Details about Haitao Li
Access statistics for papers by Haitao Li.
Last updated 2014-11-13. Update your information in the RePEc Author Service.
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- A Type of HJM Based Affine Model: Theory and Empirical Evidence
Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University
- 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)
- 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 (22)
- 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 (20)
- Investing in Talents: Manager Characteristics and Hedge Fund Performances
Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 View citations (49)
- Evaluating asset pricing models using the second Hansen-Jagannathan distance
Journal of Financial Economics, 2010, 97, (2), 279-301 View citations (18)
- Reduced-form valuation of callable corporate bonds: Theory and evidence
Journal of Financial Economics, 2010, 95, (2), 227-248 View citations (11)
- Are Liquidity and Information Risks Priced in the Treasury Bond Market?
Journal of Finance, 2009, 64, (1), 467-503 View citations (40)
- Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
Review of Financial Studies, 2009, 22, (11), 4335-4376 View citations (22)
- Short Rate Dynamics and Regime Shifts*
International Review of Finance, 2009, 9, (3), 211-241 View citations (1)
- A Bayesian Analysis of Return Dynamics with Lévy Jumps
Review of Financial Studies, 2008, 21, (5), 2345-2378 View citations (54)
- 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 (42)
- Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
Journal of Finance, 2007, 62, (1), 345-382 View citations (39)
- Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives
Journal of Finance, 2006, 61, (1), 341-378 View citations (50)
- 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 (28)
- Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
Journal of Business & Economic Statistics, 2004, 22, 457-473 View citations (37)
- Corporate use of interest rate swaps: Theory and evidence
Journal of Banking & Finance, 2003, 27, (8), 1511-1538 View citations (10)
- Maximum likelihood estimation of time-inhomogeneous diffusions
Journal of Econometrics, 2003, 114, (1), 107-139 View citations (32)
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