2 papers
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…
q-fin.PR2025
Option Pricing with Time-Varying Volatility Risk Aversion
Peter Reinhard Hansen, Chen Tong
We introduce a pricing kernel with time-varying volatility risk aversion to explain observed time variations in the shape of the pricing kernel. When combined with the Heston-Nandi…