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
Rank 21,134

SSRN RANKINGS

Top 21,134

in Total Papers Downloads

4,611

SSRN CITATIONS
Rank 2,280

SSRN RANKINGS

Top 2,280

in Total Papers Citations

180

CROSSREF CITATIONS

611

Scholarly Papers (9)

1.
Downloads 1,836 (17,912)
Citation 411

Forecasting the Term Structure of Government Bond Yields

Number of pages: 48 Posted: 03 Sep 2002
Francis X. Diebold and Canlin Li
University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 1,496 (24,067)
Citation 49

Abstract:

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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 Last Revised: 17 Dec 2022
Francis X. Diebold and Canlin Li
University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 340 (167,878)
Citation 52

Abstract:

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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 - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 831 (56,730)
Citation 9

Abstract:

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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

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 541 (98,534)
Citation 2

Abstract:

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

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 - Department of Economics, University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University
Downloads 390 (144,210)
Citation 2

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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 2022
University of Pennsylvania - Department of Economics, University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management and Emory University
Downloads 134 (403,191)
Citation 22

Abstract:

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5.

The Skewness Premium and the Asymmetric Volatility Puzzle

Number of pages: 57 Posted: 11 Jun 2004
Canlin Li
University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 404 (139,415)
Citation 4

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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 178 (317,825)
Citation 1

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
Board of Governors of the Federal Reserve System and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 175 (322,679)
Citation 1

Abstract:

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8.

Alternative Estimates of the Presidential Premium

Number of pages: 42 Posted: 28 Jan 2005
Sean D. Campbell and Canlin Li
Board of Governors of the Federal Reserve System and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 122 (432,212)
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
Board of Governors of the Federal Reserve System and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management

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