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Andras Fulop
Andras Fulop
Professor of Finance, ESSEC Business School
Dirección de correo verificada de essec.edu
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Self-exciting jumps, learning, and asset pricing implications
A Fulop, J Li, J Yu
The Review of Financial Studies 28 (3), 876-912, 2015
1182015
Estimating the structural credit risk model when equity prices are contaminated by trading noises
JC Duan, A Fulop
Journal of Econometrics 150 (2), 288-296, 2009
1132009
Efficient learning via simulation: A marginalized resample-move approach
A Fulop, J Li
Journal of Econometrics 176 (2), 146-161, 2013
942013
Density-tempered marginalized sequential Monte Carlo samplers
JC Duan, A Fulop
Journal of Business & Economic Statistics 33 (2), 192-202, 2015
712015
Intra-daily variations in volatility and transaction costs in the Credit Default Swap market
A Fulop, L Lescourret
44*2009
Multiperiod corporate default prediction with the partially-conditioned forward intensity
JC Duan, A Fulop
Available at SSRN 2151174, 2013
392013
Bayesian estimation of dynamic asset pricing models with informative observations
A Fulop, J Li
Journal of Econometrics 209 (1), 114-138, 2019
232019
Real-time Bayesian learning and bond return predictability
R Wan, A Fulop, J Li
Journal of Econometrics 230 (1), 114-130, 2022
22*2022
A stable estimator of the information matrix under EM for dependent data
JC Duan, A Fulop
Statistics and Computing 21 (1), 83-91, 2011
222011
Bayesian analysis of bubbles in asset prices
A Fulop, J Yu
Econometrics 5 (4), 47, 2017
192017
Standardization, transparency initiatives, and liquidity in the CDS market
L Daures-Lescourret, A Fulop
Journal of Financial Markets 59, 100718, 2022
16*2022
Real-time macro information and bond return predictability: Does deep learning help
G Feng, A Fulop, J Li
SSRN Electronic Journal, 2020
13*2020
How frequently does the stock price jump? An analysis of high-frequency data with microstructure noises
JC Duan, A Fülöp
MNB Working Papers, 2007
112007
Bayesian estimation of long-run risk models using sequential Monte Carlo
A Fulop, J Heng, J Li, H Liu
Journal of Econometrics 228 (1), 62-84, 2022
92022
Data-cloning SMC2: A global optimizer for maximum likelihood estimation of latent variable models
JC Duan, A Fulop, YW Hsieh
Computational Statistics & Data Analysis 143, 106841, 2020
9*2020
Feedback effects of rating downgrades
A Fulop
ESSEC, 2006
72006
News-based indices on country fundamentals: Do they help explain sovereign credit spread fluctuations?
A Fulop, Z Kocsis
MNB Working Papers, 2018
62018
Computational doob h-transforms for online filtering of discretely observed diffusions
N Chopin, A Fulop, J Heng, AH Thiery
International Conference on Machine Learning, 5904-5923, 2023
52023
Estimating and Testing Long-Run Risk Models: International Evidence
A Fulop, J Li, H Liu, C Yan
Management Science, 2024
32024
Option mispricing and alpha portfolios
A Fulop, J Li, M Wang
ESSEC Business School Research Paper, 2023
32023
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Artículos 1–20