Liuren Wu : Citation Profile


Are you Liuren Wu?

City University of New York (CUNY)

19

H index

28

i10 index

1586

Citations

RESEARCH PRODUCTION:

39

Articles

27

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 75
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 152.    Total self citations: 24 (1.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwu3
   Updated: 2021-10-09    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)

Stentoft, Lars (14)

Scaillet, Olivier (12)

Monfort, Alain (12)

Fajardo, José (12)

Alexander, Carol (12)

Zhou, Hao (11)

Feunou, Bruno (11)

Cartea, Álvaro (11)

Bekaert, Geert (11)

Bollerslev, Tim (11)

Cites to:

Campbell, John (33)

Duffie, Darrell (22)

Bekaert, Geert (21)

Bollerslev, Tim (19)

Hodrick, Robert (18)

Leippold, Markus (18)

Chen, Zhiwu (17)

Backus, David (17)

merton, robert (17)

Singleton, Kenneth (16)

Engle, Robert (16)

Main data


Where Liuren Wu has published?


Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis7
Journal of Financial Economics5
Journal of Financial Econometrics5
Journal of Banking & Finance3
Review of Finance3
Review of Financial Studies3
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 (2021 and 2020)


YearTitle of citing document
2020Polynomial term structure models. (2016). Tehranchi, Michael R. ; Cheng, SI. In: Papers. RePEc:arx:papers:1504.03238.

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2020Option 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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2020Common 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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2021An 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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2021Dynamics 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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2021Stochastic 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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2021Cryptocurrency Trading: A Comprehensive Survey. (2020). Wu, Fan ; Martinez-Regoband, David ; Li, Lingbo ; Kanthan, Leslie ; Kong, Hoiliong ; Basios, Michail ; Ventre, Carmine ; Fang, Fan. In: Papers. RePEc:arx:papers:2003.11352.

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2020Risk management of guaranteed minimum maturity benefits under stochastic mortality and regime-switching by Fourier space time-stepping framework. (2020). Hu, Wenlong. In: Papers. RePEc:arx:papers:2006.15483.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2020A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets. (2020). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2010.07402.

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2021Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments. (2021). Fr'ed'eric Godin, ; Carbonneau, Alexandre. In: Papers. RePEc:arx:papers:2102.12694.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Analytic formula for option margin with liquidity costs under dynamic delta hedging. (2021). Ki, Byoung ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2103.15302.

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2021Global Index on Financial Losses due to Crime in the United States. (2021). Mahanama, Thilini ; Rachev, Svetlozar ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2105.03514.

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2020A Simple Method for Extracting the Probability of Default from American Put Option Prices. (2020). Chang, Bo Young ; Orosi, Greg. In: Staff Working Papers. RePEc:bca:bocawp:20-15.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2021Passive funds affect prices: evidence from the most ETF-dominated asset classes. (2021). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:952.

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2020Environmental, social, and governance practices and perceived tail risk. (2020). Szado, Edward ; Shafer, Michael. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:4195-4224.

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2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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2020Unveiling Contemporaneous Relations Between Jump Risk and Cross Section of Stock Returns. (2020). Prasanna, Krishna ; Kshatriya, Saranya. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:581-604.

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2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

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2020Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets. (2020). Sarris, Alexandros ; Dotsis, George ; Triantafyllou, Athanasios. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:71:y:2020:i:3:p:631-651.

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2020Option Profit and Loss Attribution and Pricing: A New Framework. (2020). Wu, Liuren ; Carr, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2271-2316.

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2020Static and semistatic hedging as contrarian or conformist bets. (2020). Boyarchenko, Svetlana ; Levendorski, Sergei. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:921-960.

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2020Dissecting skewness under affine jump-diffusions. (2020). Zhen, Fang ; Jin, Zhang ; Fang, Zhen. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:19:n:2.

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2021Growth Uncertainty, Rational Learning, and Option Prices. (2021). Kozhan, Roman ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp682.

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2021Testing for UIP: Nonlinearities, Monetary Announcements and Interest Rate Expectations. (2021). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9027.

