Details about Liuren Wu

Access statistics for papers by Liuren Wu.

Last updated 2023-07-07. Update your information in the RePEc Author Service.

Short-id: pwu3

Working Papers

2019

1. Using Machine Learning to Predict Realized Variance
   Papers, arXiv.org View citations (5)

2005

2. A no-arbitrage analysis of economic determinants of the credit spread term structure
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2004

3. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns
   Finance, University Library of Munich, Germany
   See also Journal Article Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns, The Journal of Business, University of Chicago Press (2006) View citations (30) (2006)
4. Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes
   Finance, University Library of Munich, Germany View citations (113)
   Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (114)
5. Static Hedging of Standard Options
   Finance, University Library of Munich, Germany View citations (9)
   See also Journal Article Static Hedging of Standard Options, Journal of Financial Econometrics, Oxford University Press (2014) View citations (18) (2014)
6. Stochastic Skew in Currency Options
   Finance, University Library of Munich, Germany View citations (6)
   See also Journal Article Stochastic skew in currency options, Journal of Financial Economics, Elsevier (2007) View citations (146) (2007)
7. Taking Positive Interest Rates Seriously
   Finance, University Library of Munich, Germany
   See also Chapter Taking Positive Interest Rates Seriously, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2006) (2006)
8. Variance Risk Premia
   Finance, University Library of Munich, Germany View citations (21)
9. What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities
   Finance, University Library of Munich, Germany View citations (3)

2003

10. Uncovered Interest Rate Parity Over the Past Two Centuries
    International Finance, University Library of Munich, Germany View citations (32)
    See also Journal Article Uncovered interest-rate parity over the past two centuries, Journal of International Money and Finance, Elsevier (2011) View citations (90) (2011)

2002

11. A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
    Finance, University Library of Munich, Germany View citations (4)
12. Accouting for Biases in Black-Scholes
    Finance, University Library of Munich, Germany View citations (20)
13. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?
    Finance, University Library of Munich, Germany View citations (4)
14. Asset Pricing Under The Quadratic Class
    Finance, University Library of Munich, Germany View citations (122)
    See also Journal Article Asset Pricing under the Quadratic Class, Journal of Financial and Quantitative Analysis, Cambridge University Press (2002) View citations (118) (2002)
15. Contagion in Financial Markets
    Finance, University Library of Munich, Germany View citations (3)
16. Design and Estimation of Quadratic Term Structure Models
    Finance, University Library of Munich, Germany View citations (19)
    See also Journal Article Design and Estimation of Quadratic Term Structure Models, Review of Finance, European Finance Association (2003) View citations (36) (2003)
17. Markov Chain Approximations For Term Structure Models
    Finance, University Library of Munich, Germany
18. Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives
    Finance, University Library of Munich, Germany
19. The Finite Moment Log Stable Process and Option Pricing
    Finance, University Library of Munich, Germany View citations (6)
    See also Journal Article The Finite Moment Log Stable Process and Option Pricing, Journal of Finance, American Finance Association (2003) View citations (181) (2003)
20. Time-Changed Levy Processes and Option Pricing
    Finance, University Library of Munich, Germany View citations (12)
    See also Journal Article Time-changed Levy processes and option pricing, Journal of Financial Economics, Elsevier (2004) View citations (222) (2004)
21. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Finance, University Library of Munich, Germany View citations (15)
    See also Journal Article Time-Varying Arrival Rates of Informed and Uninformed Trades, Journal of Financial Econometrics, Oxford University Press (2008) View citations (79) (2008)
22. What Type of Process Underlies Options? A Simple Robust Test
    Finance, University Library of Munich, Germany View citations (5)
    See also Journal Article What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance, American Finance Association (2003) View citations (123) (2003)

1999

23. Design and Estimation of Affine Yield Models
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (7)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business (1999) View citations (8)
24. The Potential Approach to Bond and Currency Pricing
    Finance, University Library of Munich, Germany View citations (3)

