Details about Junye Li

Access statistics for papers by Junye Li.

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

Short-id: pli421

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 View citations (13)

2012

2. 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 View citations (2)

Journal Articles

2015

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

2014

2. Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach
   Journal of International Money and Finance, 2014, 41, (C), 46-64 View citations (9)
3. 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 View citations (10)

2012

4. Option-implied volatility factors and the cross-section of market risk premia
   Journal of Banking & Finance, 2012, 36, (1), 249-260 View citations (5)