Liuren Wu : Citation Profile

Are you Liuren Wu?

City University of New York (CUNY)

23

H index

32

i10 index

2183

Citations

RESEARCH PRODUCTION:

39

Articles

27

Papers

1

Chapters

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 103
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 234.    Total self citations: 27 (1.22 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwu3
   Updated: 2023-05-27    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:

Stentoft, Lars (23)

Ait-Sahalia, Yacine (19)

Scaillet, Olivier (19)

Feunou, Bruno (18)

Cartea, Álvaro (17)

Fajardo, José (17)

Andersen, Torben (16)

Zhou, Hao (14)

Bollerslev, Tim (14)

Alexander, Carol (14)

Violante, Francesco (14)

Cites to:

Campbell, John (34)

Duffie, Darrell (27)

Bekaert, Geert (25)

Bollerslev, Tim (23)

Singleton, Kenneth (23)

merton, robert (19)

Hodrick, Robert (19)

Engle, Robert (18)

Leippold, Markus (18)

Chen, Zhiwu (17)

Diebold, Francis (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
The Journal of Financial Econometrics5
Journal of Banking & Finance3
Review of Finance3
Review of Financial Studies3
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 (2022 and 2021)

YearTitle of citing document
2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2022Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022003.

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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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2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2022Cryptocurrency 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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2022A Theory of Equivalent Expectation Measures for Expected Prices of Contingent Claims. (2020). Zhuo, Xiaoyang ; Nawalkha, Sanjay K. In: Papers. RePEc:arx:papers:2006.15312.

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2021Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2021Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options. (2021). Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2101.00299.

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2021The Log Moment formula for implied volatility. (2021). Raval, Vimal ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2101.08145.

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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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2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

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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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2021Feasible Implied Correlation Matrices from Factor Structures. (2021). Schadner, Wolfgang. In: Papers. RePEc:arx:papers:2107.00427.

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2021Short-time implied volatility of additive normal tempered stable processes. (2021). Baviera, Roberto ; Azzone, Michele. In: Papers. RePEc:arx:papers:2108.02447.

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2021Pricing S&P 500 Index Options with L\evy Jumps. (2021). Liang, Nan ; Xie, Bin. In: Papers. RePEc:arx:papers:2111.10033.

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2022CBI-time-changed L\evy processes for multi-currency modeling. (2021). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Papers. RePEc:arx:papers:2112.02440.

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2021Realized GARCH, CBOE VIX, and the Volatility Risk Premium. (2021). Huang, Zhuo ; Wang, Tianyi ; Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2112.05302.

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2022Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2022). Bayer, Christian ; Tempone, Ra'Ul ; Samet, Michael ; Papapantoleon, Antonis ; ben Hammouda, Chiheb. In: Papers. RePEc:arx:papers:2203.08196.

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2022Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862.

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2022On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500. (2022). Grzelak, Lech A. In: Papers. RePEc:arx:papers:2208.12518.

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2022Regime-based Implied Stochastic Volatility Model for Crypto Option Pricing. (2022). Aste, Tomaso ; Wang, Yuanrong ; Saef, Danial. In: Papers. RePEc:arx:papers:2208.12614.

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2022Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2022). Streicher, Sina ; Polivka, Jeannine ; Halbleib, Roxana ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2212.11833.

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2023Data-driven Approach for Static Hedging of Exchange Traded Options. (2023). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2302.00728.

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2023Modeling and Simulation of Financial Returns under Non-Gaussian Distributions. (2023). Nicrosini, Oreste ; Montagna, Guido ; Livan, Giacomo ; de Domenico, Federica. In: Papers. RePEc:arx:papers:2302.02769.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2023Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy. (2023). Ausloos, Marcel ; Vinte, Claudiu. In: Papers. RePEc:arx:papers:2303.09330.

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2023How to handle the COS method for option pricing. (2023). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012.

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2023Dark Matter in (Volatility and) Equity Option Risk Premiums. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip. In: Papers. RePEc:arx:papers:2303.16371.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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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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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2021New Zealand whole milk powder options. (2021). Zhang, Jin E ; Aschakulporn, Pakorn. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:2201-2246.

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2021Relevance of the disposition effect on the options market: New evidence. (2021). Chou, Robin K ; Chiu, Hsinyu ; Chiang, Mihsiu. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:75-106.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021Is aggregate volatility a priced risk factor?. (2021). Peterburgsky, Stanley. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:3:p:843-864.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment. (2021). Martin, Ian ; Gao, Can. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3211-3254.

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2022Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. (2022). Pollet, Joshua M ; Pearson, Neil D ; Muravyev, Dmitriy. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1787-1828.

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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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2022Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693.

