Yuewu Xu

Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

730 Third Avenue

New York, NY 10017-3206

United States

SCHOLARLY PAPERS

5

DOWNLOADS

1,975

TOTAL CITATIONS
Rank 38,771

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Top 38,771

in Total Papers Citations

26

Scholarly Papers (5)

1.

Can Survival Bias Explain the 'Equity Premium Puzzle'?

Number of pages: 33 Posted: 15 May 1999
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business
Downloads 693 (78,045)
Citation 3

Abstract:

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2.

Short Rate Dynamics and Regime Shifts

Number of pages: 45 Posted: 12 Oct 2002
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business
Downloads 460 (129,879)
Citation 5

Abstract:

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Regime Switching, Likelihood Ratio Test, Nonlinear Drift

3.
Downloads 329 (189,714)
Citation 4

Survival Bias and the Equity Premium Puzzle

Number of pages: 23 Posted: 25 Feb 2002
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business
Downloads 329 (188,136)
Citation 4

Abstract:

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survival bias, equity premium

Survival Bias and the Equity Premium Puzzle

Posted: 27 May 2002
Yuewu Xu and Haitao Li
Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and University of Michigan - Stephen M. Ross School of Business

Abstract:

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survival bias, equity premium

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions

Number of pages: 51 Posted: 17 Sep 2002
Alexei V. Egorov, Haitao Li and Yuewu Xu
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)
Downloads 264 (237,168)
Citation 11

Abstract:

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Maximum likelihood estimation, time-inhomogeneous diffusion, transition density, Hermite expansion

Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions

Posted: 17 Sep 2002
Alexei V. Egorov, Haitao Li and Yuewu Xu
West Virginia University - College of Business & Economics, University of Michigan - Stephen M. Ross School of Business and Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF)

Abstract:

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Maximum likelihood estimation, time-inhomogeneous diffusion, transition density, Hermite expansion

5.

Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance

Number of pages: 46 Posted: 25 Mar 2008
Haitao Li, Yuewu Xu and Xiaoyan Zhang
University of Michigan - Stephen M. Ross School of Business, Teachers Insurance and Annuity Association College Retirement Equities Fund (TIAA-CREF) and Tsinghua University - PBC School of Finance
Downloads 229 (274,754)
Citation 3

Abstract:

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Stochastic Discount Factor, Specification Tests, Model Selection, HJ distance, Arbitrage