Advanced Search
MyIDEAS: Login to follow this author

Liuren Wu

Contents:

This is information that was supplied by Liuren Wu in registering through RePEc. If you are Liuren Wu , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Liuren
Middle Name:
Last Name: Wu
Suffix:

RePEc Short-ID: pwu3

Email:
Homepage: http://faculty.baruch.cuny.edu/lwu/
Postal Address: Zicklin School of Business, One Bernard Baruch Way, Box B10-225,New York, NY 10010
Phone: 646 312 3509

Affiliation

Zicklin School of Business
Baruch College
City University of New York (CUNY)
Location: New York City, New York (United States)
Homepage: http://zicklin.baruch.cuny.edu/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:zscunus (more details at EDIRC)

Works

as in new window

Working papers

  1. Liuren Wu & Frank Xiaoling Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  2. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance, EconWPA 0409014, EconWPA.
  3. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance, EconWPA 0409015, EconWPA.
  4. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance, EconWPA 0401001, EconWPA.
  5. Massoud Heidari & Liuren Wu, 2004. "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance, EconWPA 0409017, EconWPA.
  6. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance, EconWPA 0401002, EconWPA.
  7. Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance, EconWPA 0409013, EconWPA.
  8. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance, EconWPA 0409016, EconWPA.
  9. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance, EconWPA 0311009, EconWPA.
  10. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance, EconWPA 0207012, EconWPA.
  11. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance, EconWPA 0207015, EconWPA.
  12. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance, EconWPA 0207008, EconWPA.
  13. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance, EconWPA 0207014, EconWPA.
  14. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance, EconWPA 0207013, EconWPA.
  15. Massoud Heidari & Liuren Wu, 2002. "Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives," Finance, EconWPA 0207010, EconWPA, revised 05 Sep 2002.
  16. David Backus & Silverio Foresi & Liuren Wu, 2002. "Contagion in Financial Markets," Finance, EconWPA 0207009, EconWPA.
  17. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance, EconWPA 0207017, EconWPA.
  18. Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance, EconWPA 0207019, EconWPA.
  19. David Backus & Liuren Wu & Stanley Zin, 2002. "Markov Chain Approximations For Term Structure Models," Finance, EconWPA 0207018, EconWPA.
  20. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance, EconWPA 0207011, EconWPA.
  21. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance, EconWPA 0207016, EconWPA.
  22. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance, EconWPA 9903004, EconWPA.
  23. David K. Backus & Chris I. Telmer & Liuren Wu, 1999. "Design and Estimation of Affine Yield Models," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2000-E17, Carnegie Mellon University, Tepper School of Business.
  24. David Backus & Silverio Foresi & Abon Mozumdar & Liuren Wu, 1998. "Predictable Changes in Yields and Forward Rates," NBER Working Papers 6379, National Bureau of Economic Research, Inc.
  25. David Backus & Silverio Foresi & Liuren Wu, 1997. "Macroeconomic Foundations of Higher Moments in Bond Yields," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 96-10, New York University, Leonard N. Stern School of Business-.

Articles

  1. Peter Carr & Roger Lee & Liuren Wu, 2012. "Variance swaps on time-changed Lévy processes," Finance and Stochastics, Springer, vol. 16(2), pages 335-355, April.
  2. Lothian, James R. & Wu, Liuren, 2011. "Uncovered interest-rate parity over the past two centuries," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 448-473, April.
  3. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
  4. Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
  5. Egloff, Daniel & Leippold, Markus & Wu, Liuren, 2010. "The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(05), pages 1279-1310, October.
  6. Massoud Heidari & Liuren Wu, 2010. "Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates," Review of Finance, European Finance Association, European Finance Association, vol. 14(2), pages 313-342.
  7. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  8. Peter Carr & Liuren Wu, 2010. "Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 8(4), pages 409-449, Fall.
  9. Gurdip Bakshi & Liuren Wu, 2010. "The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period," Management Science, INFORMS, INFORMS, vol. 56(12), pages 2251-2264, December.
  10. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.
  11. Bali, Turan & Heidari, Massoud & Wu, Liuren, 2009. "Predictability of Interest Rates and Interest-Rate Portfolios," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 27(4), pages 517-527.
  12. Lu, Biao & Wu, Liuren, 2009. "Macroeconomic releases and the interest rate term structure," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 872-884, September.
  13. Heidari, Massoud & Wu, Liuren, 2009. "A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(03), pages 517-550, June.
  14. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, INFORMS, vol. 54(6), pages 1160-1175, June.
  15. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  16. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(2), pages 171-207, Spring.
  17. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  18. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
  19. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(4), pages 465-498, September.
  20. Richard Holowczak & Yusif Simaan & Liuren Wu, 2006. "Price discovery in the U.S. stock and stock options markets: A portfolio approach," Review of Derivatives Research, Springer, vol. 9(1), pages 37-65, January.
  21. Bali, Turan G. & Wu, Liuren, 2006. "A comprehensive analysis of the short-term interest-rate dynamics," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1269-1290, April.
  22. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
  23. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes," Journal of Finance, American Finance Association, vol. 59(3), pages 1405-1440, 06.
  24. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  25. Wu, Liuren, 2003. " Jumps and Dynamic Asset Allocation," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 207-43, May.
  26. Peter Carr & Liuren Wu, 2003. "What Type of Process Underlies Options? A Simple Robust Test," Journal of Finance, American Finance Association, vol. 58(6), pages 2581-2610, December.
  27. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-778, 04.
  28. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(02), pages 271-295, June.
  29. Backus, David & Foresi, Silverio & Mozumdar, Abon & Wu, Liuren, 2001. "Predictable changes in yields and forward rates," Journal of Financial Economics, Elsevier, vol. 59(3), pages 281-311, March.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2003-11-16
  2. NEP-CFN: Corporate Finance (3) 2004-01-12 2004-09-12 2004-09-12. Author is listed
  3. NEP-CMP: Computational Economics (1) 2004-09-30
  4. NEP-DGE: Dynamic General Equilibrium (1) 2000-09-13
  5. NEP-ECM: Econometrics (1) 2000-09-05
  6. NEP-ETS: Econometric Time Series (1) 2002-09-11
  7. NEP-FIN: Finance (9) 2000-09-13 2004-01-12 2004-01-12 2004-09-12 2004-09-12 2004-09-12 2004-09-12 2004-12-02 2006-01-01. Author is listed
  8. NEP-FMK: Financial Markets (10) 2000-09-05 2000-09-13 2002-09-11 2002-09-11 2004-01-12 2004-01-12 2004-09-12 2004-09-12 2004-09-12 2006-01-01. Author is listed
  9. NEP-HIS: Business, Economic & Financial History (1) 2003-11-16
  10. NEP-IFN: International Finance (1) 2003-11-16
  11. NEP-MAC: Macroeconomics (1) 2006-01-01
  12. NEP-MIC: Microeconomics (1) 2000-09-13
  13. NEP-MON: Monetary Economics (1) 2000-09-05
  14. NEP-RMG: Risk Management (6) 2002-09-11 2004-01-12 2004-01-12 2004-09-12 2004-09-12 2004-09-12. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Citations
  6. Number of Citations, Weighted by Simple Impact Factor
  7. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Recursive Impact Factor
  9. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors
  11. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  16. h-index
  17. Number of Journal Pages
  18. Number of Journal Pages, Weighted by Simple Impact Factor
  19. Number of Journal Pages, Weighted by Recursive Impact Factor
  20. Number of Journal Pages, Weighted by Number of Authors
  21. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  22. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  23. Wu-Index

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Liuren Wu should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.