Liuren Wu : Citation Profile


Are you Liuren Wu?

City University of New York (CUNY)

17

H index

26

i10 index

1313

Citations

RESEARCH PRODUCTION:

39

Articles

27

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 62
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 224.    Total self citations: 24 (1.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwu3
   Updated: 2019-12-07    RAS profile: 2019-05-27    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Liuren Wu.

Is cited by:

Christoffersen, Peter (43)

Monfort, Alain (12)

Alexander, Carol (12)

Fajardo, José (12)

Scaillet, Olivier (12)

Bollerslev, Tim (11)

Cartea, Álvaro (11)

Zhou, Hao (11)

Fabozzi, Frank (10)

Realdon, Marco (10)

Bekaert, Geert (9)

Cites to:

Campbell, John (33)

Duffie, Darrell (22)

Bekaert, Geert (21)

Bollerslev, Tim (19)

Hodrick, Robert (18)

Chen, Zhiwu (17)

Backus, David (17)

merton, robert (17)

Engle, Robert (16)

Singleton, Kenneth (16)

Cao, Charles (15)

Main data


Where Liuren Wu has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis7
Journal of Financial Econometrics5
Journal of Financial Economics5
Review of Finance3
Review of Financial Studies3
Journal of Banking & Finance3
Journal of International Money and Finance2
Management Science2

Working Papers Series with more than one paper published# docs
Finance / University Library of Munich, Germany20
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business2

Recent works citing Liuren Wu (2018 and 2017)


YearTitle of citing document
2017A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15.

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2018The Risk Premia Embedded in Index Options. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-07.

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2018The effect of credit default swap premiums on developing markets’ economies: The case of exchange rates. (2018). Bayat, Tayfur ; Kayhan, Selim ; Aci, Yunus. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(617):y:2018:i:4(617):p:235-252.

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2018On exponential functionals of processes with independent increments. (2018). Salminen, Paavo ; Vostrikova, L. In: Papers. RePEc:arx:papers:1610.08732.

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2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2017Option Pricing with Greed and Fear Factor: The Rational Finance Approach. (2017). Fabozzi, Frank ; Racheva-Iotova, Boryana. In: Papers. RePEc:arx:papers:1709.08134.

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2017The Aggregation Property and its Applications to Realised Higher Moments. (2017). Alexander, Carol ; Rauch, Johannes. In: Papers. RePEc:arx:papers:1709.08188.

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2019Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations. (2019). Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed ; Barczy, Matyas. In: Papers. RePEc:arx:papers:1711.02140.

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2017Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation. (2017). Jos'e Carlos Dias, ; Torba, Sergii M ; Kravchenko, Vladislav V. In: Papers. RePEc:arx:papers:1712.08247.

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2018Variance swaps under L\{e}vy process with stochastic volatility and stochastic interest rate in incomplete markets. (2018). Huang, Nan-Jing ; Yue, Jia ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1712.10105.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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2018Portfolio Choice with Market-Credit Risk Dependencies. (2018). Capponi, Agostino ; Bo, Lijun. In: Papers. RePEc:arx:papers:1806.07175.

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2018Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching. (2018). Wang, Yongjin ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1807.05513.

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2019A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps. (2019). Yang, Jie ; Wang, Fangfang ; Li, Keren ; Zhou, Shuang ; Jiang, Liyuan. In: Papers. RePEc:arx:papers:1808.05289.

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2019Model Risk Measurement under Wasserstein Distance. (2019). Schlogl, Erik ; Feng, YU. In: Papers. RePEc:arx:papers:1809.03641.

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2018Challenges in approximating the Black and Scholes call formula with hyperbolic tangents. (2018). Taglialatela, Giovanni ; Orlando, Giuseppe ; Mininni, Michele. In: Papers. RePEc:arx:papers:1810.04623.

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2019Static and semi-static hedging as contrarian or conformist bets. (2019). Boyarchenko, Svetlana ; Levendorskii, Sergei. In: Papers. RePEc:arx:papers:1902.02854.

