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The term structure of variance swap rates and optimal variance swap investments

Egloff, Daniel; Leipold, Markus; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 5, pp. 1279-1310

Persistent link: https://www.econbiz.de/10008907332

Anchoring credit default swap spreads to firm fundamentals

Bai, Jennie; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 5, pp. 1521-1543

Persistent link: https://www.econbiz.de/10011665132

Staying on top of the curve : a cascade model of term structure dynamics

Calvet, Laurent E.; Fisher, Adlai; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 2, pp. 937-963

Persistent link: https://www.econbiz.de/10011929549

A joint framework for consistently pricing interest rates and interest rate derivatives

Heidari, Massoud; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 3, pp. 517-550

Persistent link: https://www.econbiz.de/10003887360

Asset pricing under the quadratic class

Leippold, Markus; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 37 (2002) 2, pp. 271-295

Persistent link: https://www.econbiz.de/10001690148

Variance Risk Premia

Wu, Liuren - 2007

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is well approximated by the value of a particular...

Persistent link: https://www.econbiz.de/10012732220

Leverage effect, volatility feedback, and self-exciting market disruptions

Carr, Peter; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 5, pp. 2119-2156

Persistent link: https://www.econbiz.de/10011928991