Haitao Li

Cheung Kong Graduate School of Business

Professor

Oriental Plaza, Tower E3

One East Chang An Avenue

Beijing, 100738

China

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 49,596

SSRN RANKINGS

Top 49,596

in Total Papers Downloads

1,270

SSRN CITATIONS

4

CROSSREF CITATIONS

6

Scholarly Papers (5)

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
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
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 219 (189,540)
Citation 2

Abstract:

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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
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
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