Canlin Li

University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management

Assistant Professor of Finance

Riverside, CA 92521

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 12,051

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3,613

CITATIONS
Rank 2,666

SSRN RANKINGS

Top 2,666

in Total Papers Citations

209

Scholarly Papers (9)

1.
Downloads 1,424 ( 11,390)
Citation 165

Forecasting the Term Structure of Government Bond Yields

PIER Working Paper No. 02-026
Number of pages: 48 Posted: 03 Sep 2002
Francis X. Diebold and Canlin Li
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE) and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 1,304 (12,862)
Citation 165

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Forecasting the Term Structure of Government Bond Yields

NBER Working Paper No. w10048
Number of pages: 43 Posted: 28 Oct 2003
Francis X. Diebold and Canlin Li
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE) and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 120 (216,971)
Citation 165

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2.

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

PIER Working Paper No. 06-017
Number of pages: 44 Posted: 21 Jun 2006
Francis X. Diebold, Lei Ji and Canlin Li
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE), University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE) and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 638 (37,030)
Citation 12

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Term structure; Yield curve; Factor model; Risk Management

3.

Understanding the Sources of Momentum Profits: Stock-Specific Component Versus Common-Factor Component

EFA 2004 Maastricht Meetings Paper No. 3629
Number of pages: 50 Posted: 19 Jul 2004
Qiang Kang and Canlin Li
The University of Hong Kong - School of Economics and Finance and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 485 (52,745)
Citation 2

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Momentum, time-varying risk, time-varying risk premium, stock-specific

4.

The Skewness Premium and the Asymmetric Volatility Puzzle

EFA 2004 Maastricht Meetings Paper No. 5400
Number of pages: 57 Posted: 11 Jun 2004
Canlin Li
University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 363 (74,872)
Citation 3

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Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

PIER Working Paper No. 07-030
Number of pages: 39 Posted: 03 Oct 2007
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE), University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University
Downloads 300 (92,432)
Citation 24

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Term Structure, Interest Rate, Dynamic Factor Model, Global Yield, World Yield, Bond Market

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

NBER Working Paper No. w13588
Number of pages: 44 Posted: 14 Nov 2007 Last Revised: 19 Aug 2010
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE), University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University
Downloads 55 (350,942)
Citation 24

Abstract:

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6.

Can a Risk-Based Factor Generate Momentum?

Number of pages: 43 Posted: 16 Mar 2007
Qiang Kang and Canlin Li
Florida International University (FIU) - Department of Finance and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 144 (187,171)

Abstract:

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Momentum, stock compositions, factor-related component, firm-specific component

7.

Per Capita Consumption, Luxury Consumption and the Presidential Puzzle: A Partial Resolution

Brown University Economics Working Paper No. 2003-18
Number of pages: 50 Posted: 18 May 2005
Sean D. Campbell and Canlin Li
U.S. Division of Monetary Affairs and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 131 (201,915)

Abstract:

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8.

Alternative Estimates of the Presidential Premium

FEDS Working Paper No. 2004-69
Number of pages: 42 Posted: 28 Jan 2005
Sean D. Campbell and Canlin Li
U.S. Division of Monetary Affairs and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 73 (298,784)
Citation 2

Abstract:

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Presidential puzzle, realized volatility, range based volatility

9.

Option Pricing with Unobserved and Regime-Switching Volatility

Posted: 04 May 1999
Sean D. Campbell and Canlin Li
U.S. Division of Monetary Affairs and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management

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