Junye Li
Biographic Data
| ID | 8131291 |
|---|---|
| NAME | Junye Li |
| GIVEN NAMES | Junye |
| FAMILY NAME | Li |
| SIGNATURE | LI J |
| AFFILIATIONS | ESSEC Business School, Singapore () |
| ORCID | 0000-0002-4881-8616 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2011 |
| LATEST PUBLICATION YEAR | 2018 |
| H-INDEX | 0 |
The Variance Risk Premium
This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent r…
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models
This article investigates time-changed infinite activity derivatives pricing models from the sequential Bayesian perspective. It proposes a sequential Monte Carlo method with the proposal density generated by the unscented Kalman filter. This approach overcomes to a large extent the particle impoverishment problem inherent to the conventional particle filter. Simulation study and real applications indicate that (1) using the underlying alone cann…
No prominent works on this page.
Sequential Bayesian Analysis of Time-Changed Infinite Activity Derivatives Pricing Models
This article investigates time-changed infinite activity derivatives pricing models from the sequential Bayesian perspective. It proposes a sequential Monte Carlo method with the proposal density generated by the unscented Kalman filter. This approach overcomes to a large extent the particle impoverishment problem inherent to the conventional particle filter. Simulation study and real applications indicate that (1) using the underlying alone cann…
The Variance Risk Premium
This article examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent r…
Econometrics (2 works) · Mathematics (2 works) · Statistics (2 works) · Stochastic processes and financial applications (2 works) · Algorithm (1 work) · Artificial Intelligence (1 work) · Bayesian probability (1 work) · Capital asset pricing model (1 work) · Computer Science (1 work) · Economics (1 work)