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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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2022Moments of Maximum of Lévy Processes: Application to Barrier and Lookback Option Pricing. (2022). Yamazaki, Akira ; Umezawa, Yuji ; Shiraya, Kenichiro ; Li, Yuan. In: CARF F-Series. RePEc:cfi:fseres:cf536.

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2021Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo . In: CNMV Documentos de Trabajo. RePEc:cnv:docutr:dt_73es.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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2022Explainable neural network for pricing and universal static hedging of contingent claims. (2022). Jain, Shashi ; Bharadwaj, Vikram ; Lokeshwar, Vikranth. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:417:y:2022:i:c:s0096300321008572.

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2022CDS trading and analyst optimism. (2022). Zhong, Zhaodong ; Govindaraj, Suresh ; Li, Yubin ; Zhao, Chen. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:4:s0890838922000385.

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2021A difference method with parallel nature for solving time-space fractional Black-Schole model. (2021). Zuo, Qian ; He, Ying ; Yan, Ruifang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:151:y:2021:i:c:s0960077921006342.

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2022Dynamics of a stochastic delayed chemostat model with nutrient storage and Lévy jumps. (2022). Li, Dong ; Tian, Baodan ; Xu, Xin ; Chen, Xingzhi ; Yang, Dan. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:165:y:2022:i:p1:s0960077922009523.

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

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2021Same firm, two volatilities: How variance risk is priced in credit and equity markets. (2021). Tortorice, Daniel ; Kita, Arben. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921000055.

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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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2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2021The impact of hedging on risk-averse agents’ output decisions. (2021). Dunbar, Kwamie ; Owusu-Amoako, Johnson. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002273.

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2023Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns. (2023). Peng, Zhe ; Xu, Mengyu ; Zhang, Zhengjun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003613.

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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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2021A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model. (2021). Zhu, Chunhui ; Zhang, Yuanyuan ; Li, Shaoyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001479.

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2022On the exercise of American quanto options. (2022). Sbuelz, Alessandro ; de Donno, Marzia ; Battauz, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000870.

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2022Option pricing with the control variate technique beyond Monte Carlo simulation. (2022). Liu, Liang-Chih ; Lyuu, Yuh-Dauh ; Dai, Tian-Shyr ; Chiu, Chun-Yuan ; Chen, Yu-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001140.

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2022Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect. (2022). Lenz, Jimmie ; Brini, Alessio. In: Economics Letters. RePEc:eee:ecolet:v:220:y:2022:i:c:s0165176522003597.

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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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2021Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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2022Testing for the presence of jump components in jump diffusion models. (2022). Zheng, XU ; Wang, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:483-509.

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2022Testing for parameter instability and structural change in persistent predictive regressions. (2022). Varneskov, Rasmus T ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:361-386.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2022Stochastic leverage effect in high-frequency data: a Fourier based analysis. (2022). Sanfelici, Simona ; Curato, Imma Valentina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:53-82.

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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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2022Model risk in the over-the-counter market. (2022). Qi, Shuyuan ; Lazar, Emese. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:769-784.

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2022Smiles & smirks: Volatility and leverage by jumps. (2022). Ballotta, Laura ; Rayee, Gregory . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1145-1161.

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2022Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model. (2022). Hong, YI ; Jin, Xing. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:975-985.

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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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2021Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data. (2021). Ewald, Christian-Oliver ; Zou, Yihan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:37-52.

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2022Uncovered interest rate parity redux: Non-uniform effects. (2022). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:133-151.

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2022Oil uncertainty and firms risk-taking. (2022). Lu, Man ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001025.

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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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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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2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies. (2021). Li, Youwei ; Wang, Yizhi ; Almaharmeh, Mohammad I ; Vigne, Samuel A ; Shehadeh, Ali A. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002003.

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2022An empirical evaluation of alternative fundamental models of credit spreads. (2022). Headley, Adrian ; Murphy, Austin. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000904.

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2022Market co-movement between credit default swap curves and option volatility surfaces. (2022). Shi, Yukun ; Stasinakis, Charalampos ; Xu, Yaofei ; Yan, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001533.

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2022Stock price default boundary: A Black-Cox model approach. (2022). Zhang, Xuan ; Yan, Cheng ; Xu, Yaofei ; Stasinakis, Charalampos ; Shi, Yunkun. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200240x.

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2022The information content of CDS implied volatility and associated trading strategies. (2022). Yan, Cheng ; Xu, Yaofei ; Guo, Biao ; Chen, Ding ; Shi, Yukun. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002502.

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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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2023S&P volatility, VIX, and asymptotic volatility estimates. (2023). Christie-David, Rohan ; Chatrath, Arjun ; Bonaparte, Yosef. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005694.

