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
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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