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2019ADOL - Markovian approximation of rough lognormal model. (2019). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1904.09240.

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2019Time-changed \levy processes and option pricing: a critical comment. (2019). Nam, Kihun ; Fallahgoul, Hasan. In: Papers. RePEc:arx:papers:1907.00149.

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2019Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2019Multiple Subordinated Modeling of Asset Returns. (2019). Fabozzi, Frank ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1907.12600.

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2019An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

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2019Dynamics of symmetric SSVI smiles and implied volatility bubbles. (2019). Martini, Claude ; Jacquier, Antoine ; el Amrani, Mehdi. In: Papers. RePEc:arx:papers:1909.10272.

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2019Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2019). Sanfelici, Simona ; Curato, Imma Valentina. In: Papers. RePEc:arx:papers:1910.06660.

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2019Neural network for pricing and universal static hedging of contingent claims. (2019). Bhardawaj, Vikram ; Lokeshwar, Vikranth ; Jain, Shashi. In: Papers. RePEc:arx:papers:1911.11362.

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2019Model-Free Implied Volatility under Jump-Diffusion Models. (2019). YANG, HONGTAO ; Choi, Seungmook . In: Review of Economics & Finance. RePEc:bap:journl:190201.

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2017Expected Currency Returns and Volatility Risk Premia. (2017). ORNELAS, JOSE ; Haas, Jose Renato. In: Working Papers Series. RePEc:bcb:wpaper:454.

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2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18.

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2018ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:62:y:2018:i:216:p:35-62.

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2018ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:216:p:35-62.

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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:726.

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2017Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio . In: BIS Working Papers. RePEc:bis:biswps:606.

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2019Exchange rate puzzles: evidence from rigidly fixed nominal exchange rate systems. (2019). Zhu, Feng ; Engel, Charles. In: BIS Working Papers. RePEc:bis:biswps:805.

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2019Independently Certified Industry‐specific Disclosures to the Capital Market: The JORC Code in the Australian Mining Industry. (2019). Katselas, Dean ; Yu, Chuan ; Smith, Tom ; Sidhu, Baljit K. In: Abacus. RePEc:bla:abacus:v:55:y:2019:i:1:p:128-179.

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2018Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2017AN OPTION VALUATION FRAMEWORK BASED ON ARITHMETIC BROWNIAN MOTION: JUSTIFICATION AND IMPLEMENTATION ISSUES. (2017). Brooks, Robert. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:3:p:401-427.

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2017Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective. (2017). Kelani, Abdou ; Quittard-Pinon, Franois. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:209-238.

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2017Uncovered interest parity in Central and Eastern Europe: Expectations and structural breaks. (2017). Staehr, Karsten ; Filipozzi, Fabio ; Cuestas, Juan. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:695-710.

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2018Asymmetric information and the distribution of trading volume. (2018). Lof, Matthijs ; van Bommel, Jos. In: Research Discussion Papers. RePEc:bof:bofrdp:001.

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2018Asymmetric information and the distribution of trading volume. (2018). Lof, Matthijs ; van Bommel, Jos. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_001.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2018). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt1778z416.

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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES: THE ROLE OF MONETARY POLICY. (2015). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2cm6p186.

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2017FORWARD BIAS, THE FAILURE OF UNCOVERED INTEREST PARITY AND RELATED PUZZLES. (2017). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2ff194s2.

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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018A macro-financial analysis of the corporate bond market. (2018). Lyrio, Marco ; Lemke, Wolfgang ; Dewachter, Hans ; Iania, Leonardo. In: Working Paper Series. RePEc:ecb:ecbwps:20182214.

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2019A profitable modification to global quadratic hedging. (2019). Godin, Frederic ; Augustyniak, Maciej ; Simard, Clarence. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:111-131.

