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Details about Junye Li

E-mail:
Homepage:http://junye.li.googlepages.com
Workplace:Dipartimento di Economia "Ettore Bocconi" (Ettore Bocconi Department of Economics), Università Commerciale Luigi Bocconi (Bocconi University), (more information at EDIRC)

Access statistics for papers by Junye Li.

Last updated 2008-11-27. Update your information in the RePEc Author Service.

Short-id: pli421


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Working Papers

2014

  1. On bank credit risk: systemic or bank-specific? Evidence from the US and UK
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (10)

2012

  1. Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University Downloads

Journal Articles

2015

  1. Self-Exciting Jumps, Learning, and Asset Pricing Implications
    Review of Financial Studies, 2015, 28, (3), 876-912 Downloads View citations (11)

2014

  1. Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
    Journal of International Money and Finance, 2014, 41, (C), 46-64 Downloads View citations (7)
  2. On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom
    Journal of Financial and Quantitative Analysis, 2014, 49, (5-6), 1403-1442 Downloads View citations (6)

2012

  1. Option-implied volatility factors and the cross-section of market risk premia
    Journal of Banking & Finance, 2012, 36, (1), 249-260 Downloads View citations (4)
 
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