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2020Interest Rate Model with Investor Attitude and Text Mining (Published in IEEE Access). (2020). Takahashi, Akihiko ; Saito, Taiga ; Nishimura, Kiyohiko G ; Nakatani, Souta. In: CARF F-Series. RePEc:cfi:fseres:cf479.

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2021A general control variate method for time-changed Lévy processes: An application to option pricing. (2021). Wang, Cong ; Shiraya, Kenichiro ; Yamazaki, Akira. In: CARF F-Series. RePEc:cfi:fseres:cf499.

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2020Estimation of Impulse response functions with term structure local projections. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-05.

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2021The value of bond underwriter relationships. (2021). von Ruden, Stine Louise ; Nielsen, Mads Stenbo ; Dick-Nielsen, Jens. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000511.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2021Price manipulation, dynamic informed trading, and the uniqueness of equilibrium in sequential trading. (2021). Takayama, Shino. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100021x.

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2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

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2020Comparative empirical study of binomial call-option pricing methods using S&P 500 index data. (2020). Herbon, Avi ; Shvimer, Yossi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302268.

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2020News sentiment, credit spreads, and information asymmetry. (2020). Wang, Xinjie ; Liu, Zhechen ; Yang, Shanxiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300760.

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2020Price delay and post-earnings announcement drift anomalies: The role of option-implied betas. (2020). Tsai, Wei-Che ; Ho, Hwai-Chung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300330.

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2020Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study. (2020). Chen, Naiwei ; Bian, Zhicun ; Hong, Hui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818303565.

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2020Hedging and pricing early-exercise options with complex fourier series expansion. (2020). Chan, Tat Lung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818304194.

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2020Crude oil price dynamics with crash risk under fundamental shocks. (2020). Wong, Andrew ; Cheung, Chi-Hin ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301352.

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2020Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020Inference for local distributions at high sampling frequencies: A bootstrap approach. (2020). Varneskov, Rasmus T ; Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:1-34.

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2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020The term structure of equity and variance risk premia. (2020). Ait-Sahalia, Yacine ; Mancini, Loriano ; Karaman, Mustafa. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:204-230.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2021Tail risk and return predictability for the Japanese equity market. (2021). Ubukata, Masato ; Todorov, Viktor ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:344-363.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020A general control variate method for Lévy models in finance. (2020). Uenishi, Hiroki ; Shiraya, Kenichiro ; Yamazaki, Akira. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:3:p:1190-1200.

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2020Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective. (2020). Yu, Fan ; Ye, Xiaoxia ; Li, Haitao. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1153-1167.

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2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2021A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

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2021The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360.

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2020The information content of the term structure of risk-neutral skewness. (2020). Wu, Yangru ; Chang, Hao ; Borochin, Paul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:247-274.

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2020The time-varying asymmetry of exchange rate returns: A stochastic volatility – stochastic skewness model. (2020). Iseringhausen, Martin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:275-292.

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2020Conditional extreme risk, black swan hedging, and asset prices. (2020). Wu, Feng ; Rhee, Ghon S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:412-435.

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2021Does vega-neutral options trading contain information?. (2021). Yang, Heejin ; Ryu, Doojin ; Lee, Jaeram. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:294-314.

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2020The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts. (2020). Samaniego, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301729.

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2020Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate. (2020). Wang, Xunxiao. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302401.

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2021The role of oil price uncertainty shocks on oil-exporting countries. (2021). Rubaszek, Michał ; Śmiech, Sławomir ; Papie, Monika ; Snarska, Magorzata. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303686.

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2020Does Bitcoin behave as a currency?: A standard monetary model approach. (2020). Wong, Andrew ; Chau, Po-Hon ; Lo, Chi-Fai ; Hui, Cho-Hoi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301629.

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2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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2021VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302945.

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2020Do it with a smile: Forecasting volatility with currency options. (2020). Pincheira, Pablo ; Carrasco, Jose A ; Reus, Lorenzo. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319302831.

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2021Optimal risk taking under high-water mark contract with jump risk. (2021). Yan, Jingzhou ; Mu, Congming ; Liang, Zhian . In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319303599.

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2021Covid-19 pandemic and tail-dependency networks of financial assets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Do, Hung Xuan ; Le, Trung Hai. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320316147.

