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Closed-form approximations of moments and densities of continuous-time Markov models
This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump--diffusions.
Vaccination strategies and transmission of COVID-19: evidence across advanced countries
Conditional on first-dose coverage, an increased fraction with two doses appears to offer no further reductions in new cases and deaths.
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
We develop a novel asymptotic theory for local polynomial (quasi-) maximum-likelihood estimators of time-varying parameters in a broad class of nonlinear time series models.
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