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Publications

Peter Carr and Liuren Wu, Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions (online appendix), Journal of Financial and Quantitative Analysis, forthcoming.

Jennie Bai and Liuren Wu, Anchoring Corporate Credit Swap Spreads to Firm Fundamentals, Journal of Financial and Quantitative Analysis, forthcoming.

Peter Carr and Liuren Wu, Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory, Journal of Financial Economics, 2016, 120(1), 1--20.

Suparna Chakraborty, Yi Tang, and Liuren Wu, Imports, Exports, Dollar Exposures, and Stock Returns, Open Economic Review, 2015, 26(5), 1059--1079.

Peter Carr and Liuren Wu, Static Hedging of Standard Options, Journal of Financial Econometrics, 2014, 12(1), 3--46.

Richard Holowczak, Jianfeng Hu, and Liuren Wu, Aggregating Information in Option Transactions, Journal of Derivatives, 2014, 21(3), 9--23.

Robert Schwartz and Liuren Wu, Equity Trading in the Fast Lane: The Staccato Alternative, Journal of Portfolio Management, 2013, 39(3), 3--6.

Ren-raw Chen, Xiaolin Cheng, and Liuren Wu, Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure, Review of Finance, 2013, 17(1), 403--441.

Peter Carr, Roger Lee, and Liuren Wu, Variance Swaps on Time-Changed Levy Processes, Finance and Stochastics, 2012, 16(2), 335--355.

Peter Carr, and Liuren Wu, A Simple Robust Link Between American Puts and Credit Protection, Review of Financial Studies, 2011, 24(2), 473--505.

James R. Lothian, and Liuren Wu, Uncovered Interest-Rate Parity Over the Past Two Centuries, Journal of International Money and Finance, 2011, 30(3), 448--473.

Liuren Wu, Variance Dynamics: Joint Evidence from Options and High-Frequency Returns, Journal of Econometrics, 2011, 160(1), 280--287.

Gurdip Bakshi, and Liuren Wu, The Behavior of Risk and Market Prices of Risk over the Nasdaq Bubble Period, Management Science, 2010, 56(12), 2251--2264.

Daniel Egloff, Markus Leippold, and Liuren Wu, The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments, Journal of Financial and Quantitative Analysis, 2010, 45(5), 1279--1310.

Peter Carr, and Liuren Wu, Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation, Journal of Financial Econometrics, 2010, 8(4), 409--449.

Turan Bali, and Liuren Wu, The Role of Exchange Rates in Intertemporal Risk-Return Relations, Journal of International Money and Finance, 2010, 29(8), 1670--1686.

Massoud Heidari, and Liuren Wu, Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates, Review of Finance, 2010, 14(2), 313-342.

Turan Bali, Massoud Heidari, and Liuren Wu, Predictability of Interest Rates and Interest-Rate Portfolios, Journal of Business and Economic Statistics, 2009, 27(4), 517-527.

Biao Lu, and Liuren Wu, Macroeconomic Releases and the Interest Rate Term Structure, Journal of Monetary Economics, 2009, 56(6), 872-884.

Massoud Heidari, and Liuren Wu, A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives, Journal of Financial and Quantitative Analysis, 2009, 44(3), 517-550.

Peter Carr, and Liuren Wu, Variance Risk Premiums, Review of Financial Studies, 2009, 22(3), 1311-1341.

Liuren Wu, and Frank Zhang, A No-Arbitrage Analysis of Economic Determinants of the Credit Spread Term Structure, Management Science, 2008, 54(6), 1160-1175.

David Easley, Robert Engle, Maureen O'Hara, and Liuren Wu, Time-Varying Arrival Rates of Informed and Uninformed Trades , Journal of Financial Econometrics, 2008, 6(2),171-207.

Gurdip Bakshi, Peter Carr, and Liuren Wu, Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies, Journal of Financial Economics, 2008, 87(1), 132-156.

Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock Options Market, Journal of Derivatives, 2007, 15(2), 20-38. Reprinted in Journal of Trading, 2008, 3(1), 68-86.

Peter Carr, and Liuren Wu, Stochastic Skew in Currency Options, Journal of Financial Economics, 2007, 86(1), 213-247.

Henry Mo, and Liuren Wu, International Capital Asset Pricing: Evidence from Options, Journal of Empirical Finance, 2007, 14(4), 465-498.

Peter Carr, and Liuren Wu, Theory and Evidence on the Dynamic Interactions Between Sovereign Credit Default Swaps and Currency Options, Journal of Banking and Finance, 2007, 31(8), 2383-2403.

Markus Leippold, and Liuren Wu, Design and Estimation of Multi-Currency Quadratic Models, Review of Finance, 2007, 11(2), 167-207.

Liuren Wu, Modeling Financial Security Returns Using Levy Processes, Handbooks in Operations Research and Management Science: Financial Engineering, 15, Eds. John Birge and Vadim Linetsky, Elsevier, 2008.

Richard Holowczak, Yusif Simaan, and Liuren Wu, Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach, Review of Derivatives Research, 2006, 9, 37-65.

Liuren Wu, Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns, Journal of Business, 2006, 79(3), 1445-1474.

Peter Carr, and Liuren Wu, A Tale of Two Indices, Journal of Derivatives, 2006, 13(3), 13-29.

Turan Bali, and Liuren Wu, A Comprehensive Analysis of the Short-Term Interest Rate Dynamics, Journal of Banking and Finance, 2006, 30(4), 1269-1290.

Enlin Pan, and Liuren Wu, Taking Positive Interest Rates Seriously, Advances in Quantitative Analysis of Finance and Accounting, 2006, 4(14), 327-356. Reprinted in Handbook of Quantitative Finance and Risk Management, 2009, Eds. C.-F. Lee and A.C. Lee, Springer.

Silverio Foresi, and Liuren Wu, Crash-O-Phobia: A Domestic Fear or A Worldwide Concern? Journal of Derivatives, 2005, 13(2), 8-21.

Jing-Zhi Huang, and Liuren Wu, Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes, Journal of Finance, 2004, 59(3), 1405-1439.

Peter Carr, and Liuren Wu, Time-Changed Levy Processes and Option Pricing, Journal of Financial Economics, 2004, 17(1), 113-141.

Peter Carr, and Liuren Wu, What Type of Process Underlies Options? A Simple Robust Test, Journal of Finance, 2003, 58(6), 2581-2610.

Peter Carr, and Liuren Wu, Finite Moment Log Stable Process and Option Pricing, Journal of Finance, 2003, 58(2), 753-777.

Markus Leippold, and Liuren Wu, Design and Estimation of Quadratic Term Structure Models, European Finance Review, 2003, 7(1), 47-73.

Massoud Heidari, and Liuren Wu, Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates? Journal of Fixed Income, 2003, 13(1), 75-86.

Liuren Wu, Jumps and Dynamic Asset Allocation, Review of Quantitative Finance and Accounting, 2003, 20(3), 207-243.

Markus Leippold, and Liuren Wu, Asset Pricing Under The Quadratic Class, Journal of Financial and Quantitative Analysis, 2002, 37(2), 271-295.

David Backus, Silverio Foresi, Abon Mozumdar, and Liuren Wu, Predictable Changes in Yields and Forward Rates, Journal of Financial Economics, 2001, 59(3), 281-311.