Junye Li

Fudan University - School of Management

No. 670, Guoshun Road

No.670 Guoshun Road

Shanghai, 200433

China

SCHOLARLY PAPERS

29

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9,923

SSRN CITATIONS
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Top 4,863

in Total Papers Citations

91

CROSSREF CITATIONS

276

Scholarly Papers (29)

1.

Skewness Risk Premia and the Cross-Section of Currency Returns

Number of pages: 104 Posted: 12 Oct 2023 Last Revised: 22 Dec 2023
Junye Li, Lucio Sarno and Gabriele Zinna
Fudan University - School of Management, University of Cambridge - Judge Business School and Bank of Italy
Downloads 834 (54,853)

Abstract:

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Currency risk premia, asset pricing, skewness risk, crash risk, stochastic discount factor.

2.

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
City University of Hong Kong (CityU), City University of Hong Kong (CityU), ESSEC Business School and Fudan University - School of Management
Downloads 727 (65,636)
Citation 3

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

3.

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 623 (79,783)
Citation 15

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

4.

Deep Tangency Portfolios

Number of pages: 55 Posted: 11 Mar 2022 Last Revised: 30 Sep 2023
City University of Hong Kong (CityU), Fudan University - Fanhai International School of Finance (FISF), Fudan University - School of Management and City University of Hong Kong (CityU)
Downloads 620 (80,279)

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Tangency Portfolios, Deep Learning, Factor Models, Portfolio Optimization, Corporate Bonds.

5.

The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability

Number of pages: 39 Posted: 05 Jun 2014 Last Revised: 06 Apr 2016
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 550 (93,387)
Citation 10

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Self-Exciting Jumps, Variance Risk Premia, Extreme Downside Events, Investors' Fear, Stock Return Predictability, Particle Filter.

6.

Option Mispricing and Alpha Portfolios

ESSEC Business School Research Paper No. 2023-01, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 75 Posted: 13 Jul 2022 Last Revised: 11 Jan 2024
Andras Fulop, Junye Li and Mo Wang
ESSEC Business School, Fudan University - School of Management and ESSEC Business School
Downloads 507 (103,236)

Abstract:

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

7.

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 500 (105,060)
Citation 4

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

8.

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 474 (112,004)
Citation 4

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

9.

Uncommon Factors and Asset Heterogeneity in the Cross Section and Time Series

Number of pages: 55 Posted: 29 Sep 2022 Last Revised: 26 Jun 2023
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Fudan University - School of Management
Downloads 464 (114,849)
Citation 1

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Decision Tree, Bayesian Spike-and-Slab, Factor Selection, Heterogeneity, Structural Breaks.

10.

Option-Implied Volatility Factors and the Cross-Section of Market Risk Premia

Number of pages: 42 Posted: 21 Jan 2010 Last Revised: 14 May 2011
Junye Li
Fudan University - School of Management
Downloads 458 (116,608)
Citation 4

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Stochastic Discount Factor, Volatility Components, Volatility Risk Premia, Value and Size Effects, Unscented Kalman Filter

11.

Option-Implied Variance Asymmetry and the Cross-Section of Stock Returns

Number of pages: 48 Posted: 18 Sep 2017 Last Revised: 19 Apr 2018
Tao Huang and Junye Li
Beijing Normal University-Hong Kong Baptist University United International College and Fudan University - School of Management
Downloads 380 (144,594)
Citation 8

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Risk-Neutral Semivariances, Implied Variance Asymmetry, Risk-Neutral Skewness, Return Predictability, Informed Trading, Liquidity

How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe

Number of pages: 91 Posted: 16 Feb 2015 Last Revised: 03 Jul 2017
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 228 (244,593)
Citation 1

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Sovereign and bank credit risk; Credit default swaps; Distress risk premia; Bayesian estimation

How Much of Bank Credit Risk is Sovereign Risk? Evidence from the Eurozone

Bank of Italy Temi di Discussione (Working Paper) No. 990
Number of pages: 78 Posted: 28 Feb 2015
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 83 (549,994)
Citation 43

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Sovereign and Bank Credit Risk, Credit Default Swaps, Distress Risk Premia, Bayesian Estimation

On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 69 Posted: 01 Nov 2013 Last Revised: 29 Jul 2014
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 211 (263,239)
Citation 46

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Systemic Bank Credit Risk; Credit default swaps; Sovereign Credit Risk; Distress Risk Premia; Bayesian Estimation

On Bank Credit Risk: Systemic or Bank-Specific? Evidence from the US and UK

Bank of Italy Temi di Discussione (Working Paper) No. 951
Number of pages: 79 Posted: 04 Apr 2014
Junye Li and Gabriele Zinna
Fudan University - School of Management and Bank of Italy
Downloads 78 (571,194)
Citation 65

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systemic bank credit Risk, credit default swaps, distress risk premia, Bayesian estimation

14.

An Unscented Kalman Smoother for Volatility Extraction: Evidence from Stock Prices and Options

Number of pages: 23 Posted: 10 Mar 2013
Junye Li
Fudan University - School of Management
Downloads 289 (194,114)
Citation 2

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Non-linear Gaussian state-space models, Non-linear Kalman filters, Unscented Kalman smoother, Heston stochastic volatility model, Option pricing

15.

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 281 (199,799)
Citation 6

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

16.

