Access Statistics for Liuren Wu

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs 1 3 24 324 15 26 133 1,096
A no-arbitrage analysis of economic determinants of the credit spread term structure 6 12 31 203 12 25 101 546
Accouting for Biases in Black-Scholes 0 5 25 568 8 28 160 2,253
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 4 7 26 448 12 21 69 1,078
Asset Pricing Under The Quadratic Class 2 10 31 328 4 22 65 664
Contagion in Financial Markets 5 12 71 391 9 25 155 821
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 3 5 23 216 7 16 83 567
Design and Estimation of Affine Yield Models 2 4 22 198 4 13 47 568
Design and Estimation of Affine Yield Models 0 1 14 143 2 5 29 346
Design and Estimation of Quadratic Term Structure Models 4 8 37 437 11 21 80 1,158
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 0 2 5 112
Markov Chain Approximations For Term Structure Models 1 1 14 545 3 6 41 1,295
Predictable Changes in Yields and Forward Rates 1 1 15 410 4 11 67 1,681
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 3 10 39 418 14 38 109 1,008
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 7 119 2 6 27 355
Static Hedging of Standard Options 20 30 108 963 55 98 348 2,676
Stochastic Skew in Currency Options 4 11 52 444 15 49 249 1,270
Taking Positive Interest Rates Seriously 1 1 9 89 2 7 50 277
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 4 20 83 1,463 38 94 371 5,659
The Finite Moment Log Stable Process and Option Pricing 2 14 57 401 5 24 114 927
The Potential Approach to Bond and Currency Pricing 2 6 15 462 4 11 41 1,511
Time-Changed Levy Processes and Option Pricing 7 16 55 1,060 9 31 122 2,028
Time-Varying Arrival Rates of Informed and Uninformed Trades 3 10 58 475 12 22 117 1,095
Uncovered Interest Rate Parity Over the Past Two Centuries 16 25 91 1,509 36 61 264 5,417
Variance Risk Premia 5 8 39 476 17 38 138 1,067
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 5 18 64 487 13 45 181 893
What Type of Process Underlies Options? A Simple Robust Test 2 8 32 290 8 19 75 519
Total Working Papers 103 246 1,042 12,867 321 764 3,241 36,887

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comprehensive analysis of the short-term interest-rate dynamics 0 2 7 27 2 4 11 58
Asset Pricing under the Quadratic Class 0 2 4 4 0 6 9 9
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 2 10 41 0 8 27 120
International capital asset pricing: Evidence from options 1 1 3 13 2 2 8 30
Jumps and Dynamic Asset Allocation 0 0 7 47 0 0 12 148
Predictable changes in yields and forward rates 1 2 10 118 2 4 24 260
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 12 35 0 1 36 120
Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes 1 2 9 18 4 12 25 81
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 1 4 11 27 4 16 53 97
Stochastic skew in currency options 2 4 7 20 3 8 23 62
The Finite Moment Log Stable Process and Option Pricing 0 1 10 52 5 6 37 144
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 1 1 5 21 4 6 15 59
Time-changed Levy processes and option pricing 1 2 8 125 2 11 39 341
Variance Risk Premiums 2 3 17 17 5 9 38 38
What Type of Process Underlies Options? A Simple Robust Test 0 1 4 22 0 2 10 67
Total Journal Articles 10 27 124 587 33 95 367 1,634

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Statistics updated 2009-11-04