2 papers
econ.EM2026
Plausible GMM: A Quasi-Bayesian Approach
Victor Chernozhukov, Christian B. Hansen, Lingwei Kong +1
Structural estimation in economics often makes use of models formulated in terms of moment conditions. While these moment conditions are generally well-motivated, it is often unkno…
econ.EM2026
Transformer-based CoVaR: Systemic Risk in Textual Information
Junyu Chen, Tom Boot, Lingwei Kong +1
Conditional Value-at-Risk (CoVaR) quantifies systemic financial risk by measuring the loss quantile of one asset, conditional on another asset experiencing distress. We develop a T…