FULOP Andras
Département : Finance
Professeur
Campus de Cergy
Contact
- email : fulop@essec.edu
- tél : +33 (0)1 34 43 36 47
Diplômes
- 2006 : Ph.D. en Finance (Rotman School of Management, Canada)
- 2000 : M.A. en Economie (University of Toronto, Canada)
- 1999 : M.Sc. en Economie (Budapest University of Economic Sciences, Hongrie)
Carrière
- 2019 - présent : Professeur, Département de Finance (ESSEC Business School, France)
- 2013 - 2019 : Professeur associé (ESSEC Business School, France)
- 2006 - 2013 : Professeur assistant (ESSEC Business School, France)
- 2016 - 2019 : Co-Président puis Président du Département Finance (ESSEC Business School, France)
- 2016 - présent : Chercheur Visitant (Bundesbank, Allemagne)
- 2012 - 2013 : Consultant de Recherche (Hungarian National Bank, Research Division, Hongrie)
- 2005 : Chercheur Visitant (Hungarian National Bank, Research Division, Hongrie)
- 2006 : Formation sur les Dérivées de Crédit (Eurotitrisation, Hongrie)
Positions académiques principales
Autres positions académiques
Positions professionnelles
Prix
- 2019 : Fondation ESSEC Prix White Project (Fondation ESSEC)
- 2017 : Prix du Meilleur Article, China International Risk Forum
- 2015 : Meilleur Article sur les Dérivées (sponsorisé par l'IFSID, Montreal Institute of Structured Finance and Derivatives), décerné lors du meeting annuel de la Northern Finance Association, pour leur papier "Transparency Regime Initiatives and Liquidity in the CDS Market."
Bourses
- 2020 - 2024 : I-Site Ambition SMCECON (France)
- 2017 : Bourse de Recherche de l'Europlace Institute of Finance and Labex Louis Bachelier
- 2014 : Bourse Merlion Workshop
- 2008 : Bourse de recherche de NYSE-Euronext (en collaboration avec L. Lescourret)
- 2000 - 2004 : Harvey Rourke Fellowship
- 1999 : Soros Foundation Fellowship
- 1999 : Soros Foundation Fellowship (Soros Foundation)
- 1999 - 2004 : University of Toronto Fellowship (University of Toronto, Canada)
Articles
- FULOP, A., HENG, J., LI, J. and LIU, H. (2022). Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo. Journal of Econometrics, 228(1), pp. 62-84.
- WAN, R., FULOP, A. and LI, J. (2022). Real-time Bayesian learning and bond return predictability. Journal of Econometrics, 230(1), pp. 114-130.
- DAURES-LESCOURRET, L. and FULOP, A. (2022). Standardization, transparency initiatives, and liquidity in the CDS market. Journal of Financial Markets, 59, Part A, pp. 100718.
- DUAN, J.C., FULOP, A. and HSIEG, Y.W. (2020). Data-cloning SMC2: A global optimizer for maximum likelihood estimation of latent variable models. Computational Statistics and Data Analysis, 143.
- FULOP, A. and LI, J. (2019). Bayesian Estimation of Dynamic Asset Pricing Models with Informative Observations. Journal of Econometrics, 209, pp. 114-138.
- FULOP, A. and YU, J. (2017). Bayesian Analysis of Bubbles in Asset Prices. Econometrics, 5(4), pp. 47.
- DUAN, J.C. and FULOP, A. (2015). Density-Tempered Marginalized Sequential Monte Carlo Samplers. Journal of Business and Economic Statistics, 33(2), pp. 192-202.
- FULOP, A., LI, J. and JU, Y. (2015). Self-Exciting Jumps, Learning, and Asset Pricing Implications. Review of Financial Studies, 28(3), pp. 876-912.
- FULOP, A. and LI, J. (2013). Efficient Learning via Simulation: A Marginalized Resample-Move Approach. Journal of Econometrics, 176(2), pp. 146-161.
