Liuren Wu : Citation Profile


Are you Liuren Wu?

City University of New York (CUNY)

23

H index

32

i10 index

2317

Citations

RESEARCH PRODUCTION:

44

Articles

28

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 89
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 29 (1.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwu3
   Updated: 2024-01-16    RAS profile: 2023-07-07    
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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)

Feunou, Bruno (22)

Ait-Sahalia, Yacine (19)

Scaillet, Olivier (19)

Andersen, Torben (17)

Fajardo, José (17)

Cartea, Álvaro (17)

Bekaert, Geert (14)

Violante, Francesco (14)

Zhou, Hao (14)

Alexander, Carol (14)

Cites to:

Campbell, John (38)

Duffie, Darrell (27)

Bollerslev, Tim (26)

Singleton, Kenneth (25)

Bekaert, Geert (25)

Chen, Zhiwu (20)

Hodrick, Robert (19)

Andersen, Torben (19)

Cao, Charles (18)

merton, robert (18)

Leippold, Markus (18)

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
Review of Finance4
Review of Financial Studies3
Journal of Finance3
Journal of Banking & Finance3
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 (2024 and 2023)


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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2023Optimal 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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2023Limiting sequential decompositions and applications in finance. (2022). Christiansen, Marcus C ; Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2212.06733.

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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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2023Option pricing under jump diffusion model. (2023). Wang, LI ; Li, Qian. In: Papers. RePEc:arx:papers:2305.10678.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Mind the Cap! -- Constrained Portfolio Optimisation in Hestons Stochastic Volatility Model. (2023). Escobar Anel, Marcos ; Zagst, Rudi ; Kschonnek, Michel ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2306.11158.

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2023The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661.

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2023Asymptotics for Short Maturity Asian Options in a Jump-Diffusion model with Local Volatility. (2023). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672.

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2023From constant to rough: A survey of continuous volatility modeling. (2023). Yurchenko-Tytarenko, Anton ; Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia. In: Papers. RePEc:arx:papers:2309.01033.

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2023Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968.

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2023The ATM implied skew in the ADO-Heston model. (2023). Itkin, Andrey. In: Papers. RePEc:arx:papers:2309.15044.

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2023Multi-period static hedging of European options. (2023). Jain, Shashi ; Iyer, Srikanth ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

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2023Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management. (2023). Arian, Hamid ; Haghighi, Alireza Moslemi ; Zamani, Shiva. In: Papers. RePEc:arx:papers:2311.14985.

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2023Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282.

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2023How much do firms need to satisfy employees? - Evidence from credit spreads and online employee reviews. (2023). Takaoka, Sumiko ; Takahashi, Koji. In: BIS Working Papers. RePEc:bis:biswps:1111.

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2023The cumulant risk premium. (2023). Todorov, Karamfil. In: BIS Working Papers. RePEc:bis:biswps:1128.

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2023Market Volatility, Monetary Policy and the Term Premium. (2023). Zampolli, Fabrizio ; Mohanty, Madhusudan ; Mallick, Sushanta ; Kumar, Abhishek. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:208-237.

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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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2023A stochastic-local volatility model with Le´vy jumps for pricing derivatives. (2023). Kim, Jeong-Hoon. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:451:y:2023:i:c:s0096300323002035.

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2023Asymmetric information and the distribution of trading volume. (2023). Lof, Matthijs ; van Bommel, Jos. In: Journal of Corporate Finance. RePEc:eee:corfin:v:82:y:2023:i:c:s092911992300113x.

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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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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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2023A defined benefit pension plan game with Brownian and Poisson jumps uncertainty. (2023). Lopez-Casado, Paula ; Josa-Fombellida, Ricardo. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:3:p:1294-1311.

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2023Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142.

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2023Price convergence between credit default swap and put option: New evidence. (2023). Poon, Ser-Huang ; Lin, Ming-Tsung ; Kolokolova, Olga ; Chan, Ka Kei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:188-213.

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2023Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571.

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2023Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229.

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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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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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2023A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x.

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2023Deviations from covered interest parity in the emerging markets after the global financial crisis. (2023). Geyikçi, Utku ; Ozyildirim, Suheyla ; Geyiki, Utku Bora. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000331.

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2023A multifractal model of asset (in)variances. (2023). Grobys, Klaus. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000355.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023The sum of all fears: Forecasting international returns using option-implied risk measures. (2023). Toupin, Dominique ; Power, Gabriel J ; Gagnon, Marie-Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002813.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2023Information acquisition costs and credit spreads. (2023). Rettl, Daniel A ; Jaskowski, Marcin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s037842662300016x.

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2023Biased risk perceptions: Evidence from the laboratory and financial markets. (2023). Putni, Tlis J ; Pradier, Lionnel ; Payzan-Lenestour, Elise. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002655.

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2023Pricing, issuance volume, and design of innovative securities: The role of investor information. (2023). Straumann, Simon ; Arnold, Marc ; Ammann, Manuel. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:55:y:2023:i:c:s1042957323000244.

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2023Explaining intraday crude oil returns with higher order risk-neutral moments. (2023). Wong, Patrick. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000211.

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2023Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247.

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2023On a time-changed Lévy risk model with capital injections and periodic observation. (2023). Zhang, Zhimin ; Teng, YE. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:214:y:2023:i:c:p:290-314.

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2023Cointegration analysis of hazard rates and CDSs: Applications to pairs trading strategy. (2023). Nakamura, Nobuhiro ; Kato, Kensuke. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:612:y:2023:i:c:s0378437123000444.

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2023The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511.

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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: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004417.

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2023Global risk and market conditions. (2023). Carrieri, Francesca ; Akbari, Amir. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:51-70.

