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Using machine learning to predict realized variance
Carr, Peter; Wu, Liuren; Zhang, Zhibai - In: Journal of investment management : JOIM 18 (2020) 2, pp. 57-72
Persistent link: https://www.econbiz.de/10012588965
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Targets, predictability, and performance
Peñaranda, Francisco; Wu, Liuren - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1537-1555
Persistent link: https://www.econbiz.de/10012887642
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Variance swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger; Wu, Liuren - In: Finance and stochastics 16 (2012) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10009544664
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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
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Analyzing volatility risk and risk premium in option contracts : a new theory
Carr, Peter; Wu, Liuren - In: Journal of financial economics 120 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011590060
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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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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
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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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Introduction to the special issue on analytical and decision‑making technique innovation in financial market
Xu, Liang; Wu, Liuren; Li, Xiao; Shen, Feng - In: Financial innovation : FIN 6 (2020) 49, pp. 1-2
Persistent link: https://www.econbiz.de/10012317609
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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