EconPapers    
Economics at your fingertips  
 

Details about Haitao Li

Workplace:Cheung Kong Graduate School of Business, (more information at EDIRC)

Access statistics for papers by Haitao Li.

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

Short-id: pli900


Jump to Journal Articles

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 Downloads

2004

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

2002

  1. 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 Downloads View citations (22)

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 Downloads View citations (20)
  2. Investing in Talents: Manager Characteristics and Hedge Fund Performances
    Journal of Financial and Quantitative Analysis, 2011, 46, (1), 59-82 Downloads View citations (49)

2010

  1. Evaluating asset pricing models using the second Hansen-Jagannathan distance
    Journal of Financial Economics, 2010, 97, (2), 279-301 Downloads View citations (18)
  2. Reduced-form valuation of callable corporate bonds: Theory and evidence
    Journal of Financial Economics, 2010, 95, (2), 227-248 Downloads View citations (11)

2009

  1. Are Liquidity and Information Risks Priced in the Treasury Bond Market?
    Journal of Finance, 2009, 64, (1), 467-503 Downloads View citations (40)
  2. Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices
    Review of Financial Studies, 2009, 22, (11), 4335-4376 Downloads View citations (22)
  3. Short Rate Dynamics and Regime Shifts*
    International Review of Finance, 2009, 9, (3), 211-241 Downloads View citations (1)

2008

  1. A Bayesian Analysis of Return Dynamics with Lévy Jumps
    Review of Financial Studies, 2008, 21, (5), 2345-2378 Downloads View citations (54)

2007

  1. 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 Downloads View citations (42)
  2. Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?
    Journal of Finance, 2007, 62, (1), 345-382 Downloads View citations (39)

2006

  1. Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives
    Journal of Finance, 2006, 61, (1), 341-378 Downloads View citations (50)
  2. 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 Downloads View citations (28)

2004

  1. Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models
    Journal of Business & Economic Statistics, 2004, 22, 457-473 Downloads View citations (37)

2003

  1. Corporate use of interest rate swaps: Theory and evidence
    Journal of Banking & Finance, 2003, 27, (8), 1511-1538 Downloads View citations (10)
  2. Maximum likelihood estimation of time-inhomogeneous diffusions
    Journal of Econometrics, 2003, 114, (1), 107-139 Downloads View citations (32)
 
Page updated 2023-02-07