← All authors Junye Li Fudan University (from arXiv:2201.01094, 2022) · ORCID · OpenAlex
24 papers in scope · 22 published · 2 on the econ.EM arXiv · 498 citations · h-index 13 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Yasin Şimşek Andrew J. Patton S. De Bie Minh-Ngoc Tran Trong Nghia-Nguyen Robert Kohn Rafael Reisenhofer Xandro Bayer Nikolaus Hautsch Tra Ngoc Vy Nguyen Jingyu He David Gunawan Mark Podolskij Tobias Fissler Kim Christensen Timo Dimitriadis Chao Wang Chen Liu Martin Magris Alexandros Iosifidis Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 24)
Skewness Risk Premia and the Cross Section of Currency Returns
published 2025 · Journal of Financial and Quantitative Analysis · 3 citations · first circulated 2023
with Lucio Sarno, Gabriele Zinna
Volatility-managed portfolios in the Chinese equity market
published 2024 · Pacific-Basin Finance Journal · 3 citations
with Chuyu Wang
working paper 2024 · arXiv · 1 citations
Estimating and Testing Long-Run Risk Models: International Evidence
published 2024 · Management Science · 6 citations · first circulated 2021
Risks and risk premia in the US Treasury market
published 2023 · Journal of Economic Dynamics and Control · 5 citations · first circulated 2020
with Lucio Sarno, Gabriele Zinna
Downside variance premium, firm fundamentals, and expected corporate bond returns
published 2023 · Journal of Banking & Finance · 5 citations · first circulated 2020
with Tao Huang, Liang Jiang
working paper 2022 · arXiv · 1 citations · first circulated 2021
Real-time Bayesian learning and bond return predictability
published 2021 · Journal of Econometrics · 13 citations · first circulated 2018
Bayesian estimation of long-run risk models using sequential Monte Carlo
published 2021 · Journal of Econometrics · 13 citations · first circulated 2020
R&D information quality and stock returns
published 2020 · Journal of Financial Markets · 13 citations · first circulated 2016
with Tao Huang, Fei Wu, Ning Zhu
Option-Implied variance asymmetry and the cross-section of stock returns
published 2019 · Journal of Banking & Finance · 29 citations · first circulated 2017
with Tao Huang
Bayesian estimation of dynamic asset pricing models with informative observations
published 2018 · Journal of Econometrics · 24 citations
How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe
published 2018 · Journal of money credit and banking · 32 citations · first circulated 2014
with Gabriele Zinna
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
published 2016 · Journal of Business and Economic Statistics · 60 citations
with Gabriele Zinna
On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom
published 2014 · Journal of Financial and Quantitative Analysis · 29 citations
with Gabriele Zinna
Self-Exciting Jumps, Learning, and Asset Pricing Implications
published 2014 · Review of Financial Studies · 101 citations
Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
published 2013 · Journal of International Money and Finance · 17 citations · first circulated 2010
with Weiwei Yin
Efficient learning via simulation: A marginalized resample-move approach
published 2013 · Journal of Econometrics · 71 citations · first circulated 2012
Option-implied volatility factors and the cross-section of market risk premia
published 2011 · Journal of Banking & Finance · 14 citations
An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options
published 2011 · Computational Statistics & Data Analysis · 25 citations
A spectral estimation of tempered stable stochastic volatility models and option pricing
published 2010 · Computational Statistics & Data Analysis · 12 citations
with Carlo A. Favero, Fulvio Ortu
Volatility components, leverage effects, and the return–volatility relations
published 2010 · Journal of Banking & Finance · 4 citations
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models
published 2010 · Journal of Business and Economic Statistics · 17 citations · first circulated 2009
Demonstration Study on Unbalancing Development of Regional Economy -----Development Strategy of Eastern, Central and Western Part of NECB Economic Belt
published 2002 · Communication and Transportati0n Systems Engineering and Information
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