Liuren Wu : Citation Profile


Are you Liuren Wu?

City University of New York (CUNY)

18

H index

27

i10 index

1460

Citations

RESEARCH PRODUCTION:

39

Articles

27

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 69
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 168.    Total self citations: 24 (1.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwu3
   Updated: 2020-10-17    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)

Fajardo, José (12)

Scaillet, Olivier (12)

Alexander, Carol (12)

Monfort, Alain (12)

Cartea, Álvaro (11)

Bollerslev, Tim (11)

Bekaert, Geert (11)

Zhou, Hao (11)

Fabozzi, Frank (10)

Cites to:

Campbell, John (33)

Duffie, Darrell (22)

Bekaert, Geert (21)

Bollerslev, Tim (19)

Hodrick, Robert (18)

Leippold, Markus (18)

merton, robert (17)

Backus, David (17)

Chen, Zhiwu (17)

Engle, Robert (16)

Singleton, Kenneth (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 Econometrics5
Journal of Financial Economics5
Journal of Banking & Finance3
Review of Financial Studies3
Review of Finance3
Management Science2
Journal of International Money and Finance2

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 (2020 and 2019)


YearTitle of citing document
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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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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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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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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2020Dynamics 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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2020Stochastic 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). Jain, Shashi ; Bhardawaj, Vikram ; Lokeshwar, Vikranth. In: Papers. RePEc:arx:papers:1911.11362.

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2019The Black-Scholes-Merton dual equation. (2019). Liu, Qiang ; Guo, Shuxin . In: Papers. RePEc:arx:papers:1912.10380.

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2020Cryptocurrency 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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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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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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2019Bayesian Inference for Markov-switching Skewed Autoregressive Models. (2019). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:726.

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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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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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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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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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2020Uncovered Interest Rate Parity Redux: Non- Uniform Effects. (2020). Cheung, Yin-Wong ; Wang, Wenhao. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2020_004.

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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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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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2019Portfolio selection with inflation-linked bonds and indexation lags. (2019). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:10.

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2019Functional Ross recovery: Theoretical results and empirical tests. (2019). Maurer, Raimond ; Dillschneider, Yannick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301496.

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2019The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC). (2019). Ogebe, Joseph O ; Adewuyi, Adeolu O. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:229-249.

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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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2019How does information disclosure affect liquidity? Evidence from an emerging market. (2019). Agudelo, Diego A ; Arango, Ignacio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306259.

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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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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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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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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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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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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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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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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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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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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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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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2019A note of techniques that mitigate floating-point errors in PIN estimation. (2019). Lin, Hsiou-Wei William ; Chen, Hueiling ; Ke, Wen-Chyan . In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318302289.

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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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2019The information content of short-term options. (2019). Simen, Chardin Wese ; Symeonidis, Lazaros ; Stancu, Andrei ; Oikonomou, Ioannis. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118303057.

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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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2019Affordable and adequate annuities with stable payouts: Fantasy or reality?. (2019). Linders, Daniel ; van Bilsen, Servaas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:19-42.

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2019Pricing industry loss warranties in a Lévy–Frailty framework. (2019). Marugg, Andrin ; Braun, Alexander ; Beer, Simone. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:89:y:2019:i:c:p:171-181.

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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2019Exchange rate comovements, hedging and volatility spillovers on new EU forex markets. (2019). Kočenda, Evžen ; Moravcova, Michala ; Koenda, Even. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:42-64.

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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019Contagion risk in global banking sector. (2019). Mishra, Anil ; Choudhury, Tonmoy ; Batten, Jonathan A ; Daly, Kevin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118300684.

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2019Does risk premium help uncover the uncovered interest parity failure?. (2019). Kumar, Satish. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443118302725.

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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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2019Explaining CDS prices with Merton’s model before and after the Lehman default. (2019). Marra, Miriam ; Gemmill, Gordon . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:93-109.

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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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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2019A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20.

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2019The impact of jumps on carry trade returns. (2019). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:433-455.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2019Common risk factors in the cross-section of corporate bond returns. (2019). Wen, Quan ; Bali, Turan G ; Bai, Jennie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:619-642.

