Liuren Wu : Citation Profile

City University of New York (CUNY)

25

H index

34

i10 index

2520

Citations

RESEARCH PRODUCTION:

48

Articles

28

Papers

3

Chapters

RESEARCH ACTIVITY:

   28 years (1997 - 2025). See details.
   Cites by year: 90
   Journals where Liuren Wu has often published
   Relations with other researchers
   Recent citing documents: 159.    Total self citations: 30 (1.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwu3
   Updated: 2025-11-22    RAS profile: 2025-10-09    
   Missing citations? Add them    Incorrect content? Let us know

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 (15)

Bollerslev, Tim (14)

Bekaert, Geert (14)

Violante, Francesco (14)

Cites to:

Campbell, John (38)

Duffie, Darrell (28)

Singleton, Kenneth (26)

Bollerslev, Tim (26)

Bekaert, Geert (25)

Chen, Zhiwu (23)

Cao, Charles (21)

Hodrick, Robert (20)

merton, robert (19)

Andersen, Torben (19)

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 Econometrics5
Journal of Financial Economics5
The Review of Financial Studies4
Review of Finance4
Journal of Banking & Finance3
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 (2025 and 2024)

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

Full description at Econpapers || Download paper

2025Static Hedging of Freight Risk under Model Uncertainty. (2022). Papayiannis, Georgios I. In: Papers. RePEc:arx:papers:2207.00862.

Full description at Econpapers || Download paper

2024Profit and loss decomposition in continuous time and approximations. (2024). Christiansen, Marcus C ; Stier, Hauke ; Junike, Gero. In: Papers. RePEc:arx:papers:2212.06733.

Full description at Econpapers || Download paper

2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

Full description at Econpapers || Download paper

2024Data-driven Approach for Static Hedging of Exchange Traded Options. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2302.00728.

Full description at Econpapers || Download paper

2024On the number of terms in the COS method for European option pricing. (2024). Junike, Gero. In: Papers. RePEc:arx:papers:2303.16012.

Full description at Econpapers || Download paper

2024Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2308.15672.

Full description at Econpapers || Download paper

2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

Full description at Econpapers || Download paper

2025Multi-period static hedging of European options. (2023). Iyer, Srikanth ; Jain, Shashi ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2310.01104.

Full description at Econpapers || Download paper

2025Volatility models in practice: Rough, Path-dependent or Markovian?. (2025). , Shaun ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:2401.03345.

Full description at Econpapers || Download paper

2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

Full description at Econpapers || Download paper

2024Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement. (2024). Dhandapani, Vikranth Lokeshwar ; Jain, Shashi. In: Papers. RePEc:arx:papers:2402.17941.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Risk premium and rough volatility. (2024). Bonesini, Ofelia ; Jacquier, Antoine ; Muguruza, Aitor. In: Papers. RePEc:arx:papers:2403.11897.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Deep Learning for Options Trading: An End-To-End Approach. (2024). Tan, Wee Ling ; Roberts, Stephen ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2407.21791.

Full description at Econpapers || Download paper

2024Multi-Factor Polynomial Diffusion Models and Inter-Temporal Futures Dynamics. (2024). Shevchenko, Pavel V ; Peters, Gareth W ; Kordzakhia, Nino. In: Papers. RePEc:arx:papers:2409.19386.

Full description at Econpapers || Download paper

2024Pricing and Hedging Strategies for Cross-Currency Equity Protection Swaps. (2024). Xu, Huansang ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2409.19387.

Full description at Econpapers || Download paper

2024Variance-Hawkes Process and its Application to Energy Markets. (2024). Swishchuk, Anatoliy ; McGillivray, Joshua. In: Papers. RePEc:arx:papers:2410.08420.

Full description at Econpapers || Download paper

2024Multi-Factor Function-on-Function Regression of Bond Yields on WTI Commodity Futures Term Structure Dynamics. (2024). Peters, Gareth W ; He, Peilun ; Kordzakhia, Nino ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:2412.05889.

Full description at Econpapers || Download paper

2025Pricing time-capped American options using Least Squares Monte Carlo method. (2025). Palmowski, Zbigniew ; Stcepniak, Pawel. In: Papers. RePEc:arx:papers:2503.01040.

