| Self-exciting jumps, learning, and asset pricing implications A Fulop, J Li, J Yu The Review of Financial Studies 28 (3), 876-912, 2015 | 96 | 2015 |
| Efficient learning via simulation: A marginalized resample-move approach A Fulop, J Li Journal of Econometrics 176 (2), 146-161, 2013 | 89 | 2013 |
| The variance risk premium: Components, term structures, and stock return predictability J Li, G Zinna Journal of Business & Economic Statistics 36 (3), 411-425, 2018 | 68 | 2018 |
| How much of bank credit risk is sovereign risk? Evidence from Europe J Li, G Zinna Journal of Money, Credit and Banking 50 (6), 1225-1269, 2018 | 40 | 2018 |
| On bank credit risk: systemic or bank specific? Evidence for the United States and United Kingdom J Li, G Zinna Journal of Financial and Quantitative Analysis 49 (5-6), 1403-1442, 2014 | 35 | 2014 |
| Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach W Yin, J Li Journal of International Money and Finance 41, 46-64, 2014 | 32 | 2014 |
| An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options J Li Computational Statistics & Data Analysis 58, 15-26, 2013 | 25 | 2013 |
| Volatility components, leverage effects, and the return–volatility relations J Li Journal of Banking & Finance 35 (6), 1530-1540, 2011 | 22 | 2011 |
| Sequential Bayesian analysis of time-changed infinite activity derivatives pricing models J Li Journal of Business & Economic Statistics 29 (4), 468-480, 2011 | 21 | 2011 |
| Option-Implied variance asymmetry and the cross-section of stock returns T Huang, J Li Journal of Banking & Finance 101, 21-36, 2019 | 17 | 2019 |
| Real-time Bayesian learning and bond return predictability R Wan, A Fulop, J Li Journal of Econometrics 230 (1), 114-130, 2022 | 15* | 2022 |
| Option-implied volatility factors and the cross-section of market risk premia J Li Journal of Banking & Finance 36 (1), 249-260, 2012 | 14 | 2012 |
| Bayesian estimation of dynamic asset pricing models with informative observations A Fulop, J Li Journal of Econometrics 209 (1), 114-138, 2019 | 13* | 2019 |
| A spectral estimation of tempered stable stochastic volatility models and option pricing J Li, C Favero, F Ortu Computational Statistics & Data Analysis 56 (11), 3645-3658, 2012 | 12 | 2012 |
| R&D information quality and stock returns T Huang, J Li, F Wu, N Zhu Journal of Financial Markets 57, 100599, 2022 | 10 | 2022 |
| Uncommon Factors for Bayesian Asset Clusters LW Cong, G Feng, J He, J Li Available at SSRN 4219905, 2022 | 7 | 2022 |
| Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach Y Fan, G Feng, A Fulop, J Li Available at SSRN 3517081, 2022 | 6* | 2022 |
| Bayesian estimation of long-run risk models using sequential Monte Carlo A Fulop, J Heng, J Li, H Liu Journal of Econometrics 228 (1), 62-84, 2022 | 4 | 2022 |
| Downside variance premium, firm fundamentals, and expected corporate bond returns T Huang, L Jiang, J Li Journal of Banking & Finance 154, 106946, 2023 | 3 | 2023 |
| Risks and risk premia in the us treasury market J Li, L Sarno, G Zinna Available at SSRN 3640341, 2023 | 3 | 2023 |
Andras FulopProfessor of Finance, ESSEC Business SchoolBestätigte E-Mail-Adresse bei essec.edu
