Xiaoxia Ye

University of Liverpool Management School

Chatham Street

Liverpool, L69 7ZH

United Kingdom

SCHOLARLY PAPERS

12

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CITATIONS
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7

Scholarly Papers (12)

1.

Exploring Mispricing in the Term Structure of CDS Spreads

Forthcoming, Review of Finance
Number of pages: 104 Posted: 06 Nov 2015 Last Revised: 19 Mar 2018
Robert A. Jarrow, Haitao Li, Xiaoxia Ye and May Hu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Cheung Kong Graduate School of Business, University of Liverpool Management School and Deakin University
Downloads 568 (46,509)
Citation 5

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Credit default swaps, mispricing, statistical arbitrage, affine models, market-neutral strategy, hedge funds

2.

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

Number of pages: 39 Posted: 14 May 2019 Last Revised: 15 Jul 2019
University of Bath - School of Management, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 294 (101,742)

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Asset allocation, stock selection, mean-variance, naive diversification, portfolio theory

3.

Hedge Fund Strategies, Performance & Diversification: A Portfolio Theory & Stochastic Discount Factor Approach

Number of pages: 50 Posted: 03 Jun 2019 Last Revised: 18 Jun 2019
University of Bath - School of Management, University of Bath - School of Management, Aston University - Aston Business School, University of Reading - ICMA Centre and University of Liverpool Management School
Downloads 195 (153,563)

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Hedge funds, portfolio diversification, Black-Litterman, Bayes-Stein, stochastic discount factors

4.

How Does the Market View Bank Regulatory Capital Forbearance Policies?

Number of pages: 72 Posted: 10 Dec 2014 Last Revised: 21 Feb 2017
Van Son Lai and Xiaoxia Ye
Université Laval and University of Liverpool Management School
Downloads 189 (157,928)
Citation 1

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Bank regulatory closure rules or policy parameter, bank insolvency, regulatory forbearance, market-based closure rules, financial crises

5.

Modeling Municipal Yields with (and without) Bond Insurance

Forthcoming, Management Science, Claremont McKenna College Robert Day School of Economics and Finance Research Paper
Number of pages: 61 Posted: 12 Oct 2015 Last Revised: 30 Oct 2018
University of Queensland - Business School, University of California, Berkeley - Haas School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance
Downloads 135 (210,232)

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Municipal bonds; bond insurance; monoline; default risk; liquidity risk; term structure modeling

6.

Counter-Credit-Risk Yield Spreads: A Puzzle in China’s Corporate Bond Market

Forthcoming in International Review of Finance
Number of pages: 72 Posted: 17 Jan 2014 Last Revised: 16 Jan 2016
Jian Luo, Xiaoxia Ye and May Hu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), University of Liverpool Management School and Deakin University
Downloads 103 (256,696)

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China’s Corporate Bond Market, Credit Risk, Term Structure of Yields

7.

Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective

Claremont McKenna College Robert Day School of Economics and Finance Research Paper No. 2817599
Number of pages: 32 Posted: 04 Aug 2016
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 62 (346,495)

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

8.

Applying Linear Realization Theory to HJM Markovian Representation

Posted: 16 Sep 2009
Xiaoxia Ye
University of Liverpool Management School
Downloads 53 (373,603)

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HJM, Finite Dimensional Realization, Markovian Representation, Hump shape volatility, Linear Realization Theory, State Space framework, Kalman Filter

9.

Are Market Views on Banking Industry Useful for Forecasting Economic Growth?

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 33 Posted: 18 Nov 2018
Van Son Lai, Xiaoxia Ye and Lu Zhao
Université Laval, University of Liverpool Management School and Stockholm University - Stockholm Business School
Downloads 14 (550,050)
Citation 1

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Bank regulation, Regulatory forbearance, Forecasting, Economic growth

10.

Counter‐Credit‐Risk Yield Spreads: A Puzzle in China's Corporate Bond Market

International Review of Finance, Vol. 16, Issue 2, pp. 203-241, 2016
Number of pages: 39 Posted: 03 Jun 2016
Jian Luo, Xiaoxia Ye and May Hu
Xiamen University - Wang Yanan Institute for Studies in Economics (WISE), University of Liverpool Management School and Deakin University
Downloads 0 (661,710)
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11.

A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence

Posted: 02 Oct 2012 Last Revised: 24 Feb 2019
Haitao Li, Xiaoxia Ye and Fan Yu
University of Michigan - Stephen M. Ross School of Business, University of Liverpool Management School and Claremont McKenna College - Robert Day School of Economics and Finance

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Non-Markov; Gaussian Dynamic Term Structure Models; Excess Returns; International Bond Markets; Moving Averages; Forecasting

12.

A New Approach to Measuring Market Expectations and Term Premia

Journal of Fixed Income, Spring 2015, Vol. 24, No. 4: pp. 22-46
Posted: 27 Aug 2012 Last Revised: 21 Feb 2017
Xiaoxia Ye
University of Liverpool Management School

Abstract:

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term structure of interest rates, market expectations, short rate, LSAP, MEP, QE3