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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
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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
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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
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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
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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
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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