Andras Fulop

Publications

Articles

  • Estimating and Testing Long-Run Risk Models: International Evidence (with Junye Li, Hening Liu and Yan Cheng), 2024, forthcoming in Management Science
  • News-Based Indices on Country Fundamentals: Do They Help Explain Sovereign Credit Spread Fluctuations, (with Zalan Kocsis), 2023, forthcoming Journal of Banking and Finance
  • Computational Doob’s h-transforms for Online Filtering of Discretely Observed Diffusions, (with Nicolas Chopin, Jeremy Heng and Alexandre H. Thierry), 2023 ICML
  • Standardization, transparency initiatives, and liquidity in the CDS market(with Laurence Lescourret),2022, Journal of Financial Markets
  • Bayesian Estimation of the Long-Run Risk Model Using Sequential Monte Carlo(with Jeremy Heng, Junye Li and Hening Liu) , 2022, Journal of Econometrics
  • Real-Time Bayesian Learning and Bond Return Predictability (with Junye Li, Runqing Wan), 2022, Journal of Econometrics
  • Data-cloning SMC2: A global optimizer for maximum likelihood estimation of latent variable models (with Jin-Chuan Duan and Yu-Wei Hsieh), 2020, Computational Statistics and Data Analysis
  • Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations (with Junye Li), 2019 Journal of Econometrics, 209, 114-138
  • Bayesian Analysis of Bubbles in Asset Prices (with Jun Yu), 2017, Econometrics, (a special issue in honor of Peter Phillips) 47
  • Bayesian Learning of Self-Exciting Return Dynamics (with Junye Li and Jun Yu), 2015, Review of Financial Studies, 28, 876-912
  • Density-Tempered Marginalized Sequential Monte Carlo Samplers, (with Jin-Chuan Duan), 2015, Journal of Business and Economic Statistics, 33, 192-202
  • Efficient Learning via Simulation: A Marginalized Resample-Move Approach (with Junye Li), 2013, Journal of Econometrics, 176, 146-161
  • A Stable Estimator for the Information Matrix under EM (with Jin-Chuan Duan), 2010, Statistics and Computing, 21, 83-91
  • Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises” (with Jin-Chuan Duan), 2009, Journal of Econometrics, 150, 288-296

Chapters

  • Filtering Methods, In Handbook of Computational Finance Edited by Jin-Chuan Duan, James E. Gentle, Wolfgang Haerdle Berlin: Springer, 2011
  • A first look at the microstructure of CDS markets” (with Laurence Lescourret), 2008 in Proceedings of the 1st International Financial Research Forum, edited by Monique Jeanblanc, Economica
  • Maximum Likelihood” (with Jin-Chuan Duan) 2004, in Encyclopedia of Actuarial Science, 2004, eds. Jozef Teugels and Bjorn Sundt, Wiley, Volume 2, 1107-1115.