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Junye LI
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Cited by
Year
Self-exciting jumps, learning, and asset pricing implications
A Fulop, J Li, J Yu
The Review of Financial Studies 28 (3), 876-912, 2015
942015
Efficient learning via simulation: A marginalized resample-move approach
A Fulop, J Li
Journal of Econometrics 176 (2), 146-161, 2013
892013
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
602018
How much of bank credit risk is sovereign risk? Evidence from Europe
J Li, G Zinna
Journal of Money, Credit and Banking 50 (6), 1225-1269, 2018
362018
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
322014
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
322014
An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
J Li
Computational Statistics & Data Analysis 58, 15-26, 2013
252013
Volatility components, leverage effects, and the return–volatility relations
J Li
Journal of Banking & Finance 35 (6), 1530-1540, 2011
222011
Sequential Bayesian analysis of time-changed infinite activity derivatives pricing models
J Li
Journal of Business & Economic Statistics 29 (4), 468-480, 2011
212011
Option-implied volatility factors and the cross-section of market risk premia
J Li
Journal of Banking & Finance 36 (1), 249-260, 2012
132012
Real-time Bayesian learning and bond return predictability
R Wan, A Fulop, J Li
Journal of Econometrics 230 (1), 114-130, 2022
12*2022
Option-Implied variance asymmetry and the cross-section of stock returns
T Huang, J Li
Journal of Banking & Finance 101, 21-36, 2019
122019
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
122012
Bayesian estimation of dynamic asset pricing models with informative observations
A Fulop, J Li
Journal of Econometrics 209 (1), 114-138, 2019
11*2019
Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach
Y Fan, G Feng, A Fulop, J Li
Available at SSRN 3517081, 2022
5*2022
Bayesian estimation of long-run risk models using sequential Monte Carlo
A Fulop, J Heng, J Li, H Liu
Journal of Econometrics 228 (1), 62-84, 2022
42022
R&D information quality and stock returns
T Huang, J Li, F Wu, N Zhu
Journal of Financial Markets, 100599, 2020
42020
Downside Variance Premium, Firm Fundamentals, and Expected Corporate Bond Returns
T Huang, L Jiang, J Li
Firm Fundamentals, and Expected Corporate Bond Returns (June 16, 2020), 2020
32020
Risks and risk premia in the us treasury market
J Li, L Sarno, G Zinna
Available at SSRN 3640341, 2022
22022
Deep Tangency Portfolios
G Feng, L Jiang, J Li, Y Song
Available at SSRN 3971274, 2022
12022
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Articles 1–20