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 0 360 0 1 1 1,243
A no-arbitrage analysis of economic determinants of the credit spread term structure 0 0 1 271 0 0 2 788
Accouting for Biases in Black-Scholes 0 0 1 636 1 3 6 2,604
Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? 0 1 1 486 0 1 4 1,230
Asset Pricing Under The Quadratic Class 0 0 0 393 1 1 1 842
Contagion in Financial Markets 0 0 1 531 0 0 4 1,188
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 240 2 3 5 762
Design and Estimation of Affine Yield Models 0 0 0 220 0 0 2 642
Design and Estimation of Affine Yield Models 0 0 0 172 0 0 0 451
Design and Estimation of Quadratic Term Structure Models 0 0 0 480 0 0 0 1,305
Macroeconomic Foundations of Higher Moments in Bond Yields 0 0 0 0 0 0 1 154
Markov Chain Approximations For Term Structure Models 0 0 0 587 0 0 2 1,420
Predictable Changes in Yields and Forward Rates 0 1 2 454 0 1 4 1,925
Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes 0 0 0 491 0 1 2 1,384
Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes 0 0 0 146 0 0 1 534
Static Hedging of Standard Options 0 0 2 1,225 1 4 14 3,642
Stochastic Skew in Currency Options 0 0 0 528 0 1 4 1,633
Taking Positive Interest Rates Seriously 0 0 0 113 0 0 1 391
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives 0 0 0 1,519 0 0 0 6,084
The Finite Moment Log Stable Process and Option Pricing 0 0 0 477 2 6 13 1,248
The Potential Approach to Bond and Currency Pricing 0 0 0 488 0 0 0 1,594
Time-Changed Levy Processes and Option Pricing 0 1 2 1,202 2 4 13 2,456
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 1 3 599 0 3 9 1,536
Uncovered Interest Rate Parity Over the Past Two Centuries 0 0 0 1,688 0 1 3 6,031
Variance Risk Premia 0 0 1 551 2 2 5 1,384
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities 0 0 3 589 0 0 6 1,197
What Type of Process Underlies Options? A Simple Robust Test 0 0 0 327 0 1 2 719
Total Working Papers 0 4 17 14,773 11 33 105 44,387

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 30 0 0 1 94
A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure 0 0 0 23 1 1 2 79
A Simple Robust Link Between American Puts and Credit Protection 0 1 2 29 0 1 2 100
A comprehensive analysis of the short-term interest-rate dynamics 0 0 0 43 0 0 4 156
Analyzing volatility risk and risk premium in option contracts: A new theory 1 5 16 98 3 14 59 360
Anchoring Credit Default Swap Spreads to Firm Fundamentals 0 0 0 17 0 0 2 57
Asset Pricing under the Quadratic Class 0 0 1 44 1 1 3 129
Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns 0 0 0 62 6 15 37 373
Design and Estimation of Quadratic Term Structure Models 0 0 0 1 0 0 0 13
Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* 0 0 0 19 0 0 0 66
Estimating risk-return relations with analysts price targets 0 0 1 5 0 0 4 35
Imports, Exports, Dollar Exposures, and Stock Returns 1 1 1 8 1 1 1 65
International capital asset pricing: Evidence from options 0 0 0 21 2 8 30 154
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 0 2 51
Macroeconomic releases and the interest rate term structure 0 0 2 80 0 0 2 225
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 6 0 0 2 25
Predictability of Interest Rates and Interest-Rate Portfolios 0 0 0 31 2 3 4 123
Predictable changes in yields and forward rates 0 0 1 185 1 1 3 506
Price discovery in the U.S. stock and stock options markets: A portfolio approach 0 0 0 57 0 0 0 211
Simple Robust Hedging with Nearby Contracts 0 0 0 5 0 3 9 30
Static Hedging of Standard Options 0 0 1 14 0 1 2 52
Static Hedging of Standard Options 0 0 0 2 0 1 5 19
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics 0 0 0 10 0 0 1 39
Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies 0 0 1 78 0 0 2 326
Stochastic skew in currency options 0 1 3 129 3 11 27 436
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation 0 1 6 78 1 2 13 360
The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period 0 0 2 21 0 0 3 86
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments 0 0 0 46 0 0 4 158
The role of exchange rates in intertemporal risk-return relations 0 0 0 11 0 0 0 68
Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options 0 0 0 45 0 1 3 159
Time-Varying Arrival Rates of Informed and Uninformed Trades 0 0 2 103 0 0 4 382
Time-changed Levy processes and option pricing 0 1 5 232 1 5 13 697
Uncovered interest-rate parity over the past two centuries 0 1 4 330 0 6 22 965
Variance Risk Premiums 0 0 1 8 0 1 9 54
Variance Risk Premiums 0 0 3 136 0 1 9 471
Variance dynamics: Joint evidence from options and high-frequency returns 0 0 0 35 0 0 1 148
Variance swaps on time-changed Lévy processes 0 0 0 12 0 0 1 60
Total Journal Articles 2 11 52 2,137 22 77 286 7,614

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 0 0 15
Total Chapters 0 0 0 0 0 0 0 15

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Statistics updated 2023-05-07