Liuren Wu : Citation Profile

Are you Liuren Wu?

City University of New York (CUNY)

24

H index

33

i10 index

2405

Citations

RESEARCH PRODUCTION:

44

Articles

28

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1997 - 2023). See details.
   Cites by year: 92
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 169.    Total self citations: 29 (1.19 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwu3
   Updated: 2024-11-04    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)

Cartea, Álvaro (17)

Fajardo, José (17)

Andersen, Torben (17)

Alexander, Carol (14)

Zhou, Hao (14)

Bekaert, Geert (14)

Bollerslev, Tim (14)

Cites to:

Campbell, John (38)

Duffie, Darrell (27)

Bollerslev, Tim (26)

Singleton, Kenneth (25)

Bekaert, Geert (25)

Chen, Zhiwu (20)

Andersen, Torben (19)

Hodrick, Robert (19)

Cao, Charles (18)

Leippold, Markus (18)

Engle, Robert (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 Econometrics5
Journal of Financial Economics5
Review of Finance4
Journal of Banking & Finance3
The Review of Financial Studies3
Journal of 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
2023What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries. (2023). Ha, Quan Tran ; Yihong, Simon Cottrell. In: The Energy Journal. RePEc:aen:journl:ej44-5-delpachitra.

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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 Carlos. In: FEEM Working Papers. RePEc:ags:feemwp:330720.

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2024The Black-Scholes-Merton dual equation. (2019). Liu, Qiang ; Guo, Shuxin . In: Papers. RePEc:arx:papers:1912.10380.

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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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2023Efficient 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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2024Data-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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2024How 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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2024Asymptotics 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). Haghighi, Alireza Moslemi ; Zamani, Shiva ; Arian, Hamid. 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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2024Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement. (2024). Jain, Shashi ; Dhandapani, Vikranth Lokeshwar. In: Papers. RePEc:arx:papers:2402.17941.

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2024Optimal positioning in derivative securities in incomplete markets. (2024). Leung, Tim ; Shirai, Yoshihiro ; Lorig, Matthew. In: Papers. RePEc:arx:papers:2403.00139.

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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2024Joint calibration to SPX and VIX Derivative Markets with Composite Change of Time Models. (2024). Peng, Xianhua ; Cheng, Xue. In: Papers. RePEc:arx:papers:2404.16295.

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2023.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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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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2024Carry trade and forward premium puzzle from the perspective of a safe?haven currency. (2020). Nitschka, Thomas ; Haab, David R. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:2:p:376-394.

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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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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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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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2024Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle. (2024). Li, Xiaotong ; So, Jacky Yuk-Chow ; Fu, QI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001869.

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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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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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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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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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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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2023What drives the TIPS–Treasury bond mispricing?. (2023). Ahn, Yongkil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001056.

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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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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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2023Market uncertainty, persistent arbitrage-free violation, and price discovery in RMB market. (2023). Yang, Jimmy J ; Chen, Yu-Lun ; Xu, KE. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s105752192300412x.

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2024Sustainability and credit spreads in Japan. (2024). Okimoto, Tatsuyoshi ; Takaoka, Sumiko. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005689.

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2024Options illiquidity in an over-the-counter market. (2024). Ahn, Jungkyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002357.

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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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2023Variance risk premiums and aging firms. (2023). Neururer, Thaddeus. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006840.

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2024State-dependent volatility feedback effect in the ICAPM. (2024). O'Connor, Matthew L ; Nam, Kiseok ; Kilic, Osman. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010723.

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2024Flight to safety, intermediation frictions, and US Treasury floating rate note prices. (2024). Ahn, Yongkil. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301245x.

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2024The VIXs term structure of individual active stocks. (2024). Shuval, Kerem ; Snunu, Iyad ; David, OR ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000667.

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2024The daily rise and fall of the VIX1D: Causes and solutions of its overnight bias. (2024). Kestner, Lars N ; Albers, Stefan. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324002162.

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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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2023Pricing of European currency options considering the dynamic information costs. (2023). de Peretti, Christian ; ben Hamad, Salah ; Dammak, Wael ; Eleuch, Hichem. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000923.

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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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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024The efficiency of the Estr overnight index swap market. (2024). Realdon, Marco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s104244312400009x.

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2024Predicting recessions using VIX–yield curve cycles. (2024). Hansen, Anne Lundgaard. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:409-422.

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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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2023Dynamics of subjective risk premia. (2023). Xu, Zhengyang ; Nagel, Stefan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001459.

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2023Treasury option returns and models with unspanned risks. (2023). Gao, Xiaohui ; Crosby, John ; Bakshi, Gurdip ; Hansen, Jorge W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001769.

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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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2024The out-of-sample performance of carry trades. (2024). Li, Yan ; Wang, Zigan ; Taylor, Mark P ; Hsu, Po-Hsuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000299.

