Andras Fulop

ESSEC Business School

Professor of Finance

3 Avenue Bernard Hirsch

CS 50105 CERGY

CERGY, CERGY PONTOISE CEDEX 95021

France

  • ESSEC Business School

SCHOLARLY PAPERS

17

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4,861

SSRN CITATIONS
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Top 21,452

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44

CROSSREF CITATIONS

11

Scholarly Papers (17)

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1.

Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach

Number of pages: 60 Posted: 03 Feb 2020 Last Revised: 14 Dec 2022
Yinghua Fan, Guanhao Feng, Andras Fulop and Junye Li
City University of Hong Kong (CityU), City University of Hong Kong (CityU), ESSEC Business School and Fudan University - School of Management
Downloads 671 (68,301)
Citation 3

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Deep Learning, Bond Return Predictability, Real-Time Macro Data, News Topic Attentions.

2.

Efficient Learning via Simulation: A Marginalized Resample-Move Approach

Number of pages: 50 Posted: 12 Dec 2010 Last Revised: 07 Mar 2013
Andras Fulop and Junye Li
ESSEC Business School and Fudan University - School of Management
Downloads 610 (77,011)
Citation 13

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State-Space Models, Particle Filters, Parameter Learning, State Filtering, Resample-Move, Markov Chain Monte Carlo, Stochastic Volatility, Credit Risk

3.

Real-Time Bayesian Learning and Bond Return Predictability

Number of pages: 41 Posted: 03 Jun 2017 Last Revised: 28 Oct 2019
Andras Fulop, Junye Li and Runqing WAN
ESSEC Business School, Fudan University - School of Management and Capital University of Economics and Business - International School of Economics and Management
Downloads 478 (104,132)
Citation 4

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Bayesian Learning, Bond Return Predictability, Non-overlapping Bond Returns, Parameter Uncertainty, Model Combinations, Real-Time Macroeconomic Information

4.

Self-Exciting Jumps, Learning, and Asset Pricing Implications

Number of pages: 52 Posted: 07 Jan 2012 Last Revised: 18 Jun 2014
Andras Fulop, Junye Li and Jun Yu
ESSEC Business School, Fudan University - School of Management and Singapore Management University - School of Economics
Downloads 465 (107,577)
Citation 4

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Self-Excitation, Jump Clustering, Tail Behaviors, Parameter Learning, Sequential Bayes Factor, Excess Volatility, Volatility Forecasting, Option Pricing

5.

Option Mispricing and Alpha Portfolios

ESSEC Business School Research Paper No. 2023-01
Number of pages: 75 Posted: 13 Jul 2022 Last Revised: 06 Sep 2023
Andras Fulop, Junye Li and Mo Wang
ESSEC Business School, Fudan University - School of Management and ESSEC Business School
Downloads 431 (117,621)

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Option Return Predictability, Mispricing, Factor Model, Alpha Portfolio, Projected PCA

6.

Standardization, Transparency Initiatives and Liquidity in the CDS Market

Journal of Financial Markets, Forthcoming
Number of pages: 68 Posted: 18 Jan 2015 Last Revised: 02 Feb 2022
Laurence Daures (formerly Lescourret) and Andras Fulop
ESSEC Business School and ESSEC Business School
Downloads 340 (154,377)
Citation 3

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Credit Default Swap, Liquidity, Transparency, CDS Volatility, Counterparty Risk

7.

Density-Tempered Marginalized Sequential Monte Carlo Samplers

Number of pages: 33 Posted: 12 May 2011 Last Revised: 18 Oct 2013
Jin-Chuan Duan and Andras Fulop
National University of Singapore (NUS) - Business School and Risk Management Institute and ESSEC Business School
Downloads 297 (177,030)
Citation 4

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Particle Filter, MCMC, Sequential Monte Carlo Samplers, Bayesian Methods

8.

Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations

Number of pages: 55 Posted: 12 Oct 2016 Last Revised: 18 Nov 2018
Andras Fulop and Junye Li
ESSEC Business School and Fudan University - School of Management
Downloads 274 (192,410)
Citation 5

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Non-affineness, Self-Exciting Jumps, Optimal Proposal Density, Auxiliary Particle Filter, Common Random Numbers, Sequential Monte Carlo Sampler

9.

Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo

Number of pages: 48 Posted: 06 May 2020 Last Revised: 24 Oct 2020
Andras Fulop, Jeremy Heng, Junye Li and Hening Liu
ESSEC Business School, ESSEC Business School, Fudan University - School of Management and The University of Manchester - Alliance Manchester Business School
Downloads 244 (215,818)
Citation 5

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Asset Pricing, Long-Run Risk, Autoregressive Gamma Process, Log-linearization, Projection Methods, Particle Filters, Sequential Monte Carlo Sampler

10.

Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

Number of pages: 37 Posted: 24 Sep 2012 Last Revised: 18 Oct 2013
Jin-Chuan Duan and Andras Fulop
National University of Singapore (NUS) - Business School and Risk Management Institute and ESSEC Business School
Downloads 238 (221,084)
Citation 8

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default, forward default intensity, pseudo-bayesian inference, sequential monte carlo, self-normalized asymptotics

11.

Bayesian Analysis of Bubbles in Asset Prices

Number of pages: 35 Posted: 24 Feb 2014 Last Revised: 12 Sep 2017
Andras Fulop and Jun Yu
ESSEC Business School and Singapore Management University - School of Economics
Downloads 219 (239,420)

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Parameter Learning, Markov Switching, MCMC

12.

Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market

Number of pages: 61 Posted: 21 Nov 2009
Andras Fulop and Laurence Daures (formerly Lescourret)
ESSEC Business School and ESSEC Business School
Downloads 199 (261,485)

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Credit Default Swap, Microstructure, Intra-daily patterns, Stochastic transaction costs, Volatility, Interdealer market

13.

News Indices on Country Fundamentals

Journal of Banking and Finance, Forthcoming
Number of pages: 80 Posted: 01 Mar 2018 Last Revised: 26 Jul 2023
Andras Fulop and Zalan Kocsis
ESSEC Business School and Magyar Nemzeti Bank
Downloads 122 (391,689)
Citation 1

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financial media, textual data, regular expressions, Sequential Monte Carlo, sovereign credit risk

14.

Estimating and Testing Long-Run Risk Models: International Evidence

Number of pages: 87 Posted: 01 Jun 2021 Last Revised: 19 Oct 2022
Andras Fulop, Junye Li, Hening Liu and Cheng Yan
ESSEC Business School, Fudan University - School of Management, The University of Manchester - Alliance Manchester Business School and University of Essex - Essex Business School
Downloads 119 (398,866)

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Consumption, equity premium, long run risk, stochastic discount factor, sequential Monte Carlo

15.

Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models

Number of pages: 70 Posted: 08 Jul 2021 Last Revised: 18 Jan 2022
Andras Fulop, Jeremy Heng and Junye Li
ESSEC Business School, ESSEC Business School and Fudan University - School of Management
Downloads 99 (454,931)

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Sequential Monte Carlo, Particle Filters, Approximate Dynamic Programming, Annealing, SMC^2, DSGE, Long-Run Risk

16.

Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning

Downloads 55 (632,470)

Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning

USC-INET Research Paper No. 17-27
Number of pages: 24 Posted: 27 Sep 2017
Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh
National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and Amazon
Downloads 55 (644,567)

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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization

Data-Cloning SMC 2 for Applications to Latent Variable Models

Posted: 23 Jun 2017 Last Revised: 28 Apr 2021
Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh
National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and Amazon

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Sequential Monte Carlo, Data Clone, Latent Variable, Maximum Likelihood, Monte Carlo Optimization

17.

How Liquid is the CDS Market?

EFA 2008 Athens Meetings Paper
Posted: 06 Mar 2008 Last Revised: 08 Nov 2014
Andras Fulop and Laurence Daures (formerly Lescourret)
ESSEC Business School and ESSEC Business School

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Credit Default Swap, Liquidity, Stochastic Transaction Costs, Interdealer