Details about Haitao Li

Access statistics for papers by Haitao Li.

Last updated 2014-11-13. Update your information in the RePEc Author Service.

Short-id: pli900

Working Papers

2013

1. A Type of HJM Based Affine Model: Theory and Empirical Evidence
   Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University

2004

2. Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (11)

2002

3. Nonparametric specification testing for continuous-time models with application to spot interest rates
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (21)

Journal Articles

2011

1. A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates
   Journal of Econometrics, 2011, 162, (1), 55-70 View citations (22)
2. Investing in Talents: Manager Characteristics and Hedge Fund Performances
   Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 View citations (62)

2010

3. Evaluating asset pricing models using the second Hansen-Jagannathan distance
   Journal of Financial Economics, 2010, 97, (2), 279-301 View citations (18)
4. Reduced-form valuation of callable corporate bonds: Theory and evidence
   Journal of Financial Economics, 2010, 95, (2), 227-248 View citations (12)

2009

5. Are Liquidity and Information Risks Priced in the Treasury Bond Market?
   Journal of Finance, 2009, 64, (1), 467-503 View citations (43)
6. Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
   The Review of Financial Studies, 2009, 22, (11), 4335-4376 View citations (24)
7. Short Rate Dynamics and Regime Shifts*
   International Review of Finance, 2009, 9, (3), 211-241 View citations (1)

2008

8. A Bayesian Analysis of Return Dynamics with Lévy Jumps
   The Review of Financial Studies, 2008, 21, (5), 2345-2378 View citations (59)

2007

9. Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
   Journal of Econometrics, 2007, 141, (2), 736-776 View citations (45)
10. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
    Journal of Finance, 2007, 62, (1), 345-382 View citations (41)

2006

11. Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives
    Journal of Finance, 2006, 61, (1), 341-378 View citations (59)
12. Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?
    Journal of Econometrics, 2006, 135, (1-2), 255-284 View citations (30)

2004

13. Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
    Journal of Business & Economic Statistics, 2004, 22, 457-473 View citations (42)

2003

14. Corporate use of interest rate swaps: Theory and evidence
    Journal of Banking & Finance, 2003, 27, (8), 1511-1538 View citations (12)
15. Maximum likelihood estimation of time-inhomogeneous diffusions
    Journal of Econometrics, 2003, 114, (1), 107-139 View citations (34)