Access Statistics for Haitao Li

Author contact details at EconPapers.

Working Paper	File Downloads				Abstract Views
Working Paper	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Type of HJM Based Affine Model: Theory and Empirical Evidence	0	0	2	12	0	0	2	95
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?	0	0	0	641	1	1	3	1,954
Nonparametric specification testing for continuous-time models with application to spot interest rates	0	0	0	94	0	0	0	365
Total Working Papers	0	0	2	747	1	1	5	2,414

Journal Article	File Downloads				Abstract Views
Journal Article	Last month	3 months	12 months	Total	Last month	3 months	12 months	Total
A Bayesian Analysis of Return Dynamics with Lévy Jumps	0	0	2	76	0	0	5	177
A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates	1	1	2	60	1	1	5	228
Are Liquidity and Information Risks Priced in the Treasury Bond Market?	0	0	4	163	0	1	6	424
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates	0	0	0	43	0	0	1	151
Corporate use of interest rate swaps: Theory and evidence	0	0	0	134	0	1	2	358
Evaluating asset pricing models using the second Hansen-Jagannathan distance	0	0	0	77	0	0	0	263
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?	0	0	0	75	1	1	2	252
Investing in Talents: Manager Characteristics and Hedge Fund Performances	0	1	3	75	0	1	11	271
Maximum likelihood estimation of time-inhomogeneous diffusions	1	1	3	114	1	1	5	288
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices	0	0	2	20	0	1	6	89
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models	0	0	0	75	0	0	1	188
Reduced-form valuation of callable corporate bonds: Theory and evidence	0	0	1	136	2	2	10	449
Short Rate Dynamics and Regime Shifts*	0	0	0	15	0	0	0	73
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives	0	0	0	117	1	1	1	351
Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?	0	0	0	73	0	0	3	226
Total Journal Articles	2	3	17	1,253	6	10	58	3,788

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Statistics updated 2025-03-03