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Hedge fund performance evaluation under the stochastic discount factor framework

Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 1, pp. 231-257

Persistent link: https://www.econbiz.de/10011577558

A new measure of model misspecification with the no-arbitrage constraint : extending the second Hansen-Jagannathan distance

Xu, Yuewu - In: Review of quantitative finance and accounting 56 (2021) 3, pp. 917-938

Persistent link: https://www.econbiz.de/10012498599

Extending the Hansen-Jagannathan distance measure of model misspecification

Xu, Yuewu; Yao, Xiangkun - In: Finance research letters 29 (2019), pp. 384-392

Persistent link: https://www.econbiz.de/10012419240

A new representation of the risk-neutral distribution and its applications

Cui, Zhenyu; Xu, Yuewu - In: Quantitative finance 22 (2022) 5, pp. 817-834

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Empirical Ross recovery without discretization

Golec, Joseph; Xu, Yuewu; Yao, Xiangkun - In: The financial review : the official publication of the … 57 (2022) 2, pp. 345-367

Persistent link: https://www.econbiz.de/10013189517

Spot asset carry cost rates and futures hedge ratios

Leistikow, Dean; Chen, Ren-Raw; Xu, Yuewu - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1741-1779

Persistent link: https://www.econbiz.de/10013191996

Evaluating asset pricing models using the second Hansen-Jagannathan distance

Li, Haitao; Xu, Yuewu; Zhang, Xiaoyan - In: Journal of Financial Economics 97 (2010) 2, pp. 279-301

We develop a specification test and a sequence of model selection procedures for non-nested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods...

Persistent link: https://www.econbiz.de/10008488782

Maximum likelihood estimation of time-inhomogeneous diffusions

Egorov, Alexei V.; Li, Haitao; Xu, Yuewu - In: Journal of Econometrics 114 (2003) 1, pp. 107-139

Persistent link: https://www.econbiz.de/10005192261

Optimizing the capital rationing decision with uncertain returns

Mai, Liuqing; Li, Haitao - In: The engineering economist : a journal devoted to the … 61 (2016) 2, pp. 128-143

Persistent link: https://www.econbiz.de/10011499113

CDS-bond basis and bond return predictability

Kim, Gi H.; Li, Haitao; Zhang, Weina - In: Journal of empirical finance 38 (2016), pp. 307-337

Persistent link: https://www.econbiz.de/10011664711