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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

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Carr, Peter - 2017

The Samp;P 500 index return interacts negatively with its volatility. This paper traces the negative interaction to three distinct economic channels and proposes to disentangle the relative contribution of each channel using Samp;P 500 index options. First, equity volatility increases...

Persistent link: https://www.econbiz.de/10012706677

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