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Details about Junye Li

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


  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)


  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


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


  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)


  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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