Full description at Econpapers || Download paper

2025Deep Hedging with Options Using the Implied Volatility Surface. (2025). Fr'ed'eric Godin, ; Gauthier, Genevieve ; Franccois, Pascal. In: Papers. RePEc:arx:papers:2504.06208.

Full description at Econpapers || Download paper

2025Predicting Realized Variance Out of Sample: Can Anything Beat The Benchmark?. (2025). Pollok, Austin. In: Papers. RePEc:arx:papers:2506.07928.

Full description at Econpapers || Download paper

2025The Additive Bachelier model with an application to the oil option market in the Covid period. (2025). Baviera, Roberto ; Massaria, Michele Domenico. In: Papers. RePEc:arx:papers:2506.09760.

Full description at Econpapers || Download paper

2025Controllable Generation of Implied Volatility Surfaces with Variational Autoencoders. (2025). Wang, Jing ; Vuik, Cornelis ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:2509.01743.

Full description at Econpapers || Download paper

2025Joint calibration of the volatility surface and variance term structure. (2025). Yoo, Jiwook. In: Papers. RePEc:arx:papers:2509.08096.

Full description at Econpapers || Download paper

2025Fast and explicit European option pricing under tempered stable processes. (2025). Agazzotti, Gaetano ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:2510.01211.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025When Low Rates Speak Loud: exchange rate dynamics under different interest rate regimes. (2025). Gaglianone, Wagner ; Moura, Jaqueline Terra ; Machado, Jos Valentim. In: Working Papers Series. RePEc:bcb:wpaper:630.

Full description at Econpapers || Download paper

2025Global risk aversion and the term premium gap in emerging market economies. (2025). Villa, Stefania ; Flaccadoro, Marco. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1493_25.

Full description at Econpapers || Download paper

2024An empirical analysis of the effects of the Dodd–Frank Act on determinants of credit ratings. (2024). Ahmed, Anwer S ; Wang, Dechun ; Xu, Nina. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:51:y:2024:i:1-2:p:363-397.

Full description at Econpapers || Download paper

2024How Integrated are Credit and Equity Markets? Evidence from Index Options. (2024). Trolle, Anders B ; Junge, Benjamin ; Collindufresne, Pierre. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:2:p:949-992.

Full description at Econpapers || Download paper

2024Modeling Conditional Factor Risk Premia Implied by Index Option Returns. (2024). Orowski, Piotr ; Jacobs, Kris ; Fournier, Mathieu. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:2289-2338.

Full description at Econpapers || Download paper

2024Information Aggregation with Asymmetric Asset Payoffs. (2024). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2715-2758.

Full description at Econpapers || Download paper

2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

Full description at Econpapers || Download paper

2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

Full description at Econpapers || Download paper

2024Uncertainties, Employment and the Zero Lower Bound. (2024). Morshed, Maruf ; Liu, Baohui ; Brown, Xin L ; Nie, Qing. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-04-27.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Estimation of expected return integrating real-time asset prices implied information and historical data. (2024). Li, Zhongfei ; Huang, YI ; Zhu, Shushang ; Wang, Shikun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:167:y:2024:i:c:s0165188924001234.

Full description at Econpapers || Download paper

2025Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Volatility risk premium, good volatility and bad volatility: Evidence from SSE 50 ETF options. (2024). Li, Zhe ; Xiao, Weilin ; Shen, Jiashuang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001311.

Full description at Econpapers || Download paper

2024Option trading volume and the cross-section of option returns. (2024). Hu, Sen ; Yuan, Jianglei ; Liu, Dehong ; Chen, Carl R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001542.

Full description at Econpapers || Download paper

2024Closed-form approximations for basket option pricing under normal tempered stable Lévy model. (2024). Zhong, Qifeng ; Yao, Jing ; Sayit, Hasanjan ; Hu, Dongdong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s106294082400158x.

Full description at Econpapers || Download paper

2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

Full description at Econpapers || Download paper

2025The impact of volatility regime dynamics on option pricing. (2025). Liu, Shican ; Fan, Siqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002778.

