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 1 361 0 0 2 1,245
A no-arbitrage analysis of economic determinants of the credit spread term structure 0 0 0 271 0 0 3 791
Accouting for Biases in Black-Scholes 0 1 5 641 0 2 9 2,613
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 0 0 0 486 0 0 2 1,232
Asset Pricing Under The Quadratic Class 0 1 1 394 0 2 3 845
Contagion in Financial Markets 0 0 0 531 0 0 3 1,191
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 240 0 0 4 766
Design and Estimation of Affine Yield Models 0 0 0 220 1 2 2 644
Design and Estimation of Affine Yield Models 0 0 0 172 0 1 1 452
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 1 1 1 1,306
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 0 0 3 157
Markov Chain Approximations For Term Structure Models 0 0 0 587 0 0 1 1,421
Predictable Changes in Yields and Forward Rates 0 0 0 454 0 0 1 1,926
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 0 0 0 491 0 0 5 1,389
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 0 146 0 0 0 534
Static Hedging of Standard Options 0 0 1 1,226 2 2 12 3,654
Stochastic Skew in Currency Options 0 0 0 528 0 0 2 1,635
Taking Positive Interest Rates Seriously 0 0 0 113 0 0 1 392
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 0 0 1 1,520 0 0 1 6,085
The Finite Moment Log Stable Process and Option Pricing 0 0 2 479 0 0 15 1,263
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 0 1 1,595
Time-Changed Levy Processes and Option Pricing 0 0 1 1,203 0 0 5 2,461
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 2 6 605 1 4 13 1,549
Uncovered Interest Rate Parity Over the Past Two Centuries 0 0 2 1,690 1 1 6 6,037
Using Machine Learning to Predict Realized Variance 0 0 3 60 1 3 11 73
Variance Risk Premia 0 1 1 552 2 3 5 1,389
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 0 0 1 590 0 1 3 1,200
What Type of Process Underlies Options? A Simple Robust Test 0 0 2 329 0 0 4 723
Total Working Papers 0 5 27 14,857 9 22 119 44,568


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 31 0 1 3 97
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 0 0 0 23 0 0 0 79
A Simple Robust Link Between American Puts and Credit Protection 0 0 3 32 0 1 7 107
A comprehensive analysis of the short-term interest-rate dynamics 0 0 2 45 0 0 3 159
Analyzing volatility risk and risk premium in option contracts: A new theory 0 2 11 109 2 6 32 392
Anchoring Credit Default Swap Spreads to Firm Fundamentals 0 0 0 17 0 0 0 57
Asset Pricing under the Quadratic Class 0 1 1 45 0 1 1 130
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 62 0 0 20 393
Decomposing Long Bond Returns: A Decentralized Theory* 0 1 5 5 2 4 13 13
Design and Estimation of Quadratic Term Structure Models 0 0 0 1 0 0 2 15
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* 0 1 1 20 0 1 4 70
Estimating risk-return relations with analysts price targets 0 0 1 6 0 0 2 37
Imports, Exports, Dollar Exposures, and Stock Returns 0 0 1 9 0 1 7 72
International capital asset pricing: Evidence from options 0 0 0 21 0 0 11 165
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 1 2 2 53
Macroeconomic releases and the interest rate term structure 0 0 2 82 0 1 5 230
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 1 7 0 0 3 28
Option Profit and Loss Attribution and Pricing: A New Framework 2 3 11 43 2 7 40 219
Predictability of Interest Rates and Interest-Rate Portfolios 0 0 0 31 0 0 1 124
Predictable changes in yields and forward rates 0 0 0 185 0 1 2 508
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 0 57 0 0 1 212
Simple Robust Hedging with Nearby Contracts 0 0 3 8 1 2 7 37
Static Hedging of Standard Options 1 1 2 16 1 1 4 56
Static Hedging of Standard Options 0 0 2 4 1 1 7 26
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics 0 0 1 11 0 0 3 42
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 1 1 79 0 1 3 329
Stochastic skew in currency options 1 2 3 132 2 3 15 451
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 1 2 6 84 2 3 11 371
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period 0 0 0 21 1 1 2 88
The Finite Moment Log Stable Process and Option Pricing 0 0 2 5 0 0 3 22
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 1 47 1 1 6 164
The role of exchange rates in intertemporal risk-return relations 0 0 0 11 0 0 0 68
The shale revolution and shifting crude dynamics 0 0 0 2 0 0 0 15
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 1 1 2 47 1 1 7 166
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 2 105 0 2 8 390
Time-changed Levy processes and option pricing 0 2 4 236 1 7 21 718
Uncovered interest-rate parity over the past two centuries 0 1 13 343 0 3 21 986
Variance Risk Premiums 2 4 8 16 5 14 26 80
Variance Risk Premiums 3 5 8 144 6 9 21 492
Variance dynamics: Joint evidence from options and high-frequency returns 0 0 1 36 1 2 4 152
Variance swaps on time-changed Lévy processes 0 0 0 12 1 1 2 62
What Type of Process Underlies Options? A Simple Robust Test 0 1 1 40 0 1 2 209
Total Journal Articles 11 28 100 2,313 31 79 332 8,366


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 0 1 5 0 1 6 14
Taking Positive Interest Rates Seriously 0 0 0 0 0 0 0 15
Total Chapters 0 0 1 5 0 1 6 29


Statistics updated 2024-05-04