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Nonparametric estimation of state-price densities implicit in interest rate cap prices

Li, Haitao; Zhao, Feng - In: The review of financial studies 22 (2009) 11, pp. 4335-4376

Persistent link: https://www.econbiz.de/10003896303

Interest rate caps "smile" too! : but can the LIBOR market models capture the smile?

Jarrow, Robert A.; Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 345-382

Persistent link: https://www.econbiz.de/10003425910

Unspanned stochastic volatility : evidence from hedging interest rate derivatives

Li, Haitao; Zhao, Feng - In: The journal of finance : the journal of the American … 61 (2006) 1, pp. 341-378

Persistent link: https://www.econbiz.de/10003302340

Essays on empirical term structure modeling

Zhao, Feng - 2004

Persistent link: https://www.econbiz.de/10003387673

Unspanned global macro risks in bond returns

Zhao, Feng; Zhou, Guofu; Zhum, Xiaoneng - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7825-7843

Persistent link: https://www.econbiz.de/10012815767

Unspanned Global Macro Risks in Bond Returns

Zhao, Feng - 2020

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of real-time macro variables that are not subject to revisions, wefind that global macro factors have predictive power for bond returns unspanned by yield factors.Furthermore, we...

Persistent link: https://www.econbiz.de/10012856793

Short rate dynamics and regime shifts

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

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

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 tale of two yield curves : modeling the joint term structure of dollar and euro interest rates

Egorov, Alexej V.; Li, Haitao; Ng, David Tat-chee - In: Journal of econometrics 162 (2011) 1, pp. 55-70

Persistent link: https://www.econbiz.de/10009270706

Validating forecasts of the joint probability density of bond yields : can affine models beat random walk?

Egorov, Alexej V.; Hong, Yongmiao; Li, Haitao - In: Journal of econometrics 135 (2006) 1/2, pp. 255-284

Persistent link: https://www.econbiz.de/10003376084