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Price discovery in the US stock and stock options markets : a portfolio approach

Holowczak, Richard; Simaan, Yusif E.; Wu, Liuren - In: Review of derivatives research 9 (2006) 1, pp. 37-65

Persistent link: https://www.econbiz.de/10003441188

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

Variance dynamics : joint evidence from options and high-frequency returns

Wu, Liuren - In: Journal of econometrics 160 (2011) 1, pp. 280-287

Persistent link: https://www.econbiz.de/10009242518

Dampened power law : reconciling the tail behavior of financial security returns

Wu, Liuren - In: The journal of business : B 79 (2006) 3, pp. 1445-1475

Persistent link: https://www.econbiz.de/10003337016

Modeling financial security returns using Lévy processes

Wu, Liuren - In: Financial engineering, (pp. 117-162). 2008

Persistent link: https://www.econbiz.de/10003567103

Consolidating Information in Option Transactions

Holowczak, Richard - 2013

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. How to aggregate the trade information of different...

Persistent link: https://www.econbiz.de/10013093687

Consolidating Information in Option Transactions

Hu, Jianfeng - 2013

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock...

Persistent link: https://www.econbiz.de/10013093973

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

Simple robust hedging with nearby contracts

Wu, Liuren; Zhu, Jingyi - In: Journal of financial econometrics : official journal of … 15 (2017) 1, pp. 1-35

Persistent link: https://www.econbiz.de/10011658670

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