Full description at Econpapers || Download paper

2025Subjective probability distributions of nonlinear payoffs: Recovering option payoff, agent’s utility, and pricing kernel distributions. (2025). Yamazaki, Akira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000026.

Full description at Econpapers || Download paper

2024Term structures and firm dynamics: A FAVAR approach. (2024). Zhu, Jingjing ; Su, LI. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524004464.

Full description at Econpapers || Download paper

2025Estimating volatility-of-volatility: A comparative analysis. (2025). Yuan, Jianglei ; Liu, Dehong ; Chen, Carl R ; Ma, Mingye. In: Economics Letters. RePEc:eee:ecolet:v:250:y:2025:i:c:s0165176525001351.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Multivariate additive subordination with applications in finance. (2025). Ballotta, Laura ; Amici, Giovanni ; Semeraro, Patrizia. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1004-1020.

Full description at Econpapers || Download paper

2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

Full description at Econpapers || Download paper

2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

Full description at Econpapers || Download paper

2024Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999.

Full description at Econpapers || Download paper

2025Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Variance dynamics and term structure of the natural gas market. (2024). Wei, Xinyang ; Bhar, Ramaprasad ; Sheng, NI ; Colwell, David B ; Shao, Chengwu. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004882.

Full description at Econpapers || Download paper

2025The tail risk premium in the oil market. (2025). Ellwanger, Reinhard. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007503.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Why does uncovered interest parity fail empirically?. (2024). Aziz, Nusrate. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003612.

Full description at Econpapers || Download paper

2024Smirking in the energy market: Evidence from the Chinese crude oil options market. (2024). Zhang, Jine ; Ruan, Xinfeng ; Li, Lu-Lu ; Yue, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005696.

Full description at Econpapers || Download paper

2024Sovereign momentum currency returns. (2024). Lin, Ming-Tsung ; Calice, Giovanni. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924004046.

Full description at Econpapers || Download paper

2024Impact of crude oil price innovations on global stock market volatility: Evidence across time and space. (2024). Xin, YU ; Cao, Hong ; Yin, Libo. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006173.

Full description at Econpapers || Download paper

2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Option pricing under market makers inventory risk: A case study of China. (2024). Deng, Zhijian ; Yao, Yuhang. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006469.

Full description at Econpapers || Download paper

2024A closed-form solution for spot volatility from options under limited data. (2024). Zhou, Chunyang ; Zhang, Aoran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008717.

Full description at Econpapers || Download paper

2024Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2024). Li, Chenxing ; Zhang, Zehua ; Zhao, Ran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008547.

Full description at Econpapers || Download paper

2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

Full description at Econpapers || Download paper

2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017124.

Full description at Econpapers || Download paper

2024Arbitrage opportunities and efficiency tests in crypto derivatives. (2024). Chen, XI ; Alexander, Carol ; Wang, Tianyi ; Deng, Jun. In: Journal of Financial Markets. RePEc:eee:finmar:v:71:y:2024:i:c:s138641812400048x.

Full description at Econpapers || Download paper

2025Optimal investment and benefit strategies for a target benefit pension plan where the risky assets are jump diffusion processes. (2025). Josa-Fombellida, Ricardo ; Lpez-Casado, Paula. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:100-110.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025ABC-based forecasting in misspecified state space models. (2025). Loaiza-Maya, Rubn ; Weerasinghe, Chaya ; Frazier, David T ; Martin, Gael M. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:270-289.

Full description at Econpapers || Download paper

2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

Full description at Econpapers || Download paper

2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

Full description at Econpapers || Download paper

2024Modeling volatility in dynamic term structure models. (2024). Liu, Rui ; Jacobs, Kris ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001491.