- DUAN, J.C. and FULOP, A. (2011). A Stable Estimator of the Information Matrix Under EM for Dependent Data. Statistics and Computing, 21(1), pp. 83-91.
- DUAN, J.C. and FULOP, A. (2009). Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises. Journal of Econometrics, 150(2), pp. 288-296.
Chapitres
- FULOP, A. (2012). Filtering Methods. In: Handbook of Computational Finance. 1st ed. Springer, pp. 439-467.
- FULOP, A. and LESCOURRET, L. (2009). A First Look at the Microstructure of the CDS Market. In: Financial Risks. New Developments in Structured Product & Credit Derivatives. 1st ed. Economica, pp. 133-141.
- FULOP, A. (2009). Comprendre le marché du credit default swap (CDS) et le risque de contrepartie. In: Le leadership responsable. Un allié sûr contre la crise. 1st ed. Gualino. Lextenso éditions, pp. 233-243.
- FULOP, A. and DUAN, J.C. (2004). Maximum Likelihood. In: Encyclopedia of Actuarial Science. 1st ed. Chichester: Wiley, pp. 1107-1115.
Actes d'une conférence
Communications dans une conférence
- FULOP, A., HENG, J. and LI, Y. (2021). Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. In: 2021 European Winter Meetings of the Econometric Society. Barcelona.
- FULOP, A., LI, J. and WAN, R. (2018). Real-Time Learning and Bond Return Predictability. In: 11th Annual Meeting of the the Society for Financial Econometrics (SoFiE).
- FULOP, A., LI, J. and WAN, R. (2018). Real-Time Learning and Bond Return Predictability. In: 2018 Frontiers in Econometrics Workshop.
- LI, J. and FULOP, A. (2017). Inferring Volatility Dynamics Using Stock Prices and Variance Swap Rates. In: 2017 China Meeting of the Econometric Society.
- FULOP, A., LI, J. and WAN, R. (2017). Parameter Learning, Sequential Model Selection, and Bond Return Predictability. In: 22nd Annual Meeting 2017 of the Latin American and Caribbean Economic Association.
- FULOP, A., LI, J. and WAN, R. (2017). Parameter Learning, Sequential Model Selection, and Bond Return Predictability. In: 2017 China International Risk Forum.
- FULOP, A. and LI, J. (2016). Inferring Volatility Dynamics and Variance Risk Premia in Efficient Bayesian Approach. In: 2016 Asian Meeting of the Econometric Society.
- FULOP, A. and LESCOURRET, L. (2016). Transparency Regime Initiatives and Liquidity in the CDS Market. In: 9th Annual Society for Financial Econometrics (SoFiE) Conference.
- FULOP, A. and LESCOURRET, L. (2016). Transparency Regime Initiatives and Liquidity in the CDS Market. In: 2016 Financial Intermediation Research Society (FIRS) Conference.
- FULOP, A. and LI, J. (2015). Inferring Volatility Dynamics and Variance Risk Premia an Efficient Bayesian Approach. In: 8th Annual SoFiE Conference.
- LI, J. and FULOP, A. (2015). Inferring Volatility Dynamics and Variance Risk Premia: An Efficient Bayesian Approach. In: 2015 China International Conference in Finance.
- LESCOURRET, L. and FULOP, A. (2015). Transparency Regime Initiatives and Liquidity in the CDS Market. In: 7th International Conference of the The International Finance and Banking Society (IFABS): The Future of Financial Institutions and Markets: Navigating the Challenges Ahead.
- FULOP, A. and LESCOURRET, L. (2015). Transparency Regime Initiatives and Liquidity in the CDS Market. In: 2015 Financial Management Association (FMA) Annual Meeting.
- FULOP, A. and LESCOURRET, L. (2015). Transparency Regime Initiatives and Liquidity in the CDS Market. In: 42nd Annual Meeting of the European Finance Association.
- FULOP, A. and LESCOURRET, L. (2015). Transparency Regime Initiatives and Liquidity in the CDS Market. In: 2015 Northern Finance Association (NFA) Conference.
