Teacher information
Achievements in scientific research
Academic activities and community service
Educational Background
Doctor Degree,Economics,Bocconi University, ITA
Master Degree,Systems Engineering,Beijing Jiaotong University
Awards on Research
2024.04,2024 China FinTech Research Conference Best Paper Award,China FinTech Research Conference
2023.12,21st Paris December Finance Meeting Award for the Best Paper,Paris December Finance Meeting
Journal Papers
| 1. | Andras Fulop, Junye Li, Hening Liu, and Cheng Yan. 2025. Estimating and testing long-run risk models: International evidence. Management Science 71(4) 3517-3536.  |
| 2. | Chuyu Wang and Junye Li. 2024. Volatility-managed portfolios in the Chinese equity market. Pacific-Basin Finance Journal 88 1-20. |
| 3. | Junye Li, Lucio Sarno, and Gabriele Zinna. 2024. Risks and risk premia in the US Treasury market. Journal of Economic Dynamics and Control 158 1-24. |
| 4. | Tao Huang, Liang Jiang, and Junye Li. 2023. Downside variance premium, firm fundamentals, and expected corporate bond returns. Journal of Banking & Finance 154 1-14. |
| 5. | Runqing Wan, Andras Fulop, and Junye Li. 2022. Real-time Bayesian learning and bond return predictability. Journal of Econometrics 230(1) 114–130. |
| 6. | Andras Fulop, Jeremy Heng, Junye Li, and Hening Liu. 2022. Bayesian estimation of long-run risk models using sequential Monte Carlo. Journal of Econometrics 228(1) 62-84. |
| 7. | Tao Huang, Junye Li, Fei Wu, and Ning Zhu. 2022. R&D information quality and stock returns. Journal of Financial Markets forthcoming 1-19. |
| 8. | Tao Huang and Junye Li. 2019. Option-Implied variance asymmetry and the cross-section of stock returns. Journal of Banking and Finance 101 21-36. |
| 9. | Andras Fulop and Junye Li. 2019. Bayesian estimation of dynamic asset pricing models with informative observations. Journal of Econometrics 209(1) 114-138. |
| 10. | Junye Li and Gabriele Zinna. 2018. How much of bank credit risk is sovereign risk? -- Evidence from Europe. Journal of Money, Credit and Banking 50(6) 1225-1269. |
| 11. | Junye Li and Gabriele Zinna. 2018. The variance risk premium: components, term structures, and stock return predictability. Journal of Business & Economic Statistics 36(3) 411-425. |
| 12. | Andras Fulop, Junye Li, and Jun Yu. 2015. Self-exciting jumps, learning, and asset pricing implications. The Review of Financial Studies 28(3) 876-912. |
| 13. | Junye Li and Gabriele Zinna. 2014. On bank credit risk: systemic or bank specific? Evidence for the United States and United Kingdom. Journal of Financial and Quantitative Analysis 49(5-6) 1403-1442. |
| 14. | Weiwei Yin and Junye Li. 2014. Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach. Journal of International Money and Finance 41 46-64. |
| 15. | Andras Fulop and Junye Li. 2013. Efficient learning via simulation: A marginalized resample-move approach. Journal of Econometrics 176(2) 146-161. |
| 16. | Junye Li. 2013. An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options. Computational Statistics & Data Analysis 58 15-26. |
| 17. | Junye Li, Carlo Favero, and Fulvio Ortu. 2012. A spectral estimation of tempered stable stochastic volatility models and option pricing. Computational Statistics & Data Analysis 56(11) 3645-3658. |
| 18. | Junye Li. 2012. Option-implied volatility factors and the cross-section of market risk premia. Journal of Banking & Finance 36(1) 249-260. |
| 19. | Junye Li. 2011. Sequential bayesian analysis of time-changed infinite activity derivatives pricing models. Journal of Business and Economic Statistics 29(4) 468-480. |
| 20. | Junye Li. 2011. Volatility components, leverage effects, and the return–volatility relations. Journal of Banking & Finance 35(6) 1530-1540. |
Research Projects
2025.01—2028.12, Principal Investigator, Decision Tree-based Asset Heterogeneity, Regime Switching, and Uncommon Factor Structures, National Natural Science Foundation of China
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