Full description at Econpapers || Download paper

2024The risk and return of equity and credit index options. (2024). Seo, Sang Byung ; Fournier, Mathieu ; Ericsson, Jan ; Doshi, Hitesh. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001557.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025The predictive power of the oil variance risk premium. (2025). McMillan, David G ; Ziadat, Salem Adel. In: Resources Policy. RePEc:eee:jrpoli:v:103:y:2025:i:c:s0301420725000923.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Asymmetry in option implied volatility and yield: Evidence from Chinas ETF options market11Xiaoyijing Chen, PhD candidate. Research Interests: option pricing, financial derivatives. Siyuan Liu, masters student. Research Interests: option pricing, volatility model.Zailin Xu, PhD candidate. Research Interests: capital market, volatility model. Mei Yu, PhD, Professor, Doctoral Supervisor. Research Interests: capital market, risk management.,22Funding: This work was supported by “National Natural Science Foundation of China” (Grant number: 72073027); “National Natural Science Foundation of China” (Grant number: 72071046); “the Fundamental Research Funds for the Central Universities” in UIBE (Grant number: ZD6–01).. (2024). Xu, Zailin ; Chen, Xiaoyijing ; Liu, Siyuan ; Yu, Mei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:85:y:2024:i:c:s0927538x24001379.

Full description at Econpapers || Download paper

2025Option profit and loss attribution and pricing in the Chinese options market. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Jia, Xiaolan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000198.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital. (2025). Çevik, Emrah ; Goodell, John W ; Gunay, Samet ; Cevik, Emrah Ismail ; Kenc, Turalay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007718.

Full description at Econpapers || Download paper

2025Markov switching volatility connectedness across international CDS markets. (2025). Gemici, Eray ; Mensi, Walid ; Polat, Mslm ; Kang, Sang Hoon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Is climate transition risk priced into corporate credit risk? Evidence from credit default swaps. (2024). Ugolini, Andrea ; Reboredo, Juan ; Ojea-Ferreiro, Javier. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s027553192400165x.

Full description at Econpapers || Download paper

2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

Full description at Econpapers || Download paper

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]		paper6
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]		article184
2002The Finite Moment Log Stable Process and Option Pricing.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 184		paper
2003What Type of Process Underlies Options? A Simple Robust Test In: Journal of Finance.
[Full Text][Citation analysis]		article123
2002What Type of Process Underlies Options? A Simple Robust Test.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		paper
2020Option Profit and Loss Attribution and Pricing: A New Framework In: Journal of Finance.
[Full Text][Citation analysis]		article15
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]		article113
2002Asset Pricing Under The Quadratic Class.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 113		paper
2009A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article7
2010The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article109
2016Anchoring Credit Default Swap Spreads to Firm Fundamentals In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article30
2017Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article38
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]		paper113
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: 113		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]		article25
2007Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article49
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]		article34
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 nother version. Agregated cites: 75		paper
2004Time-changed Levy processes and option pricing In: Journal of Financial Economics.
[Full Text][Citation analysis]		article229
2002Time-Changed Levy Processes and Option Pricing.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 229		paper
2007Stochastic skew in currency options In: Journal of Financial Economics.
[Full Text][Citation analysis]		article150
2004Stochastic Skew in Currency Options.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 150		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]		article75
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]		article123
2003Uncovered Interest Rate Parity Over the Past Two Centuries.(2003) In: International Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 123		paper
2009Macroeconomic releases and the interest rate term structure In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article11
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]		article35
2010The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period In: Management Science.
[Full Text][Citation analysis]		article16
2022Targets, Predictability, and Performance In: Management Science.
[Full Text][Citation analysis]		article1
2024Cross-Sectional Variation of Option-Implied Volatility Skew In: Management Science.
[Full Text][Citation analysis]		article0
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]		article25
2013Static Hedging of Standard Options In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article40
2014Static Hedging of Standard Options.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2004Static Hedging of Standard Options.(2004) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		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]		article96
2002Time-Varying Arrival Rates of Informed and Uninformed Trades.(2002) In: Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 96		paper
2010Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article54
2023Limits of Arbitrage and Primary Risk-Taking in Derivative Securities In: The Review of Asset Pricing Studies.
[Full Text][Citation analysis]		article3
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]		article25
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]		article443
2009Variance Risk Premiums.(2009) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 443		article
2011A Simple Robust Link Between American Puts and Credit Protection In: The Review of Financial Studies.
[Full Text][Citation analysis]		article39
2025Common Pricing of Decentralized Risk: A Linear Option Pricing Model In: The Review of Financial Studies.
[Full Text][Citation analysis]		article1
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
2024Centrality of the Supply Chain Network 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, 20 2025. Contact: CitEc Team