- FULOP, A. and SMU, J.Y. (2014). Bayesian Analysis of Asset Price Bubbles. In: 7th Annual Society for Financial Econometrics Conference.
- FULOP, A. and YU, J. (2014). Bayesian Analysis of Bubbles in Asset Prices. In: 2014 Asian Meeting of the Econometric Society.
- LI, J. and FULOP, A. (2014). Inferring Volatility Dynamics and Variance Risk Premia: An Efficient Bayesian Approach. In: UT/Princeton Tripartite Workshop on Financial Econometrics.
- LESCOURRET, L. and FULOP, A. (2014). Transparency Regimes and Liquidity in the CDS Market. In: 68th European Meeting of the Econometric Society.
- FULOP, A. (2013). Learning about Bubbles: A Bayesian Approach. In: Seventh Annual Risk Management Conference.
- FULOP, A. and LI, J. (2012). Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility. In: 2012 China International Conference in Finance.
- FULOP, A. (2012). Marginal Sequential Monte Carlo Samplers. In: Fifth Annual Society for Financial Econometrics Conference.
- FULOP, A. (2012). Marginal Sequential Monte Carlo Samplers. In: SMU-ESSEC Symposium on Empirial Finance and Financial Econometrics 2012.
- FULOP, A. (2012). Multiperiod Corporate Default Prediction with the Partially Conditioned Forward Intensity (co-author Jin Chual Duan). In: 2012 Asset Pricing and Portfolio Allocation in the Long Run Conference.
- FULOP, A. (2012). Multiperiod Corporate Default Prediction with the Partially Conditioned Forward Intensity (co-author Jin Chual Duan). In: 5th International Conference of the ERCIM Working Group on Computing & Statistics.
- LESCOURRET, L. and FULOP, A. (2008). How Liquid is the CDS Market?
Documents de travail
Activités de recherche
- 2019 : - présent : Associate Editor at the Journal of Financial Econometrics
- 2015 : - présent : Subject Editor at the Journal of Multinational Financial Management
- Relecteur pour Econometrica; Empirical Economics; International Journal of Computer Mathematics; Journal of Applied Econometrics; Journal of Banking & Finance; Journal of Business and Economic Statistics; Journal of Credit Risk; Journal of Econometrics; Journal of Economic Dynamics and Control; Journal of Financial Econometrics; Journal of the American Statistical Association; Journal of the Royal Statistical Society: Series B (Statistical Methodology); Management Science; Mathematical Finance; Studies in Nonlinear Dynamics and Econometrics
- 2019 : Atelier sur les Méthodes Monte Carlo et les Approximation de Programmation Dynamiques et les Applications Financières
- 2019 : CEU-ESSEC Workshop on Behavioral Finance and Economics, Central European University - ESSEC Business School
- 2018 : 5ème atelier de Finance Empirique, ESSEC Business School, France
- 2018 : Ateliers sur les Méthodes en Finance
- 2017 : 4ème atelier de Finance Empirique, ESSEC Business School, France
- 2016 : 3ème atelier de Finance Empirique, ESSEC Business School, France
- 2015 : 2ème atelier de Finance Empirique, ESSEC Business School, France
- 2015 : International Dauphine-ESSEC-SMU Conference on Systemic Risk
- 2014 : Séminaire Européen sur l'Econométrie Bayesienne, Paris, France
Co-direction d'une revue - Co-rédacteur en chef
Reviewer pour un journal
Organisation d'une conférence ou d'un séminaire
Thèses
- 2023 : AMIN S. (ESSEC Business School), Président de jury
- 2019 : WAN Runqing (ESSEC Business School), Co-directeur de thèse, Premier poste : Assistant Professor in Finance - Capital University of Economics and Business, Beijing, China
- En cours : (ESSEC Business School), Co-directeur de thèse
- En cours : WANG M. (ESSEC Business School), Directeur de thèse
