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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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Are interest rate derivatives spanned by the term structure of interest rates? Massoud Heidari and Liuren Wu
Heidari, Massoud; Wu, Liuren - In: The journal of fixed income 13 (2003) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10001782464
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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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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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Dynamic interactions between interest-rate and credit risk : theory and evidence on the credit default swap term structure
Chen, Ren-Raw; Cheng, Xiaolin; Wu, Liuren - In: Review of finance : journal of the European Finance … 17 (2013) 1, pp. 403-441
Persistent link: https://www.econbiz.de/10009715216
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Predictability of interest rates and interest-rate portfolios
Bali, Turan; Heidari, Massoud; Wu, Liuren - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 4, pp. 517-527
Persistent link: https://www.econbiz.de/10003913431
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Market anticipation of Fed policy changes and the term structure of interest rates
Heidari, Massoud; Wu, Liuren - In: Review of finance : journal of the European Finance … 14 (2010) 2, pp. 313-342
Persistent link: https://www.econbiz.de/10003989558
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A no-arbitrage analysis of economic determinants of the credit spread term structure
Wu, Liuren (contributor); Zhang, Frank Xiaoling (contributor) - 2005
Persistent link: https://www.econbiz.de/10003297357
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A no-arbitrage analysis of macroeconomic determinants of the credit spread term structure
Wu, Liuren; Zhang, Frank Xiaoling - In: Management science : journal of the Institute for … 54 (2008) 6, pp. 1160-1175
Persistent link: https://www.econbiz.de/10003737491