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Liuren Wu

Personal Details

First Name:Liuren
Middle Name:
Last Name:Wu
Suffix:
RePEc Short-ID:pwu3
[This author has chosen not to make the email address public]
http://faculty.baruch.cuny.edu/lwu/
Zicklin School of Business, One Bernard Baruch Way, Box B10-225,New York, NY 10010
646 312 3509

Affiliation

Zicklin School of Business
Baruch College
City University of New York (CUNY)

New York City, New York (United States)
http://zicklin.baruch.cuny.edu/
RePEc:edi:zscunus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Peter Carr & Liuren Wu & Zhibai Zhang, 2019. "Using Machine Learning to Predict Realized Variance," Papers 1909.10035, arXiv.org.
  2. Liuren Wu & Frank X. Zhang, 2005. "A no-arbitrage analysis of economic determinants of the credit spread term structure," Finance and Economics Discussion Series 2005-59, Board of Governors of the Federal Reserve System (U.S.).
  3. Massoud Heidari & Liuren Wu, 2004. "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance 0409017, University Library of Munich, Germany.
  4. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
  5. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
  6. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, University Library of Munich, Germany.
  7. Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, University Library of Munich, Germany.
  8. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
  9. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, University Library of Munich, Germany.
  10. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance 0311009, University Library of Munich, Germany.
  11. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, University Library of Munich, Germany.
  12. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, University Library of Munich, Germany.
  13. David Backus & Liuren Wu & Stanley Zin, 2002. "Markov Chain Approximations For Term Structure Models," Finance 0207018, University Library of Munich, Germany.
  14. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, University Library of Munich, Germany.
  15. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, University Library of Munich, Germany.
  16. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.
  17. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, University Library of Munich, Germany.
  18. Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance 0207019, University Library of Munich, Germany.
  19. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, University Library of Munich, Germany.
  20. David Backus & Silverio Foresi & Liuren Wu, 2002. "Contagion in Financial Markets," Finance 0207009, University Library of Munich, Germany.
  21. 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 0207010, University Library of Munich, Germany, revised 10 Sep 2002.
  22. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, University Library of Munich, Germany.
  23. David K. Backus & Chris I. Telmer & Liuren Wu, 1999. "Design and Estimation of Affine Yield Models," GSIA Working Papers 2000-E17, Carnegie Mellon University, Tepper School of Business.
  24. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, University Library of Munich, Germany.
  25. 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.
  26. 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 96-10, New York University, Leonard N. Stern School of Business-.

