Access Statistics for Haitao Li

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
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 0 6 0 2 6 47
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 637 0 1 10 1,935
Nonparametric specification testing for continuous-time models with application to spot interest rates 0 0 2 92 0 1 9 355
Total Working Papers 0 0 2 735 0 4 25 2,337


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Analysis of Return Dynamics with Lévy Jumps 0 1 2 62 0 2 9 144
A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates 0 0 1 56 0 0 6 217
Are Liquidity and Information Risks Priced in the Treasury Bond Market? 0 0 0 153 1 3 13 398
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates 0 0 0 40 1 1 7 141
Corporate use of interest rate swaps: Theory and evidence 0 0 0 134 0 1 4 348
Evaluating asset pricing models using the second Hansen-Jagannathan distance 0 0 1 67 2 2 16 236
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 1 75 0 0 10 238
Investing in Talents: Manager Characteristics and Hedge Fund Performances 0 2 4 58 1 4 12 207
Maximum likelihood estimation of time-inhomogeneous diffusions 0 0 1 101 0 2 11 261
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices 0 0 1 17 0 1 10 74
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models 0 0 0 74 2 2 5 182
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 4 119 1 3 19 389
Short Rate Dynamics and Regime Shifts* 0 0 1 13 0 0 3 69
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives 0 0 0 112 0 0 8 337
Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? 0 0 1 70 0 0 5 212
Total Journal Articles 0 3 17 1,151 8 21 138 3,453


Statistics updated 2020-09-04