Andras Fulop
Andras Fulop
Professor of Finance, ESSEC Business School
essec.edu üzerinde doğrulanmış e-posta adresine sahip
Başlık
Alıntı yapanlar
Alıntı yapanlar
Yıl
Estimating the structural credit risk model when equity prices are contaminated by trading noises
JC Duan, A Fulop
Journal of Econometrics 150 (2), 288-296, 2009
1062009
Self-exciting jumps, learning, and asset pricing implications
A Fulop, J Li, J Yu
The Review of Financial Studies 28 (3), 876-912, 2015
75*2015
Efficient learning via simulation: A marginalized resample-move approach
A Fulop, J Li
Journal of Econometrics 176 (2), 146-161, 2013
752013
Density-tempered marginalized sequential Monte Carlo samplers
JC Duan, A Fulop
Journal of Business & Economic Statistics 33 (2), 192-202, 2015
472015
Intra-daily variations in volatility and transaction costs in the Credit Default Swap market
A Fulop, L Lescourret
42*2009
Multiperiod corporate default prediction with the partially-conditioned forward intensity
JC Duan, A Fulop
Available at SSRN 2151174, 2013
302013
A stable estimator of the information matrix under EM for dependent data
JC Duan, A Fulop
Statistics and Computing 21 (1), 83-91, 2011
18*2011
Bayesian analysis of bubbles in asset prices
A Fulop, J Yu
Econometrics 5 (4), 47, 2017
162017
How frequently does the stock price jump? An analysis of high-frequency data with microstructure noises
JC Duan, A Fülöp
MNB Working Papers, 2007
102007
Real-time Bayesian learning and bond return predictability
A Fulop, J Li, R Wan
Available at SSRN 2979332, 2019
8*2019
Transparency regime initiatives and liquidity in the CDS market
A Fulop, L Lescourret
ESSEC Business School, Cergy-Pontoise, 2015
82015
Feedback effects of rating downgrades
A Fulop
ESSEC, 2006
72006
Bayesian estimation of dynamic asset pricing models with informative observations
A Fulop, J Li
Journal of Econometrics 209 (1), 114-138, 2019
6*2019
Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?
G Feng, A Fulop, J Li
Available at SSRN 3517081, 2020
52020
News-Based Indices on Country Fundamentals
A Fulop, Z Kocsis
MNB Working Papers 2018/1, 2018
4*2018
Data-cloning SMC2: A global optimizer for maximum likelihood estimation of latent variable models
JC Duan, A Fulop, YW Hsieh
Computational Statistics & Data Analysis 143, 106841, 2020
3*2020
Filtering Methods
A Fulop
Handbook of Computational Finance, 439, 2011
32011
Bayesian estimation of long-run risk models using sequential Monte Carlo
A Fulop, J Heng, J Li, H Liu
Journal of Econometrics, 2021
22021
Filtering methods
A Fulop
Handbook of Computational Finance, 439-467, 2012
12012
Maximum Likelihood
JC Duan, A Fulop
Encyclopedia of Actuarial Science 2, 2006
12006
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Makaleler 1–20