Loading...

← Back to Leaderboard

Liuren Wu

Global rank #1715 98%

Institution: City University of New York (CUNY)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://faculty.baruch.cuny.edu/lwu/

First Publication: 2001

Most Recent: 2025

RePEc ID: pwu3 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 1.01 1.68 0.00 3.69
Last 10 Years 0.00 3.02 8.38 0.00 14.41
All Time 0.00 14.24 17.76 0.00 46.25

Publication Statistics

Raw Publications 32
Coauthorship-Adjusted Count 32.14

Publications (32)

Year Article Journal Tier Authors
2025 Common Pricing of Decentralized Risk: A Linear Option Pricing Model The Review of Financial Studies A 2
2023 Decomposing Long Bond Returns: A Decentralized Theory* Review of Finance B 2
2023 Limits of Arbitrage and Primary Risk-Taking in Derivative Securities Review of Asset Pricing Studies B 3
2020 Option Profit and Loss Attribution and Pricing: A New Framework Journal of Finance A 2
2020 The shale revolution and shifting crude dynamics Journal of Applied Econometrics B 2
2018 Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics Journal of Financial and Quantitative Analysis B 3
2018 Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions Journal of Financial and Quantitative Analysis B 2
2018 Estimating risk-return relations with analysts price targets Journal of Banking & Finance B 1
2017 Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions Journal of Financial and Quantitative Analysis B 2
2016 Analyzing volatility risk and risk premium in option contracts: A new theory Journal of Financial Economics A 2
2016 Anchoring Credit Default Swap Spreads to Firm Fundamentals Journal of Financial and Quantitative Analysis B 2
2013 Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure-super-* Review of Finance B 3
2011 A Simple Robust Link Between American Puts and Credit Protection The Review of Financial Studies A 2
2011 Uncovered interest-rate parity over the past two centuries Journal of International Money and Finance B 2
2011 Variance dynamics: Joint evidence from options and high-frequency returns Journal of Econometrics A 1
2010 The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments Journal of Financial and Quantitative Analysis B 3
2010 The role of exchange rates in intertemporal risk-return relations Journal of International Money and Finance B 2
2010 Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates Review of Finance B 2
2009 Variance Risk Premiums The Review of Financial Studies A 2
2009 Variance Risk Premiums The Review of Financial Studies A 2
2009 A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives Journal of Financial and Quantitative Analysis B 2
2009 Macroeconomic releases and the interest rate term structure Journal of Monetary Economics A 2
2008 Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies Journal of Financial Economics A 3
2007 Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options Journal of Banking & Finance B 2
2007 Stochastic skew in currency options Journal of Financial Economics A 2
2006 A comprehensive analysis of the short-term interest-rate dynamics Journal of Banking & Finance B 2
2004 Time-changed Levy processes and option pricing Journal of Financial Economics A 2
2003 The Finite Moment Log Stable Process and Option Pricing Journal of Finance A 2
2003 What Type of Process Underlies Options? A Simple Robust Test Journal of Finance A 2
2003 Design and Estimation of Quadratic Term Structure Models Review of Finance B 2
2002 Asset Pricing under the Quadratic Class Journal of Financial and Quantitative Analysis B 2
2001 Predictable changes in yields and forward rates Journal of Financial Economics A 4