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Hedge fund performance evaluation under the stochastic discount factor framework

Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 1, pp. 231-257

Persistent link: https://www.econbiz.de/10011577558

Nonparametric specification testing for continuous-time models with applications to term structure of interest rates

Hong, Yongmiao; Li, Haitao - In: The review of financial studies 18 (2005) 1, pp. 37-84

Persistent link: https://www.econbiz.de/10002646532

Unspanned stochastic volatility : evidence from hedging interest rate derivatives

Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378

Persistent link: https://www.econbiz.de/10003302340

Stochastic single-machine scheduling with learning effect

Li, Haitao - In: IEEE transactions on engineering management : EM 64 (2017) 1, pp. 94-102

Persistent link: https://www.econbiz.de/10011649399

The impacts of kurtosis on risk stationarity : some empirical evidence

Lee, Cheng F. - In: The financial review : the official publication of the … 20 (1985) 4, pp. 263-269

Persistent link: https://www.econbiz.de/10001014875

Stochastic volatility, liquidity and intraday information flow

Li, Jinliang; Wu, Chunchi - In: Applied economics letters 18 (2011) 16/18, pp. 1511-1515

Persistent link: https://www.econbiz.de/10009383452

Solving stochastic resource-constrained project scheduling problems by closed-loop approximate dynamic programming

Li, Haitao; Womer, Norman K. - In: European journal of operational research : EJOR 246 (2015) 1, pp. 20-33

Persistent link: https://www.econbiz.de/10011341198

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

Persistent link: https://www.econbiz.de/10001684716

Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective

Li, Haitao - 2020

In this paper, we show that most existing Gaussian dynamic term structure models (GDTSMs) can be nested as special cases under a unified Heath-Jarrow-Morton (HJM)-based framework of GDTSM construction. Our study provides not only a systematic way to examine the commonality of many seemingly...

Persistent link: https://www.econbiz.de/10012855292

Multiperiod stochastic resource planning in professional services organizations

Solomon, Stanislaus; Li, Haitao; Womer, Keith; Santos, … - In: Decision sciences : DS 50 (2019) 6, pp. 1281-1318

Persistent link: https://www.econbiz.de/10012212388