Current Working papers
- Option Mispricing and Alpha Portfolios (with Junye Li and Mo Wang), revise and resubmit at the Journal of Financial Economics
- Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models (with Jeremy Heng and Junye Li), revise and resubmit at the Journal of the American Statistical Association
Permanent Working Papers
- Real-Time Macro Information and Bond Return Predictability: A Weighted Group Deep Learning Approach (with Yinghua Fan,Gavin Feng, and Junye Li)
- Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity (with Jin-Chuan Duan)
- Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market (with Laurence Lescourret)
Andras Fulop 