Liuren Wu
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Identifer
Contact
Affiliations
-
City University of New York (CUNY)
/ Baruch College
/ Zicklin School of Business
Research profile
author of:
- Using Machine Learning to Predict Realized Variance (RePEc:arx:papers:1909.10035)
by Peter Carr & Liuren Wu & Zhibai Zhang - Predictability of Interest Rates and Interest-Rate Portfolios (RePEc:bes:jnlbes:v:27:i:4:y:2009:p:517-527)
by Bali, Turan & Heidari, Massoud & Wu, Liuren - The Finite Moment Log Stable Process and Option Pricing (RePEc:bla:jfinan:v:58:y:2003:i:2:p:753-777)
by Peter Carr & Liuren Wu - What Type of Process Underlies Options? A Simple Robust Test (RePEc:bla:jfinan:v:58:y:2003:i:6:p:2581-2610)
by Peter Carr & Liuren Wu - Option Profit and Loss Attribution and Pricing: A New Framework (RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316)
by Peter Carr & Liuren Wu - Design and Estimation of Affine Yield Models (RePEc:cmu:gsiawp:370)
by David K. Backus & Chris I. Telmer & Liuren Wu - Design and Estimation of Affine Yield Models (RePEc:cmu:gsiawp:5)
by David K. Backus & Chris I. Telmer & Liuren Wu - Asset Pricing under the Quadratic Class (RePEc:cup:jfinqa:v:37:y:2002:i:02:p:271-295_00)
by Leippold, Markus & Wu, Liuren - A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives (RePEc:cup:jfinqa:v:44:y:2009:i:03:p:517-550_99)
by Heidari, Massoud & Wu, Liuren - The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (RePEc:cup:jfinqa:v:45:y:2010:i:05:p:1279-1310_00)
by Egloff, Daniel & Leippold, Markus & Wu, Liuren - Anchoring Credit Default Swap Spreads to Firm Fundamentals (RePEc:cup:jfinqa:v:51:y:2016:i:05:p:1521-1543_00)
by Bai, Jennie & Wu, Liuren - Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions (RePEc:cup:jfinqa:v:52:y:2017:i:05:p:2119-2156_00)
by Carr, Peter & Wu, Liuren - Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics (RePEc:cup:jfinqa:v:53:y:2018:i:02:p:937-963_00)
by Calvet, Laurent E. & Fisher, Adlai J. & Wu, Liuren - Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions (RePEc:cup:jfinqa:v:53:y:2018:i:06:p:2559-2586_00)
by Hua, Jian & Wu, Liuren - Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes (RePEc:ecm:nawm04:405)
by Jing-zhi Huang & Liuren Wu - Variance dynamics: Joint evidence from options and high-frequency returns (RePEc:eee:econom:v:160:y:2011:i:1:p:280-287)
by Wu, Liuren - International capital asset pricing: Evidence from options (RePEc:eee:empfin:v:14:y:2007:i:4:p:465-498)
by Mo, Henry & Wu, Liuren - A comprehensive analysis of the short-term interest-rate dynamics (RePEc:eee:jbfina:v:30:y:2006:i:4:p:1269-1290)
by Bali, Turan G. & Wu, Liuren - Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options (RePEc:eee:jbfina:v:31:y:2007:i:8:p:2383-2403)
by Carr, Peter & Wu, Liuren - Estimating risk-return relations with analysts price targets (RePEc:eee:jbfina:v:93:y:2018:i:c:p:183-197)
by Wu, Liuren - Analyzing volatility risk and risk premium in option contracts: A new theory (RePEc:eee:jfinec:v:120:y:2016:i:1:p:1-20)
by Carr, Peter & Wu, Liuren - Predictable changes in yields and forward rates (RePEc:eee:jfinec:v:59:y:2001:i:3:p:281-311)
by Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren - Time-changed Levy processes and option pricing (RePEc:eee:jfinec:v:71:y:2004:i:1:p:113-141)
by Carr, Peter & Wu, Liuren - Stochastic skew in currency options (RePEc:eee:jfinec:v:86:y:2007:i:1:p:213-247)
by Carr, Peter & Wu, Liuren - Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies (RePEc:eee:jfinec:v:87:y:2008:i:1:p:132-156)
by Bakshi, Gurdip & Carr, Peter & Wu, Liuren - The role of exchange rates in intertemporal risk-return relations (RePEc:eee:jimfin:v:29:y:2010:i:8:p:1670-1686)
by Bali, Turan G. & Wu, Liuren - Uncovered interest-rate parity over the past two centuries (RePEc:eee:jimfin:v:30:y:2011:i:3:p:448-473)
by Lothian, James R. & Wu, Liuren - Macroeconomic releases and the interest rate term structure (RePEc:eee:moneco:v:56:y:2009:i:6:p:872-884)
by Lu, Biao & Wu, Liuren - A no-arbitrage analysis of economic determinants of the credit spread term structure (RePEc:fip:fedgfe:2005-59)
by Liuren Wu & Frank X. Zhang - Macroeconomic Foundations of Higher Moments in Bond Yields (RePEc:fth:nystfi:96-10)
by David Backus & Silverio Foresi & Liuren Wu - A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure (RePEc:inm:ormnsc:v:54:y:2008:i:6:p:1160-1175)
by Liuren Wu & Frank Xiaoling Zhang - The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period (RePEc:inm:ormnsc:v:56:y:2010:i:12:p:2251-2264)
by Gurdip Bakshi & Liuren Wu - Imports, Exports, Dollar Exposures, and Stock Returns (RePEc:kap:openec:v:26:y:2015:i:5:p:1059-1079)
by Suparna Chakraborty & Yi Tang & Liuren Wu - Price discovery in the U.S. stock and stock options markets: A portfolio approach (RePEc:kap:revdev:v:9:y:2006:i:1:p:37-65)
by Richard Holowczak & Yusif Simaan & Liuren Wu - Jumps and Dynamic Asset Allocation (RePEc:kap:rqfnac:v:20:y:2003:i:3:p:207-43)
by Wu, Liuren - Predictable Changes in Yields and Forward Rates (RePEc:nbr:nberwo:6379)
by David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu - Static Hedging of Standard Options (RePEc:oup:jfinec:v:12:y:2013:i:1:p:3-46)
by Peter Carr & Liuren Wu - Static Hedging of Standard Options (RePEc:oup:jfinec:v:12:y:2014:i:1:p:3-46.)
by Peter Carr & Liuren Wu - Simple Robust Hedging with Nearby Contracts (RePEc:oup:jfinec:v:15:y:2017:i:1:p:1-35.)
by Liuren Wu & Jingyi Zhu - Time-Varying Arrival Rates of Informed and Uninformed Trades (RePEc:oup:jfinec:v:6:y:2008:i:2:p:171-207)
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (RePEc:oup:jfinec:v:8:y:2010:i:4:p:409-449)
by Peter Carr & Liuren Wu - Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates (RePEc:oup:revfin:v:14:y:2010:i:2:p:313-342)
by Massoud Heidari & Liuren Wu - Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super- (RePEc:oup:revfin:v:17:y:2013:i:1:p:403-441)
by Ren-Raw Chen & Xiaolin Cheng & Liuren Wu - Decomposing Long Bond Returns: A Decentralized Theory (RePEc:oup:revfin:v:27:y:2023:i:3:p:997-1026.)
by Peter Carr & Liuren Wu - Design and Estimation of Quadratic Term Structure Models (RePEc:oup:revfin:v:7:y:2003:i:1:p:47-73.)
by Markus Leippold & Liuren Wu - Variance Risk Premiums (RePEc:oup:rfinst:v:22:y:2009:i:3:p:1311-1341)
by Peter Carr & Liuren Wu - Variance Risk Premiums (RePEc:oup:rfinst:v:22:y:2009:i:3:p:1311-1341.)
