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Sequential Bayesian analysis of time-changed infinite activity derivatives pricing models
Li, Junye - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 468-480
Persistent link: https://www.econbiz.de/10009355681
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Volatility components, leverage effects, and the return–volatility relations
Li, Junye - In: Journal of banking & finance 35 (2011) 6, pp. 1530-1540
Persistent link: https://www.econbiz.de/10009244953
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A spectral estimation of tempered stable stochastic volatility models and option pricing
Li, Junye; Favero, Carlo A.; Ortu, Fulvio - 2010
Persistent link: https://www.econbiz.de/10011334802
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Self-exciting jumps, learning, and asset pricing implications
Fulop, Andras; Li, Junye; Yu, Jun - In: The review of financial studies 28 (2015) 3, pp. 876-912
Persistent link: https://www.econbiz.de/10011337555
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On bank credit risk : systemic or bank specific? ; evidence for the United States and United Kingdom
Li, Junye; Zinna, Gabriele - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1403-1442
Persistent link: https://www.econbiz.de/10011338934
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Investigating impacts of self-exciting jumps in returns and volatility : a Bayesian learning approach
Fulop, Andras; Li, Junye; Yu, Jun - 2012
Persistent link: https://www.econbiz.de/10010202344
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Efficient learning via simulation : a marginalized resample-move approach
Fulop, Andras; Li, Junye - In: Journal of econometrics 176 (2013) 2, pp. 146-161
Persistent link: https://www.econbiz.de/10009786504
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Macroeconomic fundamentals and the exchange rate dynamics : a no-arbitrage macro-finance approach
Ying, Weiwei; Li, Junye - In: Journal of international money and finance 41 (2014), pp. 46-64
Persistent link: https://www.econbiz.de/10010338744
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How much of bank credit risk is sovereign risk? : evidence from the eurozone
Li, Junye; Zinna, Gabriele - 2014
Persistent link: https://www.econbiz.de/10011539407
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On bank credit risk : systemic or bank-specific? ; evidence from the US and UK
Li, Junye; Zinna, Gabriele - 2014
Persistent link: https://www.econbiz.de/10010414241