1998

25. Predictable Changes in Yields and Forward Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    See also Journal Article Predictable changes in yields and forward rates, Journal of Financial Economics, Elsevier (2001) View citations (74) (2001)

1997

26. Macroeconomic Foundations of Higher Moments in Bond Yields
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (3)

Journal Articles

2023

1. Decomposing Long Bond Returns: A Decentralized Theory*
   Review of Finance, 2023, 27, (3), 997-1026

2020

2. Option Profit and Loss Attribution and Pricing: A New Framework
   Journal of Finance, 2020, 75, (4), 2271-2316 View citations (11)
3. The shale revolution and shifting crude dynamics
   Journal of Applied Econometrics, 2020, 35, (2), 160-175 View citations (1)

2018

4. Estimating risk-return relations with analysts price targets
   Journal of Banking & Finance, 2018, 93, (C), 183-197 View citations (6)
5. Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions
   Journal of Financial and Quantitative Analysis, 2018, 53, (6), 2559-2586 View citations (2)
6. Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
   Journal of Financial and Quantitative Analysis, 2018, 53, (2), 937-963 View citations (3)

2017

7. Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
   Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2119-2156 View citations (34)
8. Simple Robust Hedging with Nearby Contracts
   Journal of Financial Econometrics, 2017, 15, (1), 1-35

2016

9. Analyzing volatility risk and risk premium in option contracts: A new theory
   Journal of Financial Economics, 2016, 120, (1), 1-20 View citations (32)
10. Anchoring Credit Default Swap Spreads to Firm Fundamentals
    Journal of Financial and Quantitative Analysis, 2016, 51, (5), 1521-1543 View citations (29)

2015

11. Imports, Exports, Dollar Exposures, and Stock Returns
    Open Economies Review, 2015, 26, (5), 1059-1079 View citations (1)

2014

12. Static Hedging of Standard Options
    Journal of Financial Econometrics, 2014, 12, (1), 3-46 View citations (18)
    Also in Journal of Financial Econometrics, 2013, 12, (1), 3-46 (2013) View citations (11)
    See also Working Paper Static Hedging of Standard Options, Finance (2004) View citations (9) (2004)

2013

13. Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-*
    Review of Finance, 2013, 17, (1), 403-441 View citations (24)

2012

14. Variance swaps on time-changed Lévy processes
    Finance and Stochastics, 2012, 16, (2), 335-355 View citations (25)

2011

15. A Simple Robust Link Between American Puts and Credit Protection
    The Review of Financial Studies, 2011, 24, (2), 473-505 View citations (36)
16. Uncovered interest-rate parity over the past two centuries
    Journal of International Money and Finance, 2011, 30, (3), 448-473 View citations (90)
    See also Working Paper Uncovered Interest Rate Parity Over the Past Two Centuries, International Finance (2003) View citations (32) (2003)
17. Variance dynamics: Joint evidence from options and high-frequency returns
    Journal of Econometrics, 2011, 160, (1), 280-287 View citations (25)

2010

18. Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates
    Review of Finance, 2010, 14, (2), 313-342 View citations (6)
19. Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
    Journal of Financial Econometrics, 2010, 8, (4), 409-449 View citations (55)
20. The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period
    Management Science, 2010, 56, (12), 2251-2264 View citations (16)
21. The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
    Journal of Financial and Quantitative Analysis, 2010, 45, (5), 1279-1310 View citations (109)
22. The role of exchange rates in intertemporal risk-return relations
    Journal of International Money and Finance, 2010, 29, (8), 1670-1686 View citations (4)

2009

23. A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives
    Journal of Financial and Quantitative Analysis, 2009, 44, (3), 517-550 View citations (7)
24. Macroeconomic releases and the interest rate term structure
    Journal of Monetary Economics, 2009, 56, (6), 872-884 View citations (11)
25. Predictability of Interest Rates and Interest-Rate Portfolios
    Journal of Business & Economic Statistics, 2009, 27, (4), 517-527 View citations (11)
26. Variance Risk Premiums
    The Review of Financial Studies, 2009, 22, (3), 1311-1341 View citations (432)
    Also in The Review of Financial Studies, 2009, 22, (3), 1311-1341 (2009) View citations (421)