by Peter Carr & Liuren Wu - A Simple Robust Link Between American Puts and Credit Protection (RePEc:oup:rfinst:v:24:y:2011:i:2:p:473-505)
by Peter Carr & Liuren Wu - Variance swaps on time-changed Lévy processes (RePEc:spr:finsto:v:16:y:2012:i:2:p:335-355)
by Peter Carr & Roger Lee & Liuren Wu - Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns (RePEc:ucp:jnlbus:v:79:y:2006:i:3:p:1445-1474)
by Liuren Wu - The shale revolution and shifting crude dynamics (RePEc:wly:japmet:v:35:y:2020:i:2:p:160-175)
by Malick Sy & Liuren Wu - Accouting for Biases in Black-Scholes (RePEc:wpa:wuwpfi:0207008)
by David Backus & Silverio Foresi & Liuren Wu - Contagion in Financial Markets (RePEc:wpa:wuwpfi:0207009)
by David Backus & Silverio Foresi & Liuren Wu - Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives (RePEc:wpa:wuwpfi:0207010)
by Massoud Heidari & Liuren Wu - Time-Changed Levy Processes and Option Pricing (RePEc:wpa:wuwpfi:0207011)
by Peter Carr & Liuren Wu - The Finite Moment Log Stable Process and Option Pricing (RePEc:wpa:wuwpfi:0207012)
by Peter Carr & Liuren Wu - Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? (RePEc:wpa:wuwpfi:0207013)
by Massoud Heidari & Liuren WU - Design and Estimation of Quadratic Term Structure Models (RePEc:wpa:wuwpfi:0207014)
by Markus Leippold & Liuren Wu - Asset Pricing Under The Quadratic Class (RePEc:wpa:wuwpfi:0207015)
by Markus Leippold & Liuren Wu - A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs (RePEc:wpa:wuwpfi:0207016)
by Gautam Goswami & Milind Shrikhande & Liuren Wu - Time-Varying Arrival Rates of Informed and Uninformed Trades (RePEc:wpa:wuwpfi:0207017)
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu - Markov Chain Approximations For Term Structure Models (RePEc:wpa:wuwpfi:0207018)
by David Backus & Liuren Wu & Stanley Zin - What Type of Process Underlies Options? A Simple Robust Test (RePEc:wpa:wuwpfi:0207019)
by Peter Carr & Liuren Wu - Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns (RePEc:wpa:wuwpfi:0401001)
by Liuren Wu - Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes (RePEc:wpa:wuwpfi:0401002)
by Jingzhi Huang & Liuren Wu - Taking Positive Interest Rates Seriously (RePEc:wpa:wuwpfi:0409013)
by Enlin Pan & Liuren Wu - Stochastic Skew in Currency Options (RePEc:wpa:wuwpfi:0409014)
by Peter Carr & Liuren Wu - Variance Risk Premia (RePEc:wpa:wuwpfi:0409015)
by Peter Carr & Liuren Wu - Static Hedging of Standard Options (RePEc:wpa:wuwpfi:0409016)
by Peter Carr & Liuren Wu - What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities (RePEc:wpa:wuwpfi:0409017)
by Massoud Heidari & Liuren Wu - The Potential Approach to Bond and Currency Pricing (RePEc:wpa:wuwpfi:9903004)
by Markus Leippold & Liuren Wu - Uncovered Interest Rate Parity Over the Past Two Centuries (RePEc:wpa:wuwpif:0311009)
by James R. Lothian & Liuren Wu - Probabilistic Interpretation of Black Implied Volatility (RePEc:wsi:wschap:9789811259142_0003)
by P. Carr & L. Wu & Y. Zhang - Taking Positive Interest Rates Seriously (RePEc:wsi:wschap:9789812772824_0014)
by Enlin Pan & Liuren Wu