Haitao Li

Cheung Kong Graduate School of Business

Professor

Oriental Plaza, Tower E3

One East Chang An Avenue

Beijing, 100738

China

  • Cheung Kong Graduate School of Business

SCHOLARLY PAPERS

5

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Top 49,596

in Total Papers Downloads

1,270

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (5)

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1.

Exploring Mispricing in the Term Structure of CDS Spreads

Forthcoming, Review of Finance
Number of pages: 104 Posted: 06 Nov 2015 Last Revised: 01 Aug 2019
Robert A. Jarrow, Haitao Li, Xiaoxia Ye and May Hu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Liverpool Management School and Deakin University
Downloads 673 (53,621)
Citation 11

Abstract:

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Credit default swaps, mispricing, statistical arbitrage, affine models, market-neutral strategy, hedge funds

2.

Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Number of pages: 47 Posted: 08 Jun 2017 Last Revised: 26 Jan 2018
Erica X. N. Li, Haitao Li, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 219 (189,540)
Citation 2

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DSGE model, Bayesian MCMC estimation, stock returns, neutral technology shock, investment-specific technology shock, monetary policy shock, risk shock

3.

Do Dollar-Denominated Emerging Market Corporate Bonds Insure Foreign Exchange Risk?

Number of pages: 44 Posted: 10 Jun 2015 Last Revised: 12 Jul 2019
Stefanos Delikouras, Robert F. Dittmar and Haitao Li
University of Miami - Department of Finance, University of Michigan, Stephen M. Ross School of Business and Cheung Kong Graduate School of Business
Downloads 186 (219,990)

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Emerging market debt, default risk, exchange rate risk

4.

Facing an Arbitrage Opportunity: Trade or Wait?

Number of pages: 30 Posted: 11 Dec 2014
Robert A. Jarrow, Haitao Li, Lai Wei and Yongpei Guan
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Florida and University of Florida
Downloads 111 (330,028)

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5.

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

Forthcoming, European Journal of Operational Research
Number of pages: 43 Posted: 04 Aug 2016 Last Revised: 13 Apr 2020
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 81 (402,717)
Citation 1

Abstract:

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Gaussian Dynamic Term Structure Models, HJM, Finite Dimensional Realizations, Interest Rate Derivatives