Articles

  1. Peter Carr & Liuren Wu, 2023. "Decomposing Long Bond Returns: A Decentralized Theory," Review of Finance, European Finance Association, vol. 27(3), pages 997-1026.
  2. Peter Carr & Liuren Wu, 2020. "Option Profit and Loss Attribution and Pricing: A New Framework," Journal of Finance, American Finance Association, vol. 75(4), pages 2271-2316, August.
  3. Malick Sy & Liuren Wu, 2020. "The shale revolution and shifting crude dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 160-175, March.
  4. Calvet, Laurent E. & Fisher, Adlai J. & Wu, Liuren, 2018. "Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(2), pages 937-963, April.
  5. Hua, Jian & Wu, Liuren, 2018. "Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(6), pages 2559-2586, December.
  6. Wu, Liuren, 2018. "Estimating risk-return relations with analysts price targets," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 183-197.
  7. Carr, Peter & Wu, Liuren, 2017. "Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(5), pages 2119-2156, October.
  8. Liuren Wu & Jingyi Zhu, 2017. "Simple Robust Hedging with Nearby Contracts," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 1-35.
  9. Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
  10. Bai, Jennie & Wu, Liuren, 2016. "Anchoring Credit Default Swap Spreads to Firm Fundamentals," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(5), pages 1521-1543, October.
  11. Suparna Chakraborty & Yi Tang & Liuren Wu, 2015. "Imports, Exports, Dollar Exposures, and Stock Returns," Open Economies Review, Springer, vol. 26(5), pages 1059-1079, November.
  12. Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
  13. Ren-Raw Chen & Xiaolin Cheng & Liuren Wu, 2013. "Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-," Review of Finance, European Finance Association, vol. 17(1), pages 403-441.
  14. 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.
  15. Peter Carr & Liuren Wu, 2011. "A Simple Robust Link Between American Puts and Credit Protection," The Review of Financial Studies, Society for Financial Studies, vol. 24(2), pages 473-505.
  16. Wu, Liuren, 2011. "Variance dynamics: Joint evidence from options and high-frequency returns," Journal of Econometrics, Elsevier, vol. 160(1), pages 280-287, January.
  17. 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.
  18. Gurdip Bakshi & Liuren Wu, 2010. "The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period," Management Science, INFORMS, vol. 56(12), pages 2251-2264, December.
  19. 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.
  20. Massoud Heidari & Liuren Wu, 2010. "Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates," Review of Finance, European Finance Association, vol. 14(2), pages 313-342.
  21. Peter Carr & Liuren Wu, 2010. "Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation," Journal of Financial Econometrics, Oxford University Press, vol. 8(4), pages 409-449, Fall.
  22. 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(5), pages 1279-1310, October.
  23. Bali, Turan & Heidari, Massoud & Wu, Liuren, 2009. "Predictability of Interest Rates and Interest-Rate Portfolios," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 517-527.
  24. 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.
  25. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.
  26. 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(3), pages 517-550, June.
  27. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Journal of Financial Econometrics, Oxford University Press, vol. 6(2), pages 171-207, Spring.
  28. 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.
  29. Liuren Wu & Frank Xiaoling Zhang, 2008. "A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure," Management Science, INFORMS, vol. 54(6), pages 1160-1175, June.
  30. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September.
  31. 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.
  32. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  33. 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.
  34. 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.
  35. 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.
  36. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  37. Markus Leippold & Liuren Wu, 2003. "Design and Estimation of Quadratic Term Structure Models," Review of Finance, European Finance Association, vol. 7(1), pages 47-73.
  38. Wu, Liuren, 2003. "Jumps and Dynamic Asset Allocation," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 207-243, May.
  39. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
  40. 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.
  41. Leippold, Markus & Wu, Liuren, 2002. "Asset Pricing under the Quadratic Class," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(2), pages 271-295, June.
  42. 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.

Chapters

  1. P. Carr & L. Wu & Y. Zhang, 2023. "Probabilistic Interpretation of Black Implied Volatility," World Scientific Book Chapters, in: David Gershon & Alexander Lipton & Mathieu Rosenbaum & Zvi Wiener (ed.), Options — 45 years since the Publication of the Black–Scholes–Merton Model The Gershon Fintech Center Conference, chapter 3, pages 29-46, World Scientific Publishing Co. Pte. Ltd..
  2. Enlin Pan & Liuren Wu, 2006. "Taking Positive Interest Rates Seriously," World Scientific Book Chapters, in: Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting, chapter 14, pages 327-356, World Scientific Publishing Co. Pte. Ltd..

More information

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Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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  2. Number of Distinct Works, Weighted by Simple Impact Factor
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  4. Number of Citations
  5. Number of Citations, Discounted by Citation Age
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  7. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
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  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
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  17. Number of Journal Pages
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  22. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  23. Euclidian citation score
  24. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. 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
  2. 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
  3. NEP-RMG: Risk Management (7) 2002-09-11 2004-01-12 2004-01-12 2004-09-12 2004-09-12 2004-09-12 2019-10-07. Author is listed
  4. NEP-CFN: Corporate Finance (3) 2004-01-12 2004-09-12 2004-09-12
  5. NEP-CMP: Computational Economics (2) 2004-09-30 2019-10-07
  6. NEP-ETS: Econometric Time Series (2) 2002-09-11 2019-10-07
  7. NEP-BIG: Big Data (1) 2019-10-07
  8. NEP-CBA: Central Banking (1) 2003-11-16
  9. NEP-DGE: Dynamic General Equilibrium (1) 2000-09-13
  10. NEP-ECM: Econometrics (1) 2000-09-05
  11. NEP-HIS: Business, Economic and Financial History (1) 2003-11-16
  12. NEP-IFN: International Finance (1) 2003-11-16
  13. NEP-MAC: Macroeconomics (1) 2006-01-01
  14. NEP-MIC: Microeconomics (1) 2000-09-13
  15. NEP-MON: Monetary Economics (1) 2000-09-05

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