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Information about:
Liuren Wu

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

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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

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Recursive Impact Factor

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

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 2005-59, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  2. Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, EconWPA. [Downloadable!]

  3. Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, EconWPA. [Downloadable!]

  4. Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, EconWPA. [Downloadable!]
    Other versions:
    Published as:

  5. Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, EconWPA. [Downloadable!]
    Published as:

  6. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA. [Downloadable!]

  7. Massoud Heidari & Liuren Wu, 2004. "What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities," Finance 0409017, EconWPA. [Downloadable!]

  8. Liuren Wu, 2004. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Finance 0401001, EconWPA. [Downloadable!]
    Published as:

  9. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance 0311009, EconWPA. [Downloadable!]

  10. Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
    Published as:

  11. Markus Leippold & Liuren Wu, 2002. "Design and Estimation of Quadratic Term Structure Models," Finance 0207014, EconWPA. [Downloadable!]

  12. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, EconWPA. [Downloadable!]

  13. Gautam Goswami & Milind Shrikhande & Liuren Wu, 2002. "A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs," Finance 0207016, EconWPA. [Downloadable!]

  14. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
    Published as:

  15. Peter Carr & Liuren Wu, 2002. "What Type of Process Underlies Options? A Simple Robust Test," Finance 0207019, EconWPA. [Downloadable!]
    Published as:

  16. 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, EconWPA, revised 05 Sep 2002. [Downloadable!]

  17. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
    Published as:

  18. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
    Published as:

  19. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA. [Downloadable!]

  20. David Backus & Silverio Foresi & Liuren Wu, 2002. "Contagion in Financial Markets," Finance 0207009, EconWPA. [Downloadable!]

  21. David Backus & Liuren Wu & Stanley Zin, 2002. "Markov Chain Approximations For Term Structure Models," Finance 0207018, EconWPA. [Downloadable!]

  22. 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. [Downloadable!]
    Other versions:

  23. Markus Leippold & Liuren Wu, 1999. "The Potential Approach to Bond and Currency Pricing," Finance 9903004, EconWPA. [Downloadable!]

  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. [Downloadable!] (restricted)
    Published as:

  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 96-10, New York University, Leonard N. Stern School of Business-.

Articles

  1. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(3), pages 1311-1341, March. [Downloadable!] (restricted)

  2. 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. [Downloadable!] (restricted)

  3. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October. [Downloadable!] (restricted)
    Other versions:

  4. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 465-498, September. [Downloadable!] (restricted)

  5. 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. [Downloadable!] (restricted)

  6. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May. [Downloadable!]
    Other versions:

  7. 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. [Downloadable!] (restricted)

  8. 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. [Downloadable!] (restricted)

  9. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January. [Downloadable!] (restricted)
    Other versions:

  10. 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. [Downloadable!] (restricted)
    Other versions:

  11. Wu, Liuren, 2003. " Jumps and Dynamic Asset Allocation," Review of Quantitative Finance and Accounting, Springer, vol. 20(3), pages 207-43, May. [Downloadable!] (restricted)

  12. 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. [Downloadable!] (restricted)
    Other versions:

  13. 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. [Downloadable!] (restricted)
    Other versions:

  14. 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. [Downloadable!]
    Other versions:

  15. 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. [Downloadable!] (restricted)
    Other versions:

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
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This page was last updated on 2009-10-27.

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