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Li, Haitao; Xu, Yuewu - In: International review of finance 9 (2009) 3, pp. 211-241

Persistent link: https://www.econbiz.de/10003893641

MCMC estimation of Lévy jump models using stock and option prices

Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422

Persistent link: https://www.econbiz.de/10009155205

No-arbitrage taylor rules with switching regimes

Li, Haitao; Li, Tao; Yu, Cindy - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2278-2294

Persistent link: https://www.econbiz.de/10010202802

A Bayesian analysis of return dynamics with Lévy jumps

Li, Haitao; Wells, Martin T.; Yu, Cindy L. - In: The review of financial studies 21 (2008) 5, pp. 2345-2378

Persistent link: https://www.econbiz.de/10003765224

No-Arbitrage Taylor Rules with Switching Regimes

Li, Haitao - 2014

We study the time-varying nature of US monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term structure model. In this model, the spot rate follows the Taylor rule and government bonds at different maturities are priced by no-arbitrage. We allow the...

Persistent link: https://www.econbiz.de/10013065078

No-Arbitrage Taylor Rules with Switching Regimes

Li, Haitao - 2012

Persistent link: https://www.econbiz.de/10013115329

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

Multiperiod stochastic resource planning in professional services organizations

Solomon, Stanislaus; Li, Haitao; Womer, Keith; Santos, … - In: Decision sciences : DS 50 (2019) 6, pp. 1281-1318

Persistent link: https://www.econbiz.de/10012212388