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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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2022Price impact versus bid–ask spreads in the index option market. (2022). van Kervel, Vincent ; Seeger, Norman J ; Kaeck, Andreas. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pa:s1386418121000550.

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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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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.
[Full Text][Citation analysis]		article8
1999Design and Estimation of Affine Yield Models In: GSIA Working Papers.
[Full Text][Citation analysis]		paper7
1999Design and Estimation of Affine Yield Models.(1999) In: GSIA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article107
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 107		paper
2009A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article5
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article99
2016Anchoring Credit Default Swap Spreads to Firm Fundamentals In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article21
2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article19
2018Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
2018Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
2004Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper104
2004Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		paper
2011Variance dynamics: Joint evidence from options and high-frequency returns In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2007International capital asset pricing: Evidence from options In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2006A comprehensive analysis of the short-term interest-rate dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article23
2007Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article41
2018Estimating risk-return relations with analysts price targets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2016Analyzing volatility risk and risk premium in option contracts: A new theory In: Journal of Financial Economics.
[Full Text][Citation analysis]		article22
2001Predictable changes in yields and forward rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article75
1998Predictable Changes in Yields and Forward Rates.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 75		paper
2004Time-changed Levy processes and option pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article197
2002Time-Changed Levy Processes and Option Pricing.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 197		paper
2007Stochastic skew in currency options In: Journal of Financial Economics.
[Full Text][Citation analysis]		article140
2004Stochastic Skew in Currency Options.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 140		paper
2008Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article68
2010The role of exchange rates in intertemporal risk-return relations In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article4
2011Uncovered interest-rate parity over the past two centuries In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article113
2003Uncovered Interest Rate Parity Over the Past Two Centuries.(2003) In: International Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113		paper
2009Macroeconomic releases and the interest rate term structure In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article9
2005A no-arbitrage analysis of economic determinants of the credit spread term structure In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper3
1997Macroeconomic Foundations of Higher Moments in Bond Yields In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
[Citation analysis]		paper2
2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure In: Management Science.
[Full Text][Citation analysis]		article30
2010The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period In: Management Science.
[Full Text][Citation analysis]		article11
2015Imports, Exports, Dollar Exposures, and Stock Returns In: Open Economies Review.
[Full Text][Citation analysis]		article1
2006Price discovery in the U.S. stock and stock options markets: A portfolio approach In: Review of Derivatives Research.
[Full Text][Citation analysis]		article12
2003Jumps and Dynamic Asset Allocation. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article23
2013Static Hedging of Standard Options In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article31
2014Static Hedging of Standard Options.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		article
2004Static Hedging of Standard Options.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2017Simple Robust Hedging with Nearby Contracts In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article86
2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 86		paper
2010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article49
2010Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates In: Review of Finance.
[Full Text][Citation analysis]		article3
2013Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* In: Review of Finance.
[Full Text][Citation analysis]		article23
2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
[Full Text][Citation analysis]		article40
2002Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2009Variance Risk Premiums In: Review of Financial Studies.
[Full Text][Citation analysis]		article379
2009Variance Risk Premiums.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 379		article
2011A Simple Robust Link Between American Puts and Credit Protection In: Review of Financial Studies.
[Full Text][Citation analysis]		article27
2012Variance swaps on time-changed Lévy processes In: Finance and Stochastics.
[Full Text][Citation analysis]		article22
2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns In: The Journal of Business.
[Full Text][Citation analysis]		article23
2004Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2002Accouting for Biases in Black-Scholes In: Finance.
[Full Text][Citation analysis]		paper18
2002Contagion in Financial Markets In: Finance.
[Full Text][Citation analysis]		paper3
2002Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives In: Finance.
[Full Text][Citation analysis]		paper0
2002The Finite Moment Log Stable Process and Option Pricing In: Finance.
[Full Text][Citation analysis]		paper155
2002Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? In: Finance.
[Full Text][Citation analysis]		paper1
2002A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs In: Finance.
[Full Text][Citation analysis]		paper2
2002Markov Chain Approximations For Term Structure Models In: Finance.
[Full Text][Citation analysis]		paper0
2002What Type of Process Underlies Options? A Simple Robust Test In: Finance.
[Full Text][Citation analysis]		paper110
2004Taking Positive Interest Rates Seriously In: Finance.
[Full Text][Citation analysis]		paper0
2006Taking Positive Interest Rates Seriously.(2006) In: World Scientific Book Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		chapter
2004Variance Risk Premia In: Finance.
[Full Text][Citation analysis]		paper17
2004What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities In: Finance.
[Full Text][Citation analysis]		paper3
1999The Potential Approach to Bond and Currency Pricing In: Finance.
[Full Text][Citation analysis]		paper1

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