Junye LI
Junye LI
School of Management, Fudan University
fudan.edu.cn üzerinde doğrulanmış e-posta adresine sahip - Ana Sayfa
Başlık
Alıntı yapanlar
Alıntı yapanlar
Yıl
Efficient learning via simulation: A marginalized resample-move approach
A Fulop, J Li
Journal of Econometrics 176 (2), 146-161, 2013
752013
Self-exciting jumps, learning, and asset pricing implications
A Fulop, J Li, J Yu
The Review of Financial Studies 28 (3), 876-912, 2015
702015
The variance risk premium: Components, term structures, and stock return predictability
J Li, G Zinna
Journal of Business & Economic Statistics 36 (3), 411-425, 2018
502018
On bank credit risk: systemic or bank specific? Evidence for the United States and United Kingdom
J Li, G Zinna
Journal of Financial and Quantitative Analysis 49 (5-6), 1403-1442, 2014
372014
Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
W Yin, J Li
Journal of International Money and Finance 41, 46-64, 2014
312014
How much of bank credit risk is sovereign risk? Evidence from the Eurozone
J Li, G Zinna
Journal of Money, Credit and Banking, forthcoming, 2017
282017
An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
J Li
Computational Statistics & Data Analysis 58, 15-26, 2013
262013
Sequential Bayesian analysis of time-changed infinite activity derivatives pricing models
J Li
Journal of Business & Economic Statistics 29 (4), 468-480, 2011
202011
Volatility components, leverage effects, and the return–volatility relations
J Li
Journal of Banking & Finance 35 (6), 1530-1540, 2011
202011
Option-implied volatility factors and the cross-section of market risk premia
J Li
Journal of Banking & Finance 36 (1), 249-260, 2012
132012
A spectral estimation of tempered stable stochastic volatility models and option pricing
J Li, C Favero, F Ortu
Computational Statistics & Data Analysis 56 (11), 3645-3658, 2012
12*2012
Real-Time Bayesian Learning and Bond Return Predictability
A Fulop, J Li, R Wan
8*2018
Option-Implied variance asymmetry and the cross-section of stock returns
T Huang, J Li
Journal of Banking & Finance 101, 21-36, 2019
62019
Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?
GG Feng, A Fulop, J Li
Available at SSRN, 2020
42020
Bayesian estimation of dynamic asset pricing models with informative observations
A Fulop, J Li
Journal of Econometrics 209 (1), 114-138, 2019
42019
R&D information quality and stock returns
T Huang, J Li, F Wu, N Zhu
Journal of Financial Markets, 100599, 2020
22020
Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo
A Fulop, J Heng, J Li, H Liu
Available at SSRN, 2020
22020
Downside Variance Premium, Firm Fundamentals, and Expected Corporate Bond Returns
T Huang, L Jiang, J Li
Available at SSRN, 2020
12020
Risks and Risk Premia in the US Treasury Market
J Li, L Sarno, G Zinna
Available at SSRN, 2020
2020
Semivariance Premium and Expected Stock Returns
T Huang, J Li
Available at SSRN 3221975, 2019
2019
Sistem, işlemi şu anda gerçekleştiremiyor. Daha sonra yeniden deneyin.
Makaleler 1–20