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 5 6 12 1,259
A no-arbitrage analysis of economic determinants of the credit spread term structure 0 0 0 272 3 5 22 817
Accouting for Biases in Black-Scholes 0 0 0 642 3 7 13 2,632
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 0 0 0 486 3 6 12 1,246
Asset Pricing Under The Quadratic Class 1 1 1 396 4 9 24 872
Contagion in Financial Markets 0 0 1 533 1 3 11 1,204
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 1 241 3 7 13 779
Design and Estimation of Affine Yield Models 0 0 1 173 0 2 8 460
Design and Estimation of Affine Yield Models 0 0 0 221 0 1 7 652
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 3 3 15 1,322
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 3 3 7 164
Markov Chain Approximations For Term Structure Models 0 0 0 588 4 5 9 1,433
Predictable Changes in Yields and Forward Rates 0 0 0 456 3 6 18 1,947
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 0 0 1 494 1 5 16 1,408
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 0 146 4 5 21 560
Static Hedging of Standard Options 0 0 2 1,232 7 16 43 3,712
Stochastic Skew in Currency Options 0 0 0 529 3 6 19 1,657
Taking Positive Interest Rates Seriously 0 0 0 113 2 4 11 403
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 0 0 1 1,522 5 7 15 6,103
The Finite Moment Log Stable Process and Option Pricing 1 1 1 482 4 15 25 1,292
The Potential Approach to Bond and Currency Pricing 0 0 0 488 3 4 8 1,604
Time-Changed Levy Processes and Option Pricing 0 1 1 1,207 3 6 19 2,492
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 1 610 3 6 12 1,570
Uncovered Interest Rate Parity Over the Past Two Centuries 0 1 2 1,693 3 10 22 6,063
Using Machine Learning to Predict Realized Variance 0 0 2 64 5 9 27 110
Variance Risk Premia 0 4 6 560 9 27 75 1,479
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 0 0 0 591 0 0 5 1,206
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 332 3 3 27 755
Total Working Papers 2 8 21 14,912 90 186 516 45,201

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 2 4 6 104
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 0 1 1 24 3 5 10 91
A Simple Robust Link Between American Puts and Credit Protection 0 0 3 38 1 2 9 129
A comprehensive analysis of the short-term interest-rate dynamics 0 0 0 45 0 0 9 171
Analyzing volatility risk and risk premium in option contracts: A new theory 2 6 12 129 6 20 55 472
Anchoring Credit Default Swap Spreads to Firm Fundamentals 0 0 1 18 2 2 8 68
Asset Pricing under the Quadratic Class 0 0 0 45 2 2 13 143
Common Pricing of Decentralized Risk: A Linear Option Pricing Model 2 5 17 17 4 12 46 46
Cross-Sectional Variation of Option-Implied Volatility Skew 1 3 7 12 11 21 37 51
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 62 0 0 5 401
Decomposing Long Bond Returns: A Decentralized Theory* 0 0 4 12 2 6 12 34
Design and Estimation of Quadratic Term Structure Models 0 0 0 2 3 4 6 23
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* 0 0 0 21 2 4 10 82
Estimating risk-return relations with analysts price targets 0 0 0 6 2 3 9 49
Imports, Exports, Dollar Exposures, and Stock Returns 0 0 0 10 2 6 15 90
International capital asset pricing: Evidence from options 0 0 0 21 0 0 4 171
Jumps and Dynamic Asset Allocation 0 0 0 57 1 4 9 229
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions 0 0 2 15 1 6 13 67
Limits of Arbitrage and Primary Risk-Taking in Derivative Securities 0 4 5 8 4 15 28 34
Macroeconomic releases and the interest rate term structure 0 0 3 87 3 3 14 255
Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates 0 0 0 13 0 1 6 68
Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions 0 0 0 7 1 2 4 33
Option Profit and Loss Attribution and Pricing: A New Framework 0 1 5 52 7 10 31 270
Predictability of Interest Rates and Interest-Rate Portfolios 0 0 2 35 1 1 9 136
Predictable changes in yields and forward rates 0 0 0 186 3 3 11 525
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 0 60 2 2 4 221
Simple Robust Hedging with Nearby Contracts 0 0 2 17 1 3 12 62
Static Hedging of Standard Options 0 0 0 16 6 11 24 82
Static Hedging of Standard Options 0 1 1 6 4 9 18 51
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics 0 0 0 12 3 4 16 63
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 80 1 1 7 342
Stochastic skew in currency options 0 0 0 133 1 3 15 471
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 0 2 89 2 4 12 388
Targets, Predictability, and Performance 0 0 0 2 1 2 9 13
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period 0 0 1 22 1 2 7 97
The Finite Moment Log Stable Process and Option Pricing 0 0 0 5 2 3 16 40
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 1 2 53 1 2 11 182
The role of exchange rates in intertemporal risk-return relations 0 0 0 11 1 1 7 76
The shale revolution and shifting crude dynamics 0 0 0 2 1 1 5 23
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 50 2 5 11 182
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 1 109 2 8 22 424
Time-changed Levy processes and option pricing 0 0 2 244 8 19 37 772
Uncovered interest-rate parity over the past two centuries 0 1 4 354 3 4 20 1,022
Variance Risk Premiums 1 2 4 35 6 12 24 132
Variance Risk Premiums 6 13 21 177 22 49 95 617
Variance dynamics: Joint evidence from options and high-frequency returns 0 0 0 37 1 2 8 163
Variance swaps on time-changed Lévy processes 0 0 0 12 3 4 12 75
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 41 1 1 5 225
Total Journal Articles 12 38 103 2,521 138 288 776 9,465

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 2 4 5 3 6 11 16
Probabilistic Interpretation of Black Implied Volatility 0 1 2 9 2 3 12 30
Taking Positive Interest Rates Seriously 0 0 0 0 1 2 10 25
Total Chapters 1 3 6 14 6 11 33 71

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