Junye Li

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Variational principle of metric mean dimension and rate distortion dimension for amenable group actions Journal of Mathematical Analysis and Applications	2025-02-28	Paper
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models Journal of Business and Economic Statistics	2025-01-20	Paper
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability Journal of Business and Economic Statistics	2024-10-23	Paper
Risks and risk premia in the US Treasury market Journal of Economic Dynamics and Control	2024-06-17	Paper
Real-time Bayesian learning and bond return predictability Journal of Econometrics	2022-07-15	Paper
Bayesian estimation of long-run risk models using sequential Monte Carlo Journal of Econometrics	2022-03-16	Paper
Bayesian estimation of dynamic asset pricing models with informative observations Journal of Econometrics	2019-04-30	Paper
An unscented Kalman smoother for volatility extraction: evidence from stock prices and options Computational Statistics and Data Analysis	2017-06-30	Paper
Efficient learning via simulation: a marginalized resample-move approach Journal of Econometrics	2014-04-03	Paper
A spectral estimation of tempered stable stochastic volatility models and option pricing Computational Statistics and Data Analysis	2012-12-30	Paper

Research outcomes over time

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