Teacher information
Achievements in scientific research
Academic activities and community service
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
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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