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2021Evaluating Euribor Manipulation: Effects on Mortgage Borrowers. (2021). Sanz-Gomez, Jose-Antonio ; Rojo-Garcia, Jose-Luis ; Rodriguez-Fernandez, Jose-Miguel ; Mate-Garcia, Jorge-Julio ; Fernandez-Abascal, Hermenegildo ; Rodriguez-Lopez, Araceli. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320316093.

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2020Volatility-of-volatility and the cross-section of option returns. (2020). Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118300818.

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2020Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x.

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2021Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan. (2021). Wu, Ming-Hung ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030015x.

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2021The economics of the financial market for volatility trading. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300252.

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2021Aggregate volatility risk: International evidence. (2021). Peterburgsky, Stanley. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319301012.

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2020Term structure of discount rates for firms in the insurance industry. (2020). Zhao, Yanhui ; Lin, Xiao ; Giaccotto, Carmelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:147-158.

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2020No-arbitrage determinants of credit spread curves under the unconventional monetary policy regime in Japan. (2020). Takaoka, Sumiko ; Okimoto, Tatsuyoshi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300290.

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2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

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2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

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2020Up- and downside variance risk premia in global equity markets. (2020). Thimme, Julian ; Omachel, Marcel ; Kapraun, Julia ; Held, Matthias . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301412.

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2020Do investors follow the herd in option markets?. (2020). Voukelatos, Nikolaos ; Verousis, Thanos ; Bernales, Alejandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426616000406.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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2021To change or not to change? The CDS market response of firms on credit watch. (2021). Schiereck, Dirk ; Norden, Lars ; Kolaric, Sascha ; Kiesel, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s037842662100025x.

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2021Grouped data, investment committees & multicriteria portfolio selection. (2021). Hassapis, Christis ; Doukas, Haris ; Xidonas, Panos. In: Journal of Business Research. RePEc:eee:jbrese:v:129:y:2021:i:c:p:205-222.

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2020Pricing structured products with economic covariates. (2020). Jacobs, Kris ; Doshi, Hitesh ; Choi, Yongseok ; Turnbull, Stuart M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:754-773.

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2020A comparison of some structural models of private information arrival. (2020). Young, Lance ; Hu, Edwin ; Duarte, Jefferson. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:795-815.

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2021Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang. (2021). Zhong, Zhaodong ; Yan, Hongjun ; Wu, Yangru ; Wang, Xinjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:545-560.

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2021The cross-section of currency volatility premia. (2021). Neuberger, Anthony ; Kozhan, Roman ; Della Corte, Pasquale. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:950-970.

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2021Treasury yield implied volatility and real activity. (2021). Fleckenstein, Matthias ; Cremers, Martijn ; Gandhi, Priyank. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:412-435.

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2021Attractive and non-attractive currencies. (2021). Marsh, Ian W ; James, Jessica ; Dupuy, Philippe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302096.

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2020Volatility modeling and the asymmetric effect for China’s carbon trading pilot market. (2020). Zheng, Zeyu ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319004.

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2020Duration of Global Financial Cycles. (2020). Berument, Hakan M ; Varlik, Serdar ; Akdi, Yilmaz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:549:y:2020:i:c:s0378437120301102.

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2020Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union. (2020). Krištoufek, Ladislav ; Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:553:y:2020:i:c:s0378437120300698.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2021Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

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2021Option valuations and asset demands and supplies. (2021). Yang, Ya-Huei ; Lu, Jin-Ray . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:49-64.

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2020Variance risk premium in a small open economy with volatile capital flows: The case of Korea. (2020). Yun, Jaeho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:105-125.

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2020Downside uncertainty shocks in the oil and gold markets. (2020). Xu, Yahua ; Byun, Suk Joon ; Roh, Tai-Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:291-307.

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2020Valuation and empirical analysis of currency options. (2020). Lin, Shih-Kuei ; Wen, Chin-Hsiang ; Chuang, Ming-Che. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:71-91.

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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 In: GSIA Working Papers.
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1999Design and Estimation of Affine Yield Models.(1999) In: GSIA Working Papers.
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2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
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2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
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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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2004Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes.(2004) In: Finance.
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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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2002Time-Changed Levy Processes and Option Pricing.(2002) In: Finance.
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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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2009Variance Risk Premiums.(2009) 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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