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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2017Optimal investment of variance-swaps in jump-diffusion market with regime-switching. (2017). Wang, Yongjin ; Bo, Lijun ; Tang, Dan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:83:y:2017:i:c:p:175-197.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Local volatility and the recovery rate of credit default swaps. (2018). Jansen, Jeroen ; Fabozzi, Frank J ; Das, Sanjiv R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:1-29.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2017Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:449-464.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Adverse risk interaction: An integrated approach. (2017). Boovi, Milo ; Ivanovi, Jelena. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:67-74.

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2017Financial crises, exchange rate linkages and uncovered interest parity: Evidence from G7 markets. (2017). Simos, Theodore ; Kenourgios, Dimitris ; Dimitriou, Dimitrios. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:112-120.

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2017Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:148-159.

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2017Fake news. (2017). Brigida, Matt ; Pratt, William R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:564-573.

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2018Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets. (2018). Hui, Cho-Hoi ; Chau, Po-Hon ; Lo, Chi-Fai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:109-128.

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2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

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2019The impacts of overseas market shocks on the CDS-option basis. (2019). Ryu, Doojin ; Kutan, Ali M ; Park, Yuen Jung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:622-636.

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2019External financial liabilities and real exchange rate jumps. (2019). Zhu, Jiaqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:202-220.

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2019Expected currency returns and volatility risk premia. (2019). Haas, Jose Renato. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:206-234.

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2017Informativeness of trade size in foreign exchange markets. (2017). Gradojevic, Nikola ; Erdemlioglu, Deniz ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33.

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2017A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation. (2017). Hounyo, Ulrich ; Varneskov, Rasmus T. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:10-28.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Pegoraro, Fulvio. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

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2018Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43.

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2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

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2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199.

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2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2019A general framework for pricing Asian options under stochastic volatility on parallel architectures. (2019). Corsaro, Stefania ; Marino, Zelda ; Marazzina, Daniele ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1082-1095.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2019A general framework for time-changed Markov processes and applications. (2019). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:785-800.

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2019Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model. (2019). Wu, Linjia ; Li, Chenxu. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:768-779.

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2017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018Macroeconomic determinants of the term structure: Long-run and short-run dynamics. (2018). Doshi, Hitesh ; Liu, Rui ; Jacobs, Kris. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:99-122.

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2019Bond and option prices with permanent shocks. (2019). Al-Zoubi, Haitham A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:272-290.

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2017Higher moment risk premiums for the crude oil market: A downside and upside conditional decomposition. (2017). DA FONSECA, José ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:410-422.

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2018The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments. (2018). Lopez, Raquel. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:356-364.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2019Skewness risk premium: Theory and empirical evidence. (2019). Wolff, Christian ; Lin, Yuehao ; Lehnert, Thorsten. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:174-185.

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2017Dynamic autocorrelation of intraday stock returns. (2017). Dong, XI ; Feng, Shu ; Song, Pingping ; Ling, Leng . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:274-280.

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2017Term-structure modelling at the zero lower bound: Implications for estimating the forward term premium. (2017). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:100-106.

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2017How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach. (2017). Braouezec, Yann. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:92-99.

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2017Firm-specific credit risk estimation in the presence of regimes and noisy prices. (2017). Gauthier, Genevieve ; Begin, Jean-Franois ; Boudreault, Mathieu. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:306-313.

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2018Informed trading in the Bitcoin market. (2018). Feng, Wenjun ; Zhang, Zhengjun ; Wang, Yiming. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:63-70.

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2019Consumption volatility ambiguity and risk premium’s time-variation. (2019). Posch, Peter N ; Muller, Janis. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:336-339.

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2019Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015. (2019). Wong, Alfred. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:7-16.

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More than 100 citations found, this list is not complete...

