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 1 360 0 0 4 1,238
A no-arbitrage analysis of economic determinants of the credit spread term structure 0 0 0 269 0 0 1 777
Accouting for Biases in Black-Scholes 0 0 2 633 0 0 14 2,590
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 0 0 0 484 0 0 5 1,220
Asset Pricing Under The Quadratic Class 0 0 0 390 0 1 3 832
Contagion in Financial Markets 0 0 0 529 0 2 7 1,179
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 240 3 6 17 743
Design and Estimation of Affine Yield Models 0 0 0 172 0 0 1 450
Design and Estimation of Affine Yield Models 0 0 0 220 2 2 3 637
Design and Estimation of Quadratic Term Structure Models 0 0 0 479 1 2 5 1,302
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 0 0 3 153
Markov Chain Approximations For Term Structure Models 0 0 0 587 0 1 6 1,413
Predictable Changes in Yields and Forward Rates 0 0 1 451 0 1 13 1,914
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 0 0 1 491 1 3 9 1,377
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 0 145 1 2 7 530
Static Hedging of Standard Options 0 0 1 1,222 0 3 15 3,611
Stochastic Skew in Currency Options 0 0 0 527 2 3 12 1,605
Taking Positive Interest Rates Seriously 0 0 0 113 0 0 4 389
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 0 0 0 1,518 0 5 11 6,077
The Finite Moment Log Stable Process and Option Pricing 0 1 1 474 1 4 10 1,203
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 2 5 1,592
Time-Changed Levy Processes and Option Pricing 0 0 4 1,194 1 10 29 2,415
Time-Varying Arrival Rates of Informed and Uninformed Trades 1 2 3 594 2 8 27 1,510
Uncovered Interest Rate Parity Over the Past Two Centuries 1 3 11 1,686 4 8 33 6,006
Variance Risk Premia 0 0 2 547 0 1 9 1,361
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 0 0 3 580 0 1 12 1,174
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 327 0 0 1 714
Total Working Papers 2 6 30 14,720 18 65 266 44,012


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 28 0 0 4 82
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 0 0 1 18 0 2 7 69
A Simple Robust Link Between American Puts and Credit Protection 0 0 0 19 0 1 4 81
A comprehensive analysis of the short-term interest-rate dynamics 0 0 1 42 1 2 9 149
Analyzing volatility risk and risk premium in option contracts: A new theory 1 3 16 67 4 12 69 229
Anchoring Credit Default Swap Spreads to Firm Fundamentals 0 0 2 15 0 1 7 47
Asset Pricing under the Quadratic Class 1 1 4 38 1 2 10 109
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 1 62 2 7 21 289
Design and Estimation of Quadratic Term Structure Models 0 0 0 1 0 0 3 9
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* 1 1 1 17 1 2 9 56
Estimating risk-return relations with analysts price targets 0 0 0 2 0 2 4 21
Imports, Exports, Dollar Exposures, and Stock Returns 0 0 1 6 1 3 7 54
International capital asset pricing: Evidence from options 0 0 0 21 1 2 10 82
Jumps and Dynamic Asset Allocation 0 0 0 57 0 0 2 215
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 1 12 0 1 7 43
Macroeconomic releases and the interest rate term structure 0 0 2 78 1 1 7 220
Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates 0 0 0 13 0 2 4 58
Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions 0 0 2 4 2 4 10 17
Predictability of Interest Rates and Interest-Rate Portfolios 0 0 0 30 0 1 5 115
Predictable changes in yields and forward rates 0 0 3 181 1 2 15 495
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 0 57 2 3 8 208
Simple Robust Hedging with Nearby Contracts 0 1 1 1 0 1 2 6
Static Hedging of Standard Options 0 0 0 2 0 0 5 10
Static Hedging of Standard Options 0 0 1 13 0 0 4 44
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics 1 1 4 7 1 2 14 28
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 0 76 0 1 6 318
Stochastic skew in currency options 0 2 2 122 1 6 15 377
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 1 12 58 4 11 44 307
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period 0 2 3 18 0 3 7 80
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 9 40 0 1 13 139
The role of exchange rates in intertemporal risk-return relations 0 0 0 9 0 0 0 62
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 43 0 0 4 151
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 1 6 94 1 3 20 339
Time-changed Levy processes and option pricing 2 5 15 213 3 6 29 642
Uncovered interest-rate parity over the past two centuries 0 1 17 316 2 8 52 900
Variance Risk Premiums 1 2 10 116 3 6 37 407
Variance Risk Premiums 0 0 1 1 0 2 7 15
Variance dynamics: Joint evidence from options and high-frequency returns 0 0 1 34 0 0 8 143
Variance swaps on time-changed Lévy processes 0 0 0 12 0 0 2 58
Total Journal Articles 7 21 118 1,943 32 100 491 6,674


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Taking Positive Interest Rates Seriously 0 0 0 0 0 1 7 11
Total Chapters 0 0 0 0 0 1 7 11


Statistics updated 2020-11-03