2008

27. A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure
    Management Science, 2008, 54, (6), 1160-1175 View citations (34)
28. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
    Journal of Financial Economics, 2008, 87, (1), 132-156 View citations (77)
29. Time-Varying Arrival Rates of Informed and Uninformed Trades
    Journal of Financial Econometrics, 2008, 6, (2), 171-207 View citations (79)
    See also Working Paper Time-Varying Arrival Rates of Informed and Uninformed Trades, Finance (2002) View citations (15) (2002)

2007

30. International capital asset pricing: Evidence from options
    Journal of Empirical Finance, 2007, 14, (4), 465-498 View citations (15)
31. Stochastic skew in currency options
    Journal of Financial Economics, 2007, 86, (1), 213-247 View citations (146)
    See also Working Paper Stochastic Skew in Currency Options, Finance (2004) View citations (6) (2004)
32. Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options
    Journal of Banking & Finance, 2007, 31, (8), 2383-2403 View citations (47)

2006

33. A comprehensive analysis of the short-term interest-rate dynamics
    Journal of Banking & Finance, 2006, 30, (4), 1269-1290 View citations (24)
34. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns
    The Journal of Business, 2006, 79, (3), 1445-1474 View citations (30)
    See also Working Paper Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns, Finance (2004) (2004)
35. Price discovery in the U.S. stock and stock options markets: A portfolio approach
    Review of Derivatives Research, 2006, 9, (1), 37-65 View citations (13)

2004

36. Time-changed Levy processes and option pricing
    Journal of Financial Economics, 2004, 71, (1), 113-141 View citations (222)
    See also Working Paper Time-Changed Levy Processes and Option Pricing, Finance (2002) View citations (12) (2002)

2003

37. Design and Estimation of Quadratic Term Structure Models
    Review of Finance, 2003, 7, (1), 47-73 View citations (36)
    See also Working Paper Design and Estimation of Quadratic Term Structure Models, Finance (2002) View citations (19) (2002)
38. Jumps and Dynamic Asset Allocation
    Review of Quantitative Finance and Accounting, 2003, 20, (3), 207-43 View citations (24)
39. The Finite Moment Log Stable Process and Option Pricing
    Journal of Finance, 2003, 58, (2), 753-777 View citations (181)
    See also Working Paper The Finite Moment Log Stable Process and Option Pricing, Finance (2002) View citations (6) (2002)
40. What Type of Process Underlies Options? A Simple Robust Test
    Journal of Finance, 2003, 58, (6), 2581-2610 View citations (123)
    See also Working Paper What Type of Process Underlies Options? A Simple Robust Test, Finance (2002) View citations (5) (2002)

2002

41. Asset Pricing under the Quadratic Class
    Journal of Financial and Quantitative Analysis, 2002, 37, (2), 271-295 View citations (118)
    See also Working Paper Asset Pricing Under The Quadratic Class, Finance (2002) View citations (122) (2002)

2001

42. Predictable changes in yields and forward rates
    Journal of Financial Economics, 2001, 59, (3), 281-311 View citations (74)
    See also Working Paper Predictable Changes in Yields and Forward Rates, NBER Working Papers (1998) View citations (20) (1998)

Chapters

2023

1. Probabilistic Interpretation of Black Implied Volatility
   Chapter 3 in Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, 2023, pp 29-46

2006

2. Taking Positive Interest Rates Seriously
   Chapter 14 in Advances In Quantitative Analysis Of Finance And Accounting, 2006, pp 327-356
   See also Working Paper Taking Positive Interest Rates Seriously, University Library of Munich, Germany (2004) (2004)