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Publications

Selected publications

  1. Modeling Municipal Yields With (and Without) Bond Insurance (Journal article - 2019)
  2. Exploring Mispricing in the Term Structure of CDS Spreads (Journal article - 2019)
  3. How Does the Stock Market View Bank Regulatory Capital Forbearance Policies? (Journal article - 2020)
  4. Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection (Journal article - 2021)
  5. Unifying Gaussian Dynamic Term Structure Models from a Heath-Jarrow-Morton Perspective (Journal article - 2020)
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2025

Illiquidity, R&D Investment, and Stock Returns

Ahmed, S., Bu, Z., & Ye, X. (2023). Illiquidity, R&D Investment, and Stock Returns. JOURNAL OF MONEY CREDIT AND BANKING. doi:10.1111/jmcb.13053

DOI
10.1111/jmcb.13053
Journal article

Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?

Hasselgren, A., Hou, A. J., Suardi, S., Xu, C., & Ye, X. (2025). Do oil price forecast disagreement of survey of professional forecasters predict crude oil return volatility?. International Journal of Forecasting, 41(1), 141-152. doi:10.1016/j.ijforecast.2024.04.005

DOI
10.1016/j.ijforecast.2024.04.005
Journal article

2024

2023

2022

2021

Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

Platanakis, E., Sutcliffe, C., & Ye, X. (2021). Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 288(1), 302-317. doi:10.1016/j.ejor.2020.05.043

DOI
10.1016/j.ejor.2020.05.043
Journal article

2020

How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?

LAI, V. S., & YE, X. (2020). How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?. Journal of Money, Credit and Banking, 52(8), 1873-1907. doi:10.1111/jmcb.12692

DOI
10.1111/jmcb.12692
Journal article

Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective

Li, H., Ye, X., & Yu, F. (2020). Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. European Journal of Operational Research, 286(3), 1153-1167. doi:10.1016/j.ejor.2020.04.015

DOI
10.1016/j.ejor.2020.04.015
Journal article

2019

2018

Term Structure, Market Expectations of the Short Rate, and Expected Inflation

Luo, J., & Ye, X. (2018). Term Structure, Market Expectations of the Short Rate, and Expected Inflation. In Contributions to Management Science (pp. 3-34). Springer International Publishing. doi:10.1007/978-3-319-95285-7_1

DOI
10.1007/978-3-319-95285-7_1
Chapter

Term structure, market expectations of the short rate, and expected inflation

Luo, J., & Ye, X. (2018). Term structure, market expectations of the short rate, and expected inflation. In Contributions to Management Science (pp. 3-34). doi:10.1007/978-3-319-95285-7_1

DOI
10.1007/978-3-319-95285-7_1
Chapter

2016

Optimizing enterprise risk management: a literature review and critical analysis of the work of Wu and Olson

Choi, Y., Ye, X., Zhao, L., & Luo, A. C. (2016). Optimizing enterprise risk management: a literature review and critical analysis of the work of Wu and Olson. ANNALS OF OPERATIONS RESEARCH, 237(1-2), 281-300. doi:10.1007/s10479-015-1789-5

DOI
10.1007/s10479-015-1789-5
Journal article

2015

A New Approach to Measuring Market Expectations and Term Premia

Ye, X. (2015). A New Approach to Measuring Market Expectations and Term Premia. The Journal of Fixed Income, 24(4), 22-46. doi:10.3905/jfi.2015.24.4.022

DOI
10.3905/jfi.2015.24.4.022
Journal article