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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

Persistent link: https://www.econbiz.de/10008648200

Investment restrictions and the cross-border flow of information : some empirical evidence

Bailey, Warren; Mao, Connie X.; Sirodom, Kulpatra - In: Journal of international money and finance 26 (2007) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10003416783

Time-varying risk aversion and dynamic portfolio allocation

Li, Haitao; Wu, Chongfeng; Zhou, Chunyang - In: Operations research 70 (2022) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10012820635

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Li, Haitao; Wu, Chunchi; Shi, Jian - In: China finance review international 7 (2017) 2, pp. 134-162

Persistent link: https://www.econbiz.de/10011797776

Macroeconomic Risks and Asset Pricing : Evidence from a Dynamic Stochastic General Equilibrium Model

Li, Erica X. N. - 2018

We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time-series of four latent...

Persistent link: https://www.econbiz.de/10012933804

Macroeconomic risks and asset pricing : evidence from a dynamic stochastic general equilibrium model

Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3585-3604

Persistent link: https://www.econbiz.de/10012062716