Andras Fulop

发表

Feedback Effects of Rating Downgrades

Andras Fulop, 2006 .

Self-Exciting Jumps, Learning, and Asset Pricing Implications

Jun Yu, Junye Li, Andras Fulop, 2014 .

Real-Time Macro Information and Bond Return Predictability: Does Deep Learning Help?

Guanhao Feng, Junye Li, Andras Fulop, 2020, SSRN Electronic Journal.

Density-Tempered Marginalized Sequential Monte Carlo Samplers

Andras Fulop, Jin-Chuan Duan, J. Duan, 2015 .

Self-Exciting Jumps, Learning, and Asset Pricing Implications

Jun Yu, Junye Li, Andras Fulop, 2014 .

Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations

Junye Li, Andras Fulop, 2018 .

Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises

Andras Fulop, Jin-Chuan Duan, J. Duan, 2009 .

A Stable Estimator for the Information Matrix under EM

J. Duan, Andras Fulop, 2007 .

Discussion of “Inferring Volatility Dynamics and Variance Risk Premia: An Efficient Bayesian Approach”

Junye Li, Andras Fulop, 2015 .

Real-Time Bayesian Learning and Bond Return Predictability

Junye Li, Andras Fulop, Runqing Wan, 2019, Journal of Econometrics.

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach

Jun Yu, Junye Li, Andras Fulop, 2012 .

Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility

Jun Yu, Junye Li, Andras Fulop, 2012 .

Real-Time Learning and Bond Return Predictability

Junye Li, Andras Fulop, Runqing Wan, 2018 .

Bayesian Analysis of Bubbles in Asset Prices

Jun Yu, Andras Fulop, 2017 .

Parameter Learning, Sequential Model Selection, and Bond Return Predictability

Junye Li, Andras Fulop, Runqing Wan, 2017 .

News- Based Indices on Country Fundamentals: Do They Help Explain Sovereign Credit Spread Fluctuations?

Andras Fulop, Z. Kocsis, 2018 .

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Bayesian analysis of bubbles in asset prices Bayesian analysis of bubbles in asset prices

Jun Yu, Andras Fulop, 2020 .

Computational Doob's h-transforms for Online Filtering of Discretely Observed Diffusions

J. Heng, N. Chopin, Alexandre Hoang Thiery, 2022, ArXiv.

A stable estimator of the information matrix under EM for dependent data

Jin-Chuan Duan, Andras Fulop, J. Duan, 2011, Stat. Comput..

Multiperiod Corporate Default Prediction with the Partially-Conditioned Forward Intensity

J. Duan, Andras Fulop, 2013 .

Filtering Methods

Andras Fulop, 2009 .

Surgical outcomes of gallbladder cancer: the OMEGA retrospective, multicentre, international cohort study

S. Ashley, G. Molina, R. Higuchi, 2023, EClinicalMedicine.

Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo

J. Heng, Junye Li, Andras Fulop, 2020, Journal of Econometrics.

Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations

Andras Fulop, Junye Li, Junye Li, 2018, Journal of Econometrics.

Density-Tempered Marginalized Sequential Monte Carlo Samplers

Jin-Chuan Duan, Andras Fulop, J. Duan, 2013 .

Efficient Learning via Simulation: A Marginalized Resample-Move Approach

Andras Fulop, Junye Li, Junye Li, 2012 .

Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models

Andras Fulop, Jeremy Heng, Junye Li, 2021, SSRN Electronic Journal.

Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market

Andras Fulop, Laurence Daures-Lescourret, 2009 .

News-Based Indices on Country Fundamentals

Andras Fulop, Zalan Kocsis, Andras Fulop, 2018 .

Computational Doob's h-transforms for Online Filtering of Discretely Observed Diffusions

J. Heng, N. Chopin, Alexandre Hoang Thiery, 2022, ArXiv.

Computational Doob h-transforms for Online Filtering of Discretely Observed Diffusions

J. Heng, N. Chopin, Alexandre Hoang Thiery, 2023, ICML.

Standardization, transparency initiatives, and liquidity in the CDS market

Andras Fulop, Laurence Daures-Lescourret, 2022, Journal of Financial Markets.

Standardization, Transparency Initiatives and Liquidity in the CDS Market

Andras Fulop, Laurence Daures-Lescourret, 2019 .

Transparency Regime Initiatives and Liquidity in the CDS Market

Andras Fulop, L. Lescourret, 2017 .

Data-cloning SMC2: A global optimizer for maximum likelihood estimation of latent variable models

Andras Fulop, Yu-Wei Hsieh, Jin-Chuan Duan, 2020, Comput. Stat. Data Anal..

Data-Cloning SMC 2 for Applications to Latent Variable Models

Yu-Wei Hsieh, Jin-Chuan Duan, Andras Fulop, 2018 .

Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning

Yu-Wei Hsieh, Jin-Chuan Duan, Andras Fulop, 2017 .

Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk * Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk

Sreedhar T. Bharath, Tālis J. Putniņš, D. Yermack, 2011 .

Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk * Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk

Sreedhar T. Bharath, Tālis J. Putniņš, D. Yermack, 2011 .

Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk * Dragon Yongjun Tang ‡ Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk

Sreedhar T. Bharath, D. Yermack, Y. Amihud, 2011 .

Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk * Dragon Yongjun Tang ‡ Does the Tail Wag the Dog? the Effect of Credit Default Swaps on Credit Risk

D. Yermack, Y. Amihud, M. Subrahmanyam, 2011 .

How Liquid is the CDS Market

Andras Fulop, L. Lescourret, 2007 .