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

1,513

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 Exeter Business School - Department of Finance and Deakin University
Downloads 720 (68,019)
Citation 13

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 281 (204,111)
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, Rice University and Cheung Kong Graduate School of Business
Downloads 237 (241,772)

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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 141 (382,077)

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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: 11 Jul 2022
Haitao Li, Xiaoxia Ye and Fan Yu
Cheung Kong Graduate School of Business, University of Exeter Business School - Department of Finance and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 134 (397,713)
Citation 1

Abstract:

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