moments from the moment-generating function (MGF) under explicit regularity c…

math.NT2026

The Parabolic Mellin Transform: Gamma and Zeta Integral Representations

Peter Reinhard Hansen, Chen Tong

We introduce the Parabolic Mellin Transform (PMT), defined by $P_{I ¨} [f] (z) = \int_{- \infty}^{\infty} w^{2 z} f (w^{2}) d t$ , where $w = I ¨ + i t$ and $I ¨ > 0$ . Under the substitution $u = w^{2}$ , the…

econ.EM2026

Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models

Peter Reinhard Hansen, Chen Tong

The convolution of a Gaussian and a Cauchy distribution, known as the Voigt distribution, is widely used in spectroscopy and provides a natural framework for modeling heavy-tailed…

econ.EM2026

Principled Identification of Structural Dynamic Models

Neville Francis, Peter Reinhard Hansen, Chen Tong

We take a new perspective on identification in structural dynamic models: rather than imposing restrictions alone, we optimize an objective. While definitive structural identificat…

math.CV2026

A Unifying Integral Representation of the Gamma Function and Its Reciprocal

Peter Reinhard Hansen, Chen Tong

We derive an integral expression $G (z)$ for the reciprocal gamma function, $1/ I^ (z) = G (z) / I ¨ $ , that is valid for all $z \in C$ , without the need for analytic continuation. Th…