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 0 5 6 1,253
A no-arbitrage analysis of economic determinants of the credit spread term structure 0 0 0 272 1 8 18 813
Accouting for Biases in Black-Scholes 0 0 0 642 2 4 8 2,627
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 0 0 0 486 2 3 8 1,242
Asset Pricing Under The Quadratic Class 0 0 0 395 2 12 17 865
Contagion in Financial Markets 0 0 2 533 2 7 11 1,203
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 1 241 1 4 7 773
Design and Estimation of Affine Yield Models 0 0 1 173 0 5 6 458
Design and Estimation of Affine Yield Models 0 0 1 221 0 6 7 651
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 0 7 12 1,319
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 0 4 4 161
Markov Chain Approximations For Term Structure Models 0 0 0 588 1 3 6 1,429
Predictable Changes in Yields and Forward Rates 0 0 0 456 2 8 14 1,943
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 0 0 1 494 3 12 14 1,406
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 0 146 1 12 19 556
Static Hedging of Standard Options 0 1 3 1,232 5 16 34 3,701
Stochastic Skew in Currency Options 0 0 1 529 2 12 16 1,653
Taking Positive Interest Rates Seriously 0 0 0 113 0 4 7 399
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 0 0 1 1,522 1 7 9 6,097
The Finite Moment Log Stable Process and Option Pricing 0 0 0 481 8 13 18 1,285
The Potential Approach to Bond and Currency Pricing 0 0 0 488 1 4 5 1,601
Time-Changed Levy Processes and Option Pricing 0 0 0 1,206 1 9 16 2,487
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 1 610 2 5 8 1,566
Uncovered Interest Rate Parity Over the Past Two Centuries 0 1 1 1,692 3 9 15 6,056
Using Machine Learning to Predict Realized Variance 0 1 3 64 2 15 21 103
Variance Risk Premia 3 3 5 559 13 49 62 1,465
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 0 0 0 591 0 4 5 1,206
What Type of Process Underlies Options? A Simple Robust Test 0 0 1 332 0 18 25 752
Total Working Papers 3 6 22 14,907 55 265 398 45,070

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 0 32 0 1 2 100
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 1 1 1 24 2 4 7 88
A Simple Robust Link Between American Puts and Credit Protection 0 0 3 38 1 4 10 128
A comprehensive analysis of the short-term interest-rate dynamics 0 0 0 45 0 7 9 171
Analyzing volatility risk and risk premium in option contracts: A new theory 1 3 7 124 6 23 43 458
Anchoring Credit Default Swap Spreads to Firm Fundamentals 0 0 1 18 0 4 6 66
Asset Pricing under the Quadratic Class 0 0 0 45 0 6 11 141
Common Pricing of Decentralized Risk: A Linear Option Pricing Model 0 2 12 12 2 6 36 36
Cross-Sectional Variation of Option-Implied Volatility Skew 0 2 4 9 2 11 19 32
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 62 0 2 6 401
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 4 12 3 4 10 31
Design and Estimation of Quadratic Term Structure Models 0 0 0 2 1 3 3 20
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* 0 0 0 21 0 4 6 78
Estimating risk-return relations with analysts price targets 0 0 0 6 0 4 7 46
Imports, Exports, Dollar Exposures, and Stock Returns 0 0 1 10 2 7 12 86
International capital asset pricing: Evidence from options 0 0 0 21 0 1 4 171
Jumps and Dynamic Asset Allocation 0 0 0 57 0 2 5 225
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 1 2 15 3 7 10 64
Limits of Arbitrage and Primary Risk-Taking in Derivative Securities 2 2 3 6 6 10 20 25
Macroeconomic releases and the interest rate term structure 0 0 3 87 0 4 12 252
Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates 0 0 0 13 1 3 6 68
Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions 0 0 0 7 1 2 3 32
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 4 51 1 11 22 261
Predictability of Interest Rates and Interest-Rate Portfolios 0 0 2 35 0 4 9 135
Predictable changes in yields and forward rates 0 0 0 186 0 5 10 522
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 0 60 0 1 2 219
Simple Robust Hedging with Nearby Contracts 0 1 2 17 2 8 11 61
Static Hedging of Standard Options 1 1 1 6 4 9 14 46
Static Hedging of Standard Options 0 0 0 16 3 8 16 74
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics 0 0 0 12 1 8 14 60
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 0 3 6 341
Stochastic skew in currency options 0 0 0 133 0 5 12 468
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 1 2 89 1 5 10 385
Targets, Predictability, and Performance 0 0 0 2 1 6 9 12
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period 0 0 1 22 0 3 5 95
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 0 4 13 37
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 1 1 4 53 1 5 12 181
The role of exchange rates in intertemporal risk-return relations 0 0 0 11 0 3 6 75
The shale revolution and shifting crude dynamics 0 0 0 2 0 3 5 22
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 2 6 8 179
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 1 109 3 8 17 419
Time-changed Levy processes and option pricing 0 1 2 244 6 16 25 759
Uncovered interest-rate parity over the past two centuries 1 1 5 354 1 8 20 1,019
Variance Risk Premiums 0 0 3 33 3 6 16 123
Variance Risk Premiums 4 8 13 168 17 39 67 585
Variance dynamics: Joint evidence from options and high-frequency returns 0 0 0 37 1 6 7 162
Variance swaps on time-changed Lévy processes 0 0 0 12 0 5 8 71
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 0 2 7 224
Total Journal Articles 11 26 82 2,494 77 306 598 9,254

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Centrality of the Supply Chain Network 1 1 3 4 3 4 9 13
Probabilistic Interpretation of Black Implied Volatility 1 1 2 9 1 6 10 28
Taking Positive Interest Rates Seriously 0 0 0 0 0 5 8 23
Total Chapters 2 2 5 13 4 15 27 64

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