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 1 2 9 1 3 7 86
Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It? 0 0 0 638 0 0 1 1,944
Nonparametric specification testing for continuous-time models with application to spot interest rates 0 0 0 93 0 0 0 360
Total Working Papers 0 1 2 740 1 3 8 2,390


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 4 68 2 3 8 160
A tale of two yield curves: Modeling the joint term structure of dollar and euro interest rates 0 0 0 56 0 0 3 220
Are Liquidity and Information Risks Priced in the Treasury Bond Market? 0 0 2 158 1 3 8 415
Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates 0 0 1 43 0 0 2 148
Corporate use of interest rate swaps: Theory and evidence 0 0 0 134 0 1 1 354
Evaluating asset pricing models using the second Hansen-Jagannathan distance 0 2 5 73 0 2 11 253
Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile? 0 0 0 75 1 2 4 248
Investing in Talents: Manager Characteristics and Hedge Fund Performances 0 0 3 70 2 2 19 249
Maximum likelihood estimation of time-inhomogeneous diffusions 0 3 6 109 1 5 12 279
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices 0 0 1 18 0 0 3 81
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models 0 0 1 75 0 0 1 185
Reduced-form valuation of callable corporate bonds: Theory and evidence 0 0 5 130 1 4 18 428
Short Rate Dynamics and Regime Shifts* 0 0 0 13 0 0 0 69
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives 0 0 0 115 0 0 1 347
Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk? 0 0 2 73 0 0 3 219
Total Journal Articles 0 6 30 1,210 8 22 94 3,655


Statistics updated 2022-11-05