李隽业 - 复旦大学

个人简介

教育背景博士,经济学,意大利博科尼大学硕士,系统工程,北京交通大学

研究领域

实证资产定价，衍生产品定价，金融计量，金融数据分析

近期论文

查看导师新发文章（温馨提示：请注意重名现象，建议点开原文通过作者单位确认）

Tao Huang, Liang Jiang, and Junye Li. 2023. Downside variance premium, firm fundamentals, and expected corporate bond returns. Journal of Banking & Finance 154.1-14. Runqing Wan, Andras Fulop, and Junye Li. 2022. Real-time Bayesian learning and bond return predictability. Journal of Econometrics 230(1).114–130. Andras Fulop, Jeremy Heng, Junye Li, and Hening Liu. 2022. Bayesian estimation of long-run risk models using sequential Monte Carlo. Journal of Econometrics 228(1).62-84. Tao Huang, Junye Li, Fei Wu, and Ning Zhu. 2022. R&D information quality and stock returns. Journal of Financial Markets 57.1-19. Tao Huang and Junye Li. 2019. Option-Implied variance asymmetry and the cross-section of stock returns. Journal of Banking and Finance 101.21-36. Andras Fulop and Junye Li. 2019. Bayesian estimation of dynamic asset pricing models with informative observations. Journal of Econometrics 209(1).114-138. Junye Li and Gabriele Zinna. 2018. How much of bank credit risk is sovereign risk? -- Evidence from Europe. Journal of Money, Credit and Banking 50(6).1225-1269. Junye Li and Gabriele Zinna. 2018. The variance risk premium: components, term structures, and stock return predictability. Journal of Business & Economic Statistics 36(3).411-425. Andras Fulop, Junye Li, and Jun Yu. 2015. Self-exciting jumps, learning, and asset pricing implications. The Review of Financial Studies 28(3).876-912. Junye Li and Gabriele Zinna. 2014. On bank credit risk: systemic or bank specific? Evidence for the United States and United Kingdom. Journal of Financial and Quantitative Analysis 49(5-6).1403-1442. Weiwei Yin and Junye Li. 2014. Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach. Journal of International Money and Finance 41.46-64. Andras Fulop and Junye Li. 2013. Efficient learning via simulation: A marginalized resample-move approach. Journal of Econometrics 176(2).146-161. Junye Li. 2013. An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options. Computational Statistics & Data Analysis 58.15-26. Junye Li, Carlo Favero, and Fulvio Ortu. 2012. A spectral estimation of tempered stable stochastic volatility models and option pricing. Computational Statistics & Data Analysis 56(11).3645-3658. Junye Li. 2012. Option-implied volatility factors and the cross-section of market risk premia. Journal of Banking & Finance 36(1).249-260. Junye Li. 2011. Sequential bayesian analysis of time-changed infinite activity derivatives pricing models. Journal of Business & Economic Statistics 29(4).468-480. Junye Li. 2011. Volatility components, leverage effects, and the return–volatility relations. Journal of Banking & Finance 35(6).1530-1540.