Mimicking the epic expedition of summitting the 14 Himalayan peaks, I plan to write 14 research papers, advancing and ultimately submitting them through the following stages:
BC (Base Camp) → ABC (Advanced BC) → Camp 1 → Camp 2 → Camp 3 → Camp 4 (Summit Camp) → 8K (Death Zone) → Summit
It took Reinhold Messner about 16 years to summit all 14 peaks, meaning my submitting project could theoretically take as long as 14 years.
Source: Reinhold Messner Official- 1. Everest (8848m):
Nominal SDF, Unspanned Macro Risk, and Cochrane Residual (Camp 4) - 2. K2 (8611m):
Joint Estimation, Kalman Filter, and Priors (Camp 3) - 3. Kanchenjunga (8586m):
Real SDF and Hansen–Jagannathan Bound (Camp 2) - 4. Lhotse (8516m):
Understanding DSGE and FTPL Jointly (Camp 4) - 5. Makalu (8463m):
Risk Premium Accounting and The Fed Reports (Camp 4) - 6. Cho Oyu (8201m):
Economically Far-Fetched and Remarkable Coincidence (Camp 3) - 7. Dhaulagiri (8167m):
Cochrane Critique on Taylor Rule and DSGE (Camp 2) - 8. Manaslu (8163m):
Bidirectional Monetary Policy and Fiscal Policy (Camp 1) - 9. Nanga Parbat (8125m):
Structural VAR, Price Puzzle, and IRFs (Camp 1) - 10. Annapurna (8091m):
Blanchard-Kahn Condition and DSGE Model (ABC) - 11. Gasherbrum I (8068m):
Survey of Asset Pricing Puzzles (BC) - 12. Broad Peak (8047m):
The Moon and the Sixpence: Yield Curve Predictability (BC) - 13. Gasherbrum II (8035m):
An Extention of Cochranne FTPL (Camp 1) - 14 Shishapangma (8027m):
Fundamental Review of X-based Asset Pricing Models (BC)
Working paper
- Yield Curve Forecasting using Deep Learning Nelson-Siegel (DLNS) Model (Under Revision) https://ssrn.com/abstract=4447541
Publication (SSCI)
-
An Alternative Approach for Determining the Time-Varying Decay Parameter of the Nelson-Siegel Model, Computational Economics, Volume 65, pages 2965–2990, (2025)
- https://doi.org/10.1007/s10614-024-10653-x
- Full-text access to a view-only version provided by the SharedIt Link
- https://ssrn.com/abstract=4857216
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