Andras Fulop

ESSEC Business School

Associate Professor

3 Avenue Bernard Hirsch

CS 50105 CERGY

CERGY, CERGY PONTOISE CEDEX 95021

France

http://www.andrasfulop.com

SCHOLARLY PAPERS

16

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3,197

SSRN CITATIONS
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Top 23,936

in Total Papers Citations

28

CROSSREF CITATIONS

13

Scholarly Papers (16)

1.

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 559 (62,244)
Citation 12

Abstract:

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

2.

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
Downloads 396 (94,278)
Citation 4

Abstract:

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

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 343 (110,959)
Citation 3

Abstract:

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

4.

Standardization, Transparency Initiatives and Liquidity in the CDS Market

Number of pages: 55 Posted: 18 Jan 2015 Last Revised: 25 May 2021
Laurence Daures-Lescourret and Andras Fulop
ESSEC Business School and ESSEC Business School
Downloads 304 (126,405)
Citation 3

Abstract:

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

5.

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 250 (154,617)
Citation 2

Abstract:

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

6.

Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?

Number of pages: 40 Posted: 03 Feb 2020 Last Revised: 25 Jan 2021
Guanhao Feng, Andras Fulop and Junye Li
City University of Hong Kong (CityU), ESSEC Business School and Fudan University - School of Management
Downloads 243 (159,501)
Citation 3

Abstract:

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Deep Learning, Machine Learning, Bond Return Predictability, Real-Time Macro Data, Overlapping and Non-overlapping Returns

7.

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 212 (181,025)
Citation 3

Abstract:

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

8.

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
Downloads 204 (187,575)

Abstract:

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Parameter Learning, Markov Switching, MCMC

9.

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 197 (193,691)
Citation 8

Abstract:

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

10.

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-Lescourret
ESSEC Business School and ESSEC Business School
Downloads 180 (209,848)

Abstract:

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

11.

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, affiliation not provided to SSRN, Fudan University - School of Management and University of Manchester - Alliance Manchester Business School
Downloads 145 (251,594)
Citation 3

Abstract:

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

12.

News-Based Indices on Country Fundamentals

MNB Working Papers 2018/1
Number of pages: 92 Posted: 01 Mar 2018 Last Revised: 09 Apr 2021
Andras Fulop and Zalan Kocsis
ESSEC Business School and Magyar Nemzeti Bank
Downloads 51 (475,451)
Citation 1

Abstract:

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financial media, textual data, regular expressions, sovereign credit risk, bayesian statistics

13.

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

Number of pages: 69 Posted: 08 Jul 2021
Andras Fulop, Jeremy Heng and Junye Li
ESSEC Business School, affiliation not provided to SSRN and Fudan University - School of Management
Downloads 42 (514,450)

Abstract:

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

14.

Estimating and Testing Long-Run Risk Models: International Evidence

Number of pages: 51 Posted: 01 Jun 2021
Andras Fulop, Junye Li, Hening Liu and Cheng Yan
ESSEC Business School, Fudan University - School of Management, University of Manchester - Alliance Manchester Business School and University of Essex - Essex Business School
Downloads 42 (514,450)

Abstract:

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Consumption-based Asset Pricing, Long-Run Risks, Stochastic Discount Factor, Equity Premium Puzzle, Autoregressive Gamma Process, Projection Methods, Sequential Monte Carlo

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 29 (598,057)

Abstract:

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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

Abstract:

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

16.

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-Lescourret
ESSEC Business School and ESSEC Business School

Abstract:

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Credit Default Swap, Liquidity, Stochastic Transaction Costs, Interdealer