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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

Credit derivatives and corporate default prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - In: Journal of banking & finance 138 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013461780

Modeling Municipal Yields with (and without) Bond Insurance

Chun, Albert Lee - 2018

We develop an intensity-based model of municipal yields, making simultaneous use of the CDS premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by exploiting the dramatic decline in credit quality of the...

Persistent link: https://www.econbiz.de/10012936852

A new approach to measuring market expectations and term premia

Ye, Xiaoxia - In: The journal of fixed income 24 (2015) 4, pp. 22-46

Persistent link: https://www.econbiz.de/10011293464

Hedge fund strategies, performance &diversification : a portfolio theory & stochastic discount factor approach

Newton, David P.; Platanakis, Emmanouil; Stafylas, Dimitrios - In: The British accounting review : the journal of the … 53 (2021) 5, pp. 1-22

Persistent link: https://www.econbiz.de/10013041238

Horses for courses : mean-variance for asset allocation and 1/N for stock selection

Platanakis, Emmanouil; Sutcliffe, Charles M. S.; Ye, Xiaoxia - In: European journal of operational research : EJOR 288 (2021) 1, pp. 302-317

Persistent link: https://www.econbiz.de/10012496562

Term structure, market expectations of the short rate, and expected inflation

Luo, Jian; Ye, Xiaoxia - In: New methods in fixed income modeling : fixed income modeling, (pp. 3-34). 2018

Persistent link: https://www.econbiz.de/10012011569

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

Are market views on banking industry useful for forecasting economic growth?

Lai, Van Son; Ye, Xiaoxia; Zhao, Lu - In: Pacific-Basin finance journal 57 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012170575

Counter-credit-risk yield spreads : a puzzle in China's corporate bond market

Luo, Jian; Ye, Xiaoxia; Hu, May - In: International review of finance 16 (2016) 2, pp. 203-241

Persistent link: https://www.econbiz.de/10011713702

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