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Estimating risk-return relations with analysts price targets

Wu, Liuren - In: Journal of banking & finance 93 (2018), pp. 183-197

Persistent link: https://www.econbiz.de/10011964650

Imports, exports, dollar exposures, and stock returns

Chakraborty, Suparna; Tang, Yi; Wu, Liuren - In: Open economies review 26 (2015) 5, pp. 1059-1079

Persistent link: https://www.econbiz.de/10011481912

Monetary-policy rule as a bridge : predicting inflation without predictive regressions

Hua, Jian; Wu, Liuren - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 6, pp. 2559-2586

Persistent link: https://www.econbiz.de/10012128053

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

Cross-sectional variation of option-implied volatility skew

Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580

Persistent link: https://www.econbiz.de/10014551903

Decomposing long bond returns : a decentralized theory

Carr, Peter; Wu, Liuren - In: Review of finance : journal of the European Finance … 27 (2023) 3, pp. 997-1026

Persistent link: https://www.econbiz.de/10014318020

International price and earnings momentum

Leippold, Markus; Lohre, Harald - In: The European journal of finance 18 (2012) 5/6, pp. 535-573

Persistent link: https://www.econbiz.de/10009615713

What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

Persistent link: https://www.econbiz.de/10011499779

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

Persistent link: https://www.econbiz.de/10011410916