2 papers
math.ST2026
Near-Unit-Root Theory for Affine Processes
Gael Anne, Yang Lu, Xuewen Yu +1
Discrete-time affine processes are widely used in finance and economics and encompass count, positive, and nonnegative-valued processes. This paper develops near-unit-root asymptot…
econ.EM2025
Large Structural VARs with Multiple Sign and Ranking Restrictions
Joshua Chan, Christian Matthes, Xuewen Yu
Large VARs are increasingly used in structural analysis as a unified framework to study the impacts of multiple structural shocks simultaneously. However, the concurrent identifica…