Junye Li : Citation Profile


Are you Junye Li?

Università Commerciale Luigi Bocconi

4

H index

2

i10 index

38

Citations

RESEARCH PRODUCTION:

4

Articles

2

Papers

RESEARCH ACTIVITY:

   3 years (2012 - 2015). See details.
   Cites by year: 12
   Journals where Junye Li has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 0 (0 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pli421
   Updated: 2020-10-24    RAS profile: 2008-11-27    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Junye Li.

Is cited by:

Zinna, Gabriele (6)

Moraux, Franck (2)

Witzany, Jiří (2)

Kaminska, Iryna (2)

Zhao, Yang (2)

Kim, Minjoo (2)

Pammolli, Fabio (2)

cerrato, mario (2)

Riccaboni, Massimo (2)

Ficura, Milan (2)

Works, Richard (1)

Cites to:

Wu, Liuren (7)

Ang, Andrew (6)

Piazzesi, Monika (6)

Campbell, John (4)

Fama, Eugene (4)

Hodrick, Robert (4)

Diebold, Francis (4)

Tauchen, George (4)

Sarno, Lucio (4)

Andersen, Torben (3)

Schneider, Paul (3)

Main data


Where Junye Li has published?


Recent works citing Junye Li (2020 and 2019)


YearTitle of citing document
2019The Microstructure of Stochastic Volatility Models with Self-Exciting Jump Dynamics. (2019). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1911.12969.

Full description at Econpapers || Download paper

2019Official demand for US debt: implications for US real rates. (2019). Zinna, Gabriele ; Kaminska, Iryna. In: Bank of England working papers. RePEc:boe:boeewp:0796.

Full description at Econpapers || Download paper

2019External debts, current account balance and exchange rates in emerging countries. (2019). Bouraoui, Taoufik. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00062.

Full description at Econpapers || Download paper

2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

Full description at Econpapers || Download paper

2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

Full description at Econpapers || Download paper

2019A Quantitative Analysis of Risk Premia in the Corporate Bond Market. (2019). Cecchetti, Sara. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2019:i:1:p:3-:d:300251.

Full description at Econpapers || Download paper

2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Post-Print. RePEc:hal:journl:halshs-01909772.

Full description at Econpapers || Download paper

2019The Pricing of Jump Propagation: Evidence from Spot and Options Markets. (2019). Luo, Dan ; Du, Du. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2360-2387.

Full description at Econpapers || Download paper

2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

Full description at Econpapers || Download paper

2020Asian options pricing in Hawkes-type jump-diffusion models. (2020). Sgarra, Carlo ; Brignone, Riccardo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-019-00352-1.

Full description at Econpapers || Download paper

2020Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data. (2020). GUPTA, RANGAN ; Demirer, Riza ; Kotze, Kevin ; Bathia, Deven. In: Working Papers. RePEc:pre:wpaper:202083.

Full description at Econpapers || Download paper

2020Official Demand for U.S. Debt: Implications for U.S. Real Rates. (2020). Zinna, Gabriele ; Kaminska, Iryna. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:2-3:p:323-364.

Full description at Econpapers || Download paper

Works by Junye Li:


YearTitleTypeCited
2014On bank credit risk: systemic or bank-specific? Evidence from the US and UK In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper10
2014On Bank Credit Risk: Systemic or Bank Specific? Evidence for the United States and United Kingdom In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article6
2012Option-implied volatility factors and the cross-section of market risk premia In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2014Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article7
2012Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]
paper0
2015Self-Exciting Jumps, Learning, and Asset Pricing Implications In: Review of Financial Studies.
[Full Text][Citation analysis]
article11

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team