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2023Foreign exchange market efficiency during COVID-19 pandemic. (2023). El-Masry, Ahmed ; Azzam, Islam ; Yamani, Ehab. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:717-730.

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2023CBI-time-changed Lévy processes. (2023). Szulda, Guillaume ; Gnoatto, Alessandro ; Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:323-349.

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2023Shot-noise cojumps: exact simulation and option pricing. (2023). Zhao, Hongbiao ; Dassios, Angelos ; Qu, Yan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:111537.

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2023Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps. (2023). Ugolini, Andrea ; Ojea-Ferreiro, Javier ; Reboredo, Juan C. In: Working Papers. RePEc:fem:femwpa:2023.04.

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2023Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications. (2023). Oh, Dong Hwan ; Kim, Baeho ; Byun, Kiwoong. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-55.

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2023The Pricing Kernel in Options. (2023). Kim, Hyung Joo ; Jacobs, Kris ; Heston, Steven. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96652.

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2023The Price of Macroeconomic Uncertainty: Evidence from Daily Options. (2023). Samadi, Mehrdad ; Londono, Juan M. In: International Finance Discussion Papers. RePEc:fip:fedgif:96660.

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2023The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072.

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2023.

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2023.

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2023.

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2023.

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2023Sparse Modeling Approach to the Arbitrage-Free Interpolation of Plain-Vanilla Option Prices and Implied Volatilities. (2023). Guterding, Daniel. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:83-:d:1135421.

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2023Electric Vehicle Charging System in the Smart Grid Using Different Machine Learning Methods. (2023). Nadeem, Muhammad Asgher ; Malik, Muhammad Amir ; Asif, Rizwana Naz ; Mazhar, Tehseen ; Ashraf, Shahzad ; Kamran, Muhammad ; Iqbal, Muhammad ; Haq, Inayatul. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2603-:d:1053936.

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2023The Growth of Information Asymmetry Between Earnings Announcements and Its Implications for Reporting Frequency. (2023). Stoumbos, Robert. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1901-1928.

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2023Belief Dispersion and Convex Cost of Adjustment in the Stock Market and in the Real Economy. (2023). Jouini, Elyes. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:4190-4209.

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2023Delta-hedging in fractional volatility models. (2023). Chronopoulou, Alexandra ; Zhao, QI. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00415-w.

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2023The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option. (2023). Farnam, B ; Adl, A ; Mesgarani, H ; Aghdam, Esmaeelzade Y. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10216-4.

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2023Numerical Approximation to a Variable-Order Time-Fractional Black–Scholes Model with Applications in Option Pricing. (2023). Zheng, Xiangcheng ; Zhang, Meihui. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:3:d:10.1007_s10614-022-10295-x.

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2023Investor sentiment and bitcoin prices. (2023). Koutmos, Dimitrios. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01086-4.

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2023Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6.

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2023A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

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2023Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps. (2023). Ojea-Ferreiro, Javier ; Reboredo, Juan C. In: Working Papers. RePEc:mib:wpaper:509.

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2023ABC-based Forecasting in State Space Models. (2023). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Weerasinghe, Chaya. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-12.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023The riskiness of stock versus money market investment with stochastic rates. (2023). Bihary, Zsolt ; Szabo, David Zoltan. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:31:y:2023:i:2:d:10.1007_s10100-022-00814-4.

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2023Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market. (2023). Dragotă, Victor ; Iordache, Andreea ; Trifan, Ruxandra ; Cepoi, Cosmin Octavian. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00415-9.

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2023Upside and downside correlated jump risk premia of currency options and expected returns. (2023). Lin, Shih-Kuei ; Chen, Ting-Fu ; Chang, Hsing-Hua. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00493-3.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9.

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2023The Anatomy of Cyber Risk. (2023). Tahoun, Ahmed ; Rey, Helene ; Jamilov, Rustam. In: Working Papers Series. RePEc:thk:wpaper:inetwp206.

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2023Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries. (2023). Werner, Richard A ; Lee, Kangsoek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3960-3975.

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2023Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach. (2023). Agarwalla, Sobhesh Kumar ; Kumar, Sudarshan ; Virmani, Vineet ; Varma, Jayanth R. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:11:p:1615-1644.

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2023.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Who has an edge in trading index derivatives?. (2023). Lee, Jaeram ; Kang, Jangkoo ; Jang, Jeewon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:325-348.

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2023Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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2023How should the long-term investor harvest variance risk premiums?. (2023). Korn, Olaf ; Dorries, Julian ; Power, Gabriel J. In: CFR Working Papers. RePEc:zbw:cfrwps:279557.

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Works by Liuren Wu:


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2019Using Machine Learning to Predict Realized Variance In: Papers.
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2009Predictability of Interest Rates and Interest-Rate Portfolios In: Journal of Business & Economic Statistics.
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2002The Finite Moment Log Stable Process and Option Pricing.(2002) In: Finance.
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2003What Type of Process Underlies Options? A Simple Robust Test In: Journal of Finance.
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2002What Type of Process Underlies Options? A Simple Robust Test.(2002) In: Finance.
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2020Option Profit and Loss Attribution and Pricing: A New Framework In: Journal of Finance.
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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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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: The Journal of Financial Econometrics.
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2014Static Hedging of Standard Options.(2014) In: The 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: The Journal of Financial Econometrics.
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2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: The 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: The 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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2023Decomposing Long Bond Returns: A Decentralized Theory* 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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2020The shale revolution and shifting crude dynamics In: Journal of Applied Econometrics.
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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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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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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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2023Probabilistic Interpretation of Black Implied Volatility In: World Scientific Book Chapters.
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