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~person:"Li, Haitao"
~person:"Longstaff, Francis A."
~type_genre:"Article in journal"
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Search: "Yield curve"
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22
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8
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4
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Li, Haitao
Longstaff, Francis A.
Rudebusch, Glenn D.
31
Jarrow, Robert A.
23
Batten, Jonathan A.
19
Christensen, Jens H. E.
19
Akram, Tanweer
17
Gupta, Rangan
17
Monfort, Alain
16
Wu, Liuren
16
Rebonato, Riccardo
15
Singleton, Kenneth J.
15
Umar, Zaghum
15
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15
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15
Chen, Ren-Raw
14
Chiarella, Carl
14
Fabozzi, Frank J.
14
Gouriéroux, Christian
14
Thornton, Daniel L.
14
Almeida, Caio
13
Chen, Son-nan
13
Goldstein, Robert S.
13
Nowman, Kalid Ben
13
Schwartz, Eduardo S.
13
Artus, Patrick
12
Bauer, Michael D.
12
Cebula, Richard J.
12
Collin-Dufresne, Pierre
12
Filipović, Damir
12
Sarno, Lucio
12
Spencer, Peter D.
12
Tzavalis, Elias
12
Wu, Chunchi
12
Caporale, Guglielmo Maria
11
Chernov, Mikhail
11
Favero, Carlo A.
11
Guidolin, Massimo
11
Ito, Takayasu
11
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11
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The journal of finance : the journal of the American Finance Association
6
Journal of financial economics
4
Journal of econometrics
2
The journal of fixed income
2
China finance review international
1
European journal of operational research : EJOR
1
International review of finance
1
Journal of empirical finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Review of finance : journal of the European Finance Association
1
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1
The review of financial studies
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ECONIS (ZBW)
22
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22
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1
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
2
Exploring mispricing in the term structure of CDS spreads
Jarrow, Robert A.
;
Li, Haitao
;
Ye, Xiaoxia
;
Hu, May
- In:
Review of finance : journal of the European Finance …
23
(
2019
)
1
,
pp. 161-198
Persistent link: https://www.econbiz.de/10012035080
Saved in:
3
Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities
Li, Haitao
;
Wu, Chunchi
;
Shi, Jian
- In:
China finance review international
7
(
2017
)
2
,
pp. 134-162
Persistent link: https://www.econbiz.de/10011797776
Saved in:
4
CDS-bond basis and bond return predictability
Kim, Gi H.
;
Li, Haitao
;
Zhang, Weina
- In:
Journal of empirical finance
38
(
2016
),
pp. 307-337
Persistent link: https://www.econbiz.de/10011664711
Saved in:
5
No-arbitrage taylor rules with switching regimes
Li, Haitao
;
Li, Tao
;
Yu, Cindy
- In:
Management science : journal of the Institute for …
59
(
2013
)
10
,
pp. 2278-2294
Persistent link: https://www.econbiz.de/10010202802
Saved in:
6
A tale of two yield curves : modeling the joint term structure of dollar and euro interest rates
Egorov, Alexej V.
;
Li, Haitao
;
Ng, David Tat-chee
- In:
Journal of econometrics
162
(
2011
)
1
,
pp. 55-70
Persistent link: https://www.econbiz.de/10009270706
Saved in:
7
Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao
;
Zhao, Feng
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
Saved in:
8
Short rate dynamics and regime shifts
Li, Haitao
;
Xu, Yuewu
- In:
International review of finance
9
(
2009
)
3
,
pp. 211-241
Persistent link: https://www.econbiz.de/10003893641
Saved in:
9
Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?
Jarrow, Robert A.
;
Li, Haitao
;
Zhao, Feng
- In:
The journal of finance : the journal of the American …
62
(
2007
)
1
,
pp. 345-382
Persistent link: https://www.econbiz.de/10003425910
Saved in:
10
Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?
Egorov, Alexej V.
;
Hong, Yongmiao
;
Li, Haitao
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 255-284
Persistent link: https://www.econbiz.de/10003376084
Saved in:
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