Follow
Andras Fulop
Andras Fulop
Professor of Finance, ESSEC Business School
Verified email at essec.edu
Title
Cited by
Cited by
Year
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
1112009
Self-exciting jumps, learning, and asset pricing implications
A Fulop, J Li, J Yu
The Review of Financial Studies 28 (3), 876-912, 2015
1042015
Efficient learning via simulation: A marginalized resample-move approach
A Fulop, J Li
Journal of Econometrics 176 (2), 146-161, 2013
912013
Density-tempered marginalized sequential Monte Carlo samplers
JC Duan, A Fulop
Journal of Business & Economic Statistics 33 (2), 192-202, 2015
672015
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
372013
A stable estimator of the information matrix under EM for dependent data
JC Duan, A Fulop
Statistics and Computing 21 (1), 83-91, 2011
212011
Real-time Bayesian learning and bond return predictability
R Wan, A Fulop, J Li
Journal of Econometrics 230 (1), 114-130, 2022
20*2022
Bayesian estimation of dynamic asset pricing models with informative observations
A Fulop, J Li
Journal of econometrics 209 (1), 114-138, 2019
17*2019
Bayesian analysis of bubbles in asset prices
A Fulop, J Yu
Econometrics 5 (4), 47, 2017
162017
Standardization, transparency initiatives, and liquidity in the CDS market
L Daures-Lescourret, A Fulop
Journal of Financial Markets 59, 100718, 2022
13*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
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
8*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
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
52022
Filtering methods
A Fulop
Handbook of Computational Finance, 439-467, 2011
32011
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
22023
Option mispricing and alpha portfolios
A Fulop, J Li, M Wang
ESSEC Business School Research Paper, 2022
22022
The system can't perform the operation now. Try again later.
Articles 1–20