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 0 0 0 361 1 2 2 1,247
A no-arbitrage analysis of economic determinants of the credit spread term structure 0 1 1 272 0 2 4 795
Accouting for Biases in Black-Scholes 0 1 2 642 1 2 7 2,619
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 0 0 0 486 0 0 2 1,234
Asset Pricing Under The Quadratic Class 0 0 2 395 0 1 5 848
Contagion in Financial Markets 0 0 0 531 0 0 1 1,192
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 240 0 0 0 766
Design and Estimation of Affine Yield Models 0 0 0 172 0 0 1 452
Design and Estimation of Affine Yield Models 0 0 0 220 0 0 2 644
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 0 1 2 1,307
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 0 0 0 157
Markov Chain Approximations For Term Structure Models 1 1 1 588 1 2 2 1,423
Predictable Changes in Yields and Forward Rates 0 1 2 456 1 2 3 1,929
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 0 1 2 493 0 1 3 1,392
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 0 146 0 3 3 537
Static Hedging of Standard Options 0 1 3 1,229 1 4 15 3,667
Stochastic Skew in Currency Options 0 0 0 528 0 1 2 1,637
Taking Positive Interest Rates Seriously 0 0 0 113 0 0 0 392
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 0 0 1 1,521 1 2 3 6,088
The Finite Moment Log Stable Process and Option Pricing 1 1 2 481 1 1 4 1,267
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 1 1 1,596
Time-Changed Levy Processes and Option Pricing 0 0 3 1,206 2 3 10 2,471
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 2 4 609 1 4 10 1,558
Uncovered Interest Rate Parity Over the Past Two Centuries 0 1 1 1,691 1 3 5 6,041
Using Machine Learning to Predict Realized Variance 0 0 1 61 0 0 12 82
Variance Risk Premia 0 0 3 554 0 9 17 1,403
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 0 0 1 591 0 0 1 1,201
What Type of Process Underlies Options? A Simple Robust Test 0 0 2 331 1 1 4 727
Total Working Papers 2 10 31 14,885 12 45 121 44,672

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives 0 0 1 32 0 0 2 98
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 0 0 0 23 0 0 2 81
A Simple Robust Link Between American Puts and Credit Protection 1 2 3 35 2 3 11 118
A comprehensive analysis of the short-term interest-rate dynamics 0 0 0 45 0 1 3 162
Analyzing volatility risk and risk premium in option contracts: A new theory 0 2 10 117 2 9 29 415
Anchoring Credit Default Swap Spreads to Firm Fundamentals 0 0 0 17 1 2 3 60
Asset Pricing under the Quadratic Class 0 0 1 45 0 0 1 130
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 62 0 0 2 395
Decomposing Long Bond Returns: A Decentralized Theory* 0 1 4 8 0 3 11 21
Design and Estimation of Quadratic Term Structure Models 0 0 1 2 0 0 2 17
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* 0 0 1 21 1 1 2 72
Estimating risk-return relations with analysts price targets 0 0 0 6 0 1 2 39
Imports, Exports, Dollar Exposures, and Stock Returns 0 0 0 9 0 2 2 74
International capital asset pricing: Evidence from options 0 0 0 21 0 0 2 167
Jumps and Dynamic Asset Allocation 0 0 0 57 0 0 0 220
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 0 13 0 1 3 54
Macroeconomic releases and the interest rate term structure 0 0 2 84 0 2 11 240
Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates 0 0 0 13 0 0 0 62
Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions 0 0 0 7 0 0 1 29
Option Profit and Loss Attribution and Pricing: A New Framework 0 0 6 47 0 4 26 239
Predictability of Interest Rates and Interest-Rate Portfolios 0 0 2 33 0 0 2 126
Predictable changes in yields and forward rates 0 1 1 186 0 1 5 512
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 3 60 0 0 5 217
Simple Robust Hedging with Nearby Contracts 1 2 7 15 2 4 15 50
Static Hedging of Standard Options 0 1 1 5 0 3 7 32
Static Hedging of Standard Options 0 0 1 16 0 1 3 58
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics 0 0 1 12 1 1 4 46
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 79 0 1 6 335
Stochastic skew in currency options 0 0 3 133 1 3 8 456
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 5 87 0 1 7 375
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period 0 0 0 21 0 1 3 90
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 0 1 2 24
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 2 49 0 1 6 169
The role of exchange rates in intertemporal risk-return relations 0 0 0 11 0 0 1 69
The shale revolution and shifting crude dynamics 0 0 0 2 1 1 2 17
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 2 2 4 50 2 2 6 171
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 1 3 108 3 7 13 402
Time-changed Levy processes and option pricing 0 0 7 242 0 3 21 734
Uncovered interest-rate parity over the past two centuries 2 3 7 349 3 4 16 999
Variance Risk Premiums 1 2 17 30 4 8 37 107
Variance Risk Premiums 1 2 14 155 4 6 33 518
Variance dynamics: Joint evidence from options and high-frequency returns 0 0 1 37 0 0 5 155
Variance swaps on time-changed Lévy processes 0 0 0 12 0 1 2 63
What Type of Process Underlies Options? A Simple Robust Test 1 1 1 41 1 2 8 217
Total Journal Articles 9 20 109 2,402 28 81 332 8,635

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Probabilistic Interpretation of Black Implied Volatility 0 1 2 7 1 2 5 18
Taking Positive Interest Rates Seriously 0 0 0 0 0 0 0 15
Total Chapters 0 1 2 7 1 2 5 33

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Statistics updated 2025-03-03