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2019Bear beta. (2019). Murray, Scott ; Lu, Zhongjin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:736-760.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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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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2019Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market. (2019). Agudelo, Diego ; Yepes-Henao, Paula ; Byder, James. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:187-203.

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2019The economic drivers of commodity market volatility. (2019). Symeonidis, Lazaros ; Stancu, Andrei ; Prokopczuk, Marcel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:4.

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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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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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2019Pricing discrete barrier options under jump-diffusion model with liquidity risk. (2019). Li, Zhe ; Zhang, Yue ; Liu, Yong-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:347-368.

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2019Its not that important: The negligible effect of oil market uncertainty. (2019). Wang, Yudong ; Liu, LI ; Feng, Jiabao ; Yin, Libo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:62-84.

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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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2019Estimation of the stochastic leverage effect using the Fourier transform method. (2019). Curato, Imma Valentina. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3207-3238.

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2019Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics. (2019). Watugala, Sumudu W ; Tran, Brigitte Roth ; Kruttli, Mathias S. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-54.

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2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

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2019Research on the Factors Affecting the Risk Premium of China’s Green Bond Issuance. (2019). Ji, Junping ; Luo, LI ; Zhou, Yaning ; Wang, Qinghua. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:22:p:6394-:d:286689.

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2020Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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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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article68
2016Anchoring Credit Default Swap Spreads to Firm Fundamentals In: Journal of Financial and Quantitative Analysis.
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article8
2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions In: Journal of Financial and Quantitative Analysis.
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article4
2018Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis.
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article1
2018Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions In: Journal of Financial and Quantitative Analysis.
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article1
2004Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes In: Econometric Society 2004 North American Winter Meetings.
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paper63
2004Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes.(2004) In: Finance.
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paper
2011Variance dynamics: Joint evidence from options and high-frequency returns In: Journal of Econometrics.
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article20
2007International capital asset pricing: Evidence from options In: Journal of Empirical Finance.
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article12
2006A comprehensive analysis of the short-term interest-rate dynamics In: Journal of Banking & Finance.
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article22
2007Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options In: Journal of Banking & Finance.
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article41
2018Estimating risk-return relations with analysts price targets In: Journal of Banking & Finance.
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article1
2016Analyzing volatility risk and risk premium in option contracts: A new theory In: Journal of Financial Economics.
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article12
2001Predictable changes in yields and forward rates In: Journal of Financial Economics.
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article58
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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article169
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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article114
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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article51
2010The role of exchange rates in intertemporal risk-return relations In: Journal of International Money and Finance.
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article3
2011Uncovered interest-rate parity over the past two centuries In: Journal of International Money and Finance.
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article92
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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article7
2005A no-arbitrage analysis of economic determinants of the credit spread term structure In: Finance and Economics Discussion Series.
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paper3
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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paper2
2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure In: Management Science.
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article23
2010The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period In: Management Science.
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article11
2015Imports, Exports, Dollar Exposures, and Stock Returns In: Open Economies Review.
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article0
2006Price discovery in the U.S. stock and stock options markets: A portfolio approach In: Review of Derivatives Research.
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article7
2003Jumps and Dynamic Asset Allocation. In: Review of Quantitative Finance and Accounting.
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article13
2013Static Hedging of Standard Options In: Journal of Financial Econometrics.
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article21
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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article0
2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics.
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article71
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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article35
2010Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates In: Review of Finance.
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article3
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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article15
2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
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article29
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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article264
2009Variance Risk Premiums.(2009) In: Review of Financial Studies.
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article
2011A Simple Robust Link Between American Puts and Credit Protection In: Review of Financial Studies.
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article17
2012Variance swaps on time-changed Lévy processes In: Finance and Stochastics.
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article21
2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns In: The Journal of Business.
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article16
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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paper2
2002Markov Chain Approximations For Term Structure Models In: Finance.
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paper0
2002What Type of Process Underlies Options? A Simple Robust Test In: Finance.
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paper3
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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chapter
2004Variance Risk Premia In: Finance.
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paper15
2004What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities In: Finance.
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paper2
1999The Potential Approach to Bond and Currency Pricing In: Finance.
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paper1

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