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

Number of pages: 48 Posted: 06 May 2020 Last Revised: 24 Oct 2020
ESSEC Business School, ESSEC Business School, Fudan University - School of Management and The University of Manchester - Alliance Manchester Business School
Downloads 256 (219,314)
Citation 5

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

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

Number of pages: 48 Posted: 24 Jul 2023 Last Revised: 06 Sep 2023
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Fudan University - School of Management
Downloads 232 (240,546)

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Asset Pricing, Bayesian Estimation, Clustering Tree, Factors, Heterogeneity, Panel Data, Sparsity, Spike-and-Slab, Structural Breaks

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

NBER Working Paper No. w31424
Number of pages: 49 Posted: 24 Jul 2023
Cornell University - Samuel Curtis Johnson Graduate School of Management, City University of Hong Kong (CityU), City University of Hong Kong (CityU) and Fudan University - School of Management
Downloads 11 (1,069,535)
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18.

R&D Information Quality and Stock Returns

Number of pages: 45 Posted: 01 Feb 2016 Last Revised: 14 Jan 2019
Tao Huang, Junye Li, Fei Wu and Ning Zhu
Beijing Normal University-Hong Kong Baptist University United International College, Fudan University - School of Management, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 239 (234,705)

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Research and Development; Innovation; Information Quality; Return Predictability; Factor Models.

19.

Mispricing and Arbitrage Portfolios in China

Number of pages: 69 Posted: 18 Jan 2023 Last Revised: 14 Apr 2023
Jiawei Hong, Junye Li, Chuyu Wang and Mo Wang
Fudan University - School of Management, Fudan University - School of Management, Fudan University - School of Management and ESSEC Business School
Downloads 231 (242,449)

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The Chinese Stock Market, Mispricing, Arbitrage Portfolio, Projected PCA

20.

A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing

Number of pages: 29 Posted: 22 Apr 2008 Last Revised: 13 Dec 2010
Fudan University - School of Management, Bocconi University - Department of Economics and Bocconi University - Department of Finance
Downloads 228 (245,538)

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Empirical Characteristic Function, Stochastic Volatility, Infinite Activity Jumps, Volatility Jumps, Continuous GMM

21.

Macroeconomic Fundamentals and the Exchange Rate Dynamics: A No-Arbitrage Macro-Finance Approach

Number of pages: 39 Posted: 12 Dec 2010 Last Revised: 08 Oct 2013
Weiwei Yin and Junye Li
Bocconi University and Fudan University - School of Management
Downloads 197 (281,171)
Citation 3

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Exchange rate movements, Macroeconomic fundamentals, Forward premium anomaly, Stochastic discount factor, Term structure of interest rates, Unscented Kalman filter

22.

Downside Variance Premium, Firm Fundamentals, and Expected Corporate Bond Returns

Number of pages: 48 Posted: 09 Jul 2020 Last Revised: 01 Aug 2023
Tao Huang, Liang Jiang and Junye Li
Beijing Normal University-Hong Kong Baptist University United International College, Fudan University - Fanhai International School of Finance (FISF) and Fudan University - School of Management
Downloads 187 (294,726)
Citation 1

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Downside variance Premium, Corporate Bond Return Predictability, Equity Options, Probability of Default, Credit Rating Downgrade, Cash Flow Uncertainty

23.

Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 33 Posted: 21 Apr 2008 Last Revised: 15 Dec 2010
Junye Li
Fudan University - School of Management
Downloads 186 (296,111)
Citation 3

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Infinite Activity Levy Processes, Brownian Subordination, Stochastic Volatility, Unscented Kalman Filter, Sequential Monte Carlo

24.

Risks and Risk Premia in the US Treasury Market

Number of pages: 110 Posted: 13 Jul 2020 Last Revised: 09 Jan 2023
Junye Li, Lucio Sarno and Gabriele Zinna
Fudan University - School of Management, University of Cambridge - Judge Business School and Bank of Italy
Downloads 174 (314,144)

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treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk

25.

Volatility Components, Leverage Effects, and the Return-Volatility Relations

Journal of Banking and Finance, Forthcoming
Number of pages: 36 Posted: 24 Dec 2008 Last Revised: 15 Dec 2010
Junye Li
Fudan University - School of Management
Downloads 174 (314,144)
Citation 1

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Return-Risk Trade-Off, Volatility Components, Leverage Effects, Bayesian Methods, Asymmetric GARCH

26.

Volatility-managed Portfolios in the Chinese Equity Market

Number of pages: 58 Posted: 29 Nov 2023 Last Revised: 24 Feb 2024
Junye Li and Chuyu Wang
Fudan University - School of Management and Fudan University - School of Management
Downloads 151 (354,304)

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Timing Strategy, Volatility-managed Portfolio (VMP), Chinese Equity Market

27.

Estimating and Testing Long-Run Risk Models: International Evidence

Number of pages: 87 Posted: 01 Jun 2021 Last Revised: 19 Oct 2022
ESSEC Business School, Fudan University - School of Management, The University of Manchester - Alliance Manchester Business School and University of Essex
Downloads 151 (354,304)

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

28.

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 105 (467,367)

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

29.

Risks and Risk Premia in the Us Treasury Market 1

Number of pages: 110 Posted: 16 Jan 2023
Lucio Sarno, Junye Li and Gabriele Zinna
University of Cambridge - Judge Business School, Fudan University - School of Management and Bank of Italy
Downloads 94 (503,506)

Abstract:

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Treasury market, risk-return trade-off, term structure models, bond risk premium, macro risk. JEL Classification: C58, E43, G12