Return Dynamics with Lévy Jumps: Evidence from Stock and Option Prices (with M. Wells and L. Yu), Mathematical Finance forthcoming.
Investing in Talents: Manager Characteristics and Hedge Fund Performances (with R. Zhao and X. Zhang), Journal of Financial and Quantitative Analysis forthcoming.
Short Rate Dynamics and Regime Shifts (with Y. Xu), International Review of Financeforthcoming.
Evaluating Asset Pricing Models Using the Second Hansen-Jagannathan Distance (with Y. Xu and X. Zhang), Journal of Financial Economics forthcoming.
Nonparametric Estimation of State-Price Densities Implicit in Interest Rate Cap Prices (with F. Zhao), Review of Financial Studies forthcoming.
Reduced-Form Valuation of Callable Corporate Bonds: Theory and Evidence (with R. Jarrow, S. Liu, and C. Wu), Journal of Financial Economics forthcoming.
Are Liquidity and Information Risks Priced in the Treasury Bond Market? (with Y. He, J. Wang, and C. Wu), Journal of Finance forthcoming.
A Tale of Two Yield Curves: Modeling the Joint Term Structure of Dollar and Euro Interest Rates (with A. Egorov and D. Ng) Journal of Econometrics forthcoming.
A Bayesian Analysis of Return Dynamics with Lévy Jumps (with M. Wells and L. Yu), Review of Financial Studies 21, 2345-2378, 2008.
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts: Evidence from Intraday Foreign Exchange Rates (with Y. Hong and F. Zhao), Journal of Econometrics 141, 736-776, 2007.
Interest Rate Caps "Smile" Too! But Can the LIBOR Market Models Capture Smile? (with R. Jarrow and F. Zhao), Journal of Finance 62, 345-382, 2007.
Validating Forecasts of the Joint Probability Density of Bond Yields: Can Affine Models Beat Random Walk? (with A. Egorov and Y. Hong), Journal of Econometrics 135, 255-284, 2006.
Unspanned Stochastic Volatility: Evidence from Hedging Interest Rate Derivatives (with F. Zhao), Journal of Finance 61, 341-378, 2006.
Is Investor Misreaction Economically Significant? Evidence from Short- and Long-Term S&P 500 Index Options (with C. Cao and F. Yu), Journal of Futures Markets 25, 717-752, 2005.
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (with Y. Hong), Review of Financial Studies 18, 37-84, 2005.
Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models (with Y. Hong and F. Zhao), Journal of Business and Economic Statistics 22, 457-473, 2004.
Regulation FD and Earnings Information: Market, Analyst, and Corporate Responses (with W. Bailey, C. Mao, and R. Zhong), Journal of Finance 58, 2489-2516, 2003.
Maximum Likelihood Estimation of Time-Inhomogeneous Diffusions (with A. Egorov and Y. Xu),Journal of Econometrics 114, 107-139, 2003.
Corporate Use of Interest Rate Swaps: Theory and Evidence (with C. Mao), Journal of Banking and Finance 27, 1511-1538, 2003.
Survival Bias and the Equity Premium Puzzle (with Y. Xu), Journal of Finance 57, 1981-1996, 2002.
Pricing of Swaps with Default Risk, Review of Derivatives Research 2, 231-250, 1998.
Working Papers
Hedge Fund Performance Evaluation: A Stochastic Discount Factor Approach (with W. Bailey and X. Zhang).
Estimating Liquidity Premium of Corporate Bonds Using the Spread Information in On- and Off-the-Run Treasury Bonds (with J. Shi and C. Wu).