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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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2023Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure. (2023). Papadamou, Stephanos ; Kenourgios, Dimitris ; Fassas, Athanasios ; Dimitriou, Dimitrios. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s1703494923000294.

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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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2024Why do rational investors like variance at the peak of a crisis? A learning-based explanation. (2024). Seo, Sang Byung ; Kilic, Mete ; Ghaderi, Mohammad. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001009.

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2024Extrapolation and option-implied kurtosis in volatility forecasting. (2024). Wu, Tu-Cheng ; Shiu, Yung-Ming ; Pan, Ging-Ginq. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000374.

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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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2023Volatility feedback effect and risk-return tradeoff. (2023). Nam, Kiseok ; Marks, Joseph M ; Chelikani, Surya. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:49-65.

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2024The forward premium anomaly and the currency carry trade hypothesis. (2024). Smyrnakis, Dimitris ; Tzavalis, Elias ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218.

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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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2024Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Zhou, Xin ; Jiang, Zhengyun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399.

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2024Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453.

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

Works by Liuren Wu:

YearTitleTypeCited
2019Using Machine Learning to Predict Realized Variance In: Papers.
[Full Text][Citation analysis]		paper4
2009Predictability of Interest Rates and Interest-Rate Portfolios In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2003The Finite Moment Log Stable Process and Option Pricing In: Journal of Finance.
[Full Text][Citation analysis]		article169
2002The Finite Moment Log Stable Process and Option Pricing.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 169		paper
2003What Type of Process Underlies Options? A Simple Robust Test In: Journal of Finance.
[Full Text][Citation analysis]		article119
2002What Type of Process Underlies Options? A Simple Robust Test.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		paper
2020Option Profit and Loss Attribution and Pricing: A New Framework In: Journal of Finance.
[Full Text][Citation analysis]		article9
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 nother version. Agregated cites: 7		paper
2002Asset Pricing under the Quadratic Class In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article109
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 109		paper
2009A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article6
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article104
2016Anchoring Credit Default Swap Spreads to Firm Fundamentals In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article25
2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article33
2018Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
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]		paper108
2004Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		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]		article24
2007Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article47
2018Estimating risk-return relations with analysts price targets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2016Analyzing volatility risk and risk premium in option contracts: A new theory In: Journal of Financial Economics.
[Full Text][Citation analysis]		article30
2001Predictable changes in yields and forward rates In: Journal of Financial Economics.
[Full Text][Citation analysis]		article76
1998Predictable Changes in Yields and Forward Rates.(1998) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		paper
2004Time-changed Levy processes and option pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article225
2002Time-Changed Levy Processes and Option Pricing.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 225		paper
2007Stochastic skew in currency options In: Journal of Financial Economics.
[Full Text][Citation analysis]		article147
2004Stochastic Skew in Currency Options.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 147		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]		article74
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]		article119
2003Uncovered Interest Rate Parity Over the Past Two Centuries.(2003) In: International Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		paper
2009Macroeconomic releases and the interest rate term structure In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article10
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]		paper3
2008A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure In: Management Science.
[Full Text][Citation analysis]		article34
2010The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period In: Management Science.
[Full Text][Citation analysis]		article15
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]		article13
2003Jumps and Dynamic Asset Allocation. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article24
2013Static Hedging of Standard Options In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article38
2014Static Hedging of Standard Options.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		article
2004Static Hedging of Standard Options.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2017Simple Robust Hedging with Nearby Contracts In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2008Time-Varying Arrival Rates of Informed and Uninformed Trades In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article93
2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article50
2010Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates In: Review of Finance.
[Full Text][Citation analysis]		article5
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]		article24
2023Decomposing Long Bond Returns: A Decentralized Theory* In: Review of Finance.
[Full Text][Citation analysis]		article0
2003Design and Estimation of Quadratic Term Structure Models In: Review of Finance.
[Full Text][Citation analysis]		article42
2002Design and Estimation of Quadratic Term Structure Models.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2009Variance Risk Premiums In: The Review of Financial Studies.
[Full Text][Citation analysis]		article422
2009Variance Risk Premiums.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 422		article
2011A Simple Robust Link Between American Puts and Credit Protection In: The Review of Financial Studies.
[Full Text][Citation analysis]		article34
2012Variance swaps on time-changed Lévy processes In: Finance and Stochastics.
[Full Text][Citation analysis]		article25
2006Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns In: The Journal of Business.
[Full Text][Citation analysis]		article24
2004Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 24		paper
2020The shale revolution and shifting crude dynamics In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article1
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
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]		paper4
2002Markov Chain Approximations For Term Structure Models In: Finance.
[Full Text][Citation analysis]		paper0
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 nother version. Agregated cites: 0		chapter
2004Variance Risk Premia In: Finance.
[Full Text][Citation analysis]		paper18
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
2023Probabilistic Interpretation of Black Implied Volatility In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team