Junye Li

ESSEC Business School

5 Nepal Park

Singapore, Singapore 139408

Singapore

SCHOLARLY PAPERS

16

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3,797

SSRN CITATIONS
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SSRN RANKINGS

Top 3,706

in Total Papers Citations

10

CROSSREF CITATIONS

270

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 ESSEC Business School
Downloads 523 (52,805)
Citation 8

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.

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
ESSEC Business School and Bank of Italy
Downloads 401 (73,415)
Citation 1

Abstract:

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

3.

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
ESSEC Business School
Downloads 368 (80,839)
Citation 3

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

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, ESSEC Business School and Singapore Management University
Downloads 350 (85,666)

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

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
ESSEC Business School and Bank of Italy
Downloads 171 (176,415)

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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
ESSEC Business School and Bank of Italy
Downloads 64 (352,552)
Citation 24

Abstract:

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

6.

Real-Time Bayesian Learning and Bond Return Predictability

Number of pages: 42 Posted: 03 Jun 2017 Last Revised: 28 Aug 2018
Andras Fulop, Junye Li and Runqing WAN
ESSEC Business School, ESSEC Business School and Capital University of Economics and Business - International School of Economics and Management
Downloads 231 (133,445)
Citation 1

Abstract:

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Bayesian Learning, Bond Return Predictability, Parameter Uncertainty, Model Combinations, Macroeconomic Information.

7.

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

Number of pages: 23 Posted: 10 Mar 2013
Junye Li
ESSEC Business School
Downloads 209 (146,808)

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

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
ESSEC Business School and Bank of Italy
Downloads 153 (194,220)
Citation 46

Abstract:

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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
ESSEC Business School and Bank of Italy
Downloads 55 (380,883)
Citation 65

Abstract:

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

9.

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
ESSEC Business School, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 195 (156,759)

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

10.

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 ESSEC Business School
Downloads 170 (177,273)

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

11.

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 ESSEC Business School
Downloads 169 (178,177)

Abstract:

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

12.

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 ESSEC Business School
Downloads 155 (191,787)

Abstract:

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

13.

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
ESSEC Business School
Downloads 155 (191,787)
Citation 1

Abstract:

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

14.

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
ESSEC Business School
Downloads 150 (197,019)

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

15.

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, ESSEC Business School, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 146 (201,415)

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

16.

Semivariance Premium and Expected Stock Returns

Number of pages: 48 Posted: 14 Aug 2018 Last Revised: 15 Jun 2019
Tao Huang and Junye Li
Beijing Normal University-Hong Kong Baptist University United International College and ESSEC Business School
Downloads 132 (218,589)

Abstract:

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Semivariance Premium, Return Predictability, Informed Trading, Liquidity, Limits-to-Arbitrage, Corporate Events