Works by Liuren Wu:


YearTitleTypeCited
2009Predictability of Interest Rates and Interest-Rate Portfolios In: Journal of Business & Economic Statistics.
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1999Design and Estimation of Affine Yield Models.(1999) In: GSIA Working Papers.
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2009A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives In: Journal of Financial and Quantitative Analysis.
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2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
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2016Anchoring Credit Default Swap Spreads to Firm Fundamentals In: Journal of Financial and Quantitative Analysis.
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2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions In: Journal of Financial and Quantitative Analysis.
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2018Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis.
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2018Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions In: Journal of Financial and Quantitative Analysis.
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2004Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes In: Econometric Society 2004 North American Winter Meetings.
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2011Variance dynamics: Joint evidence from options and high-frequency returns In: Journal of Econometrics.
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2007International capital asset pricing: Evidence from options In: Journal of Empirical Finance.
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2006A comprehensive analysis of the short-term interest-rate dynamics In: Journal of Banking & Finance.
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2007Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options In: Journal of Banking & Finance.
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2018Estimating risk-return relations with analysts price targets In: Journal of Banking & Finance.
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2016Analyzing volatility risk and risk premium in option contracts: A new theory In: Journal of Financial Economics.
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2001Predictable changes in yields and forward rates In: Journal of Financial Economics.
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1998Predictable Changes in Yields and Forward Rates.(1998) In: NBER Working Papers.
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2004Time-changed Levy processes and option pricing In: Journal of Financial Economics.
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2007Stochastic skew in currency options In: Journal of Financial Economics.
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2004Stochastic Skew in Currency Options.(2004) In: Finance.
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2008Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies In: Journal of Financial Economics.
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2010The role of exchange rates in intertemporal risk-return relations In: Journal of International Money and Finance.
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2011Uncovered interest-rate parity over the past two centuries In: Journal of International Money and Finance.
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2003Uncovered Interest Rate Parity Over the Past Two Centuries.(2003) In: International Finance.
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2009Macroeconomic releases and the interest rate term structure In: Journal of Monetary Economics.
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2005A no-arbitrage analysis of economic determinants of the credit spread term structure In: Finance and Economics Discussion Series.
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1997Macroeconomic Foundations of Higher Moments in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure In: Management Science.
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2010The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period In: Management Science.
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2015Imports, Exports, Dollar Exposures, and Stock Returns In: Open Economies Review.
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2006Price discovery in the U.S. stock and stock options markets: A portfolio approach In: Review of Derivatives Research.
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2003Jumps and Dynamic Asset Allocation. In: Review of Quantitative Finance and Accounting.
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2013Static Hedging of Standard Options In: Journal of Financial Econometrics.
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2014Static Hedging of Standard Options.(2014) In: Journal of Financial Econometrics.
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2004Static Hedging of Standard Options.(2004) In: Finance.
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2017Simple Robust Hedging with Nearby Contracts In: Journal of Financial Econometrics.
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2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics.
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2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
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2010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation In: Journal of Financial Econometrics.
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2010Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates In: Review of Finance.
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2013Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* In: Review of Finance.
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2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
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2002Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance.
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2009Variance Risk Premiums In: Review of Financial Studies.
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2011A Simple Robust Link Between American Puts and Credit Protection In: Review of Financial Studies.
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2012Variance swaps on time-changed Lévy processes In: Finance and Stochastics.
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2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns In: The Journal of Business.
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2004Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns.(2004) In: Finance.
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2002Accouting for Biases in Black-Scholes In: Finance.
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2002Contagion in Financial Markets In: Finance.
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2002Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives In: Finance.
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2002The Finite Moment Log Stable Process and Option Pricing In: Finance.
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2002Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? In: Finance.
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2002A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs In: Finance.
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2002Markov Chain Approximations For Term Structure Models In: Finance.
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2002What Type of Process Underlies Options? A Simple Robust Test In: Finance.
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2004Taking Positive Interest Rates Seriously In: Finance.
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2006Taking Positive Interest Rates Seriously.(2006) In: World Scientific Book Chapters.
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2004Variance Risk Premia In: Finance.
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2004What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities In: Finance.
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1999The Potential Approach to Bond and Currency Pricing In: Finance.
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