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Zinna, Gabriele Fulop, Andras Huang, Tao Sarno, Lucio Yu, Jun Zhu, Ning N. Ortu, Fulvio Favero, Carlo A. Jiang, Liang He, Jingyu Heng, Jeremy Liu, Hening Wu, Fei Wan, Runqing Bie, Siyu Feng, Guanhao Cong, Lin William Wang, Chuyu Diebold, Francis X. Ying, Weiwei All co-authors returns model credit pricing models systemic market variance risikoprämie based asset bayesian kapitaleinkommen capm premia volatility sovereign jump banks volatilität estimation return schätzung stock cross self future premium option term evidence factors data paper prognoseverfahren börsenkurs downside sequential specific exciting jumps approach factor zinsstruktur kreditrisiko expected using implied section non value method risk long asymmetry estimate size positive excess weighted investors risiko schätztheorie risks treasury firm corporate run monte carlo information predictability informative components bank efficient stochastic activity while performance clusters clustering bcm structure prices neutral short likelihood cash flow consumption persistent rdiq index vrp
Composed risk premium capital income risk premia bank credit bayes statistik bayesian inference forecasting model share price yield curve stock returns credit risk self exciting cross section risk systemic monte carlo simulation downside variance pricing models sovereign risk bank specific estimation theory risks risk variance premium bond returns sequential monte monte carlo option implied implied variance variance asymmetry systemic bank specific evidence volatility factors stochastic volatility option pricing risk neutral risk model systemic risk paper proposes markov kette markov chain Öffentliche anleihe public bond learning process stochastischer prozess stochastic process premia treasury market volatility returns bayesian long run run risk risk models section stock dynamic asset variance risk term structures risk sovereign evidence uk uk bank exciting jumps resample approach factors cross volatility models infinite activity cross sectional positive relationship hedge portfolio portfolio earns equal weighted weighted returns based model excess returns prices volatility exciting jump jump clustering develop multivariate multivariate credit sovereign bank joint defaults banks credit bank systemic diffusion volatility volatility factor government securities capital market returns option pricing theory grouped heterogeneity market downside firm fundamentals fundamentals expected real time return predictability asymmetry cross market risk macro risk investment grade cash flow ar based risk based swap rates risk varies
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The information on the author is retrieved from: Entity Facts (by DNB = German National Library data service), DBPedia and Wikidata
Junye Li Alternative spellings: Li Junye Junye Li
Affiliations Fu dan da xue ESSEC Business School (Cergy-Pontoise) Manchester Business School Università commerciale Luigi Bocconi
Publishing years Series Bank of Italy Temi di Discussione (Working Paper) (2) Temi di discussione / Banca d'Italia (2) Working papers / Penn Institute for Economic Research (1) NBER working paper series (1) Discussion papers / CEPR (1) Global COE Hi-Stat discussion paper series (1) Working papers / Innocenzo Gasparini Institute for Economic Research (1) 
The result list below will be reduced to the selected search terms. The terms are generated from the titles, abstracts and STW thesaurus of publications by the respective author.
