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Liuren Wu's Working Papers
Term Structure Modeling
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation, Peter Carr, and Liuren Wu.
Systematic Movements in Macroeconomic Releases and the Term Structure of Interest Rates, Biao Lu, and Liuren Wu.
Market Anticipation of Fed Policy Changes and the Term
Structure of Interest Rates, Massoud Heidari, and Liuren Wu.
Predictability of Interest Rates and Interest-Rate Portfolios,
Turan Bali, Massoud Heidari, and Liuren Wu.
Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads,
Ren-raw Chen, Xiaolin Cheng, and Liuren Wu.
What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities, Massoud Heidari, and Liuren Wu.
Option Pricing
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments, Daniel Egloff, Markus Leippold, and Liuren Wu.
Variance Dynamics: Joint Evidence from Options and High-Frequency Returns, Liuren Wu.
Static
Hedging of Standard Options,
Peter Carr, and Liuren Wu.
International Finance
Uncovered Interest Rate Parity Over the Past Two Centuries,
James Lothian, and Liuren Wu.
A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs,
Gautam Goswami, Milind Shrikhande, and Liuren Wu.
The Role of Exchange Rates in Intertemporal Risk-Return Relations,
Turan Bali, and Liuren Wu.
Asset Pricing
Market Pricing of Economic Risks and Stock Returns,
Yi Tang, and Liuren Wu.
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