| Year |
Citation |
Score |
| 2020 |
Carr P, Wu L. Option Profit and Loss Attribution and Pricing: A New Framework Journal of Finance. 75: 2271-2316. DOI: 10.1111/Jofi.12894 |
0.511 |
|
| 2020 |
Sy MO, Wu L. The shale revolution and shifting crude dynamics Journal of Applied Econometrics. 35: 160-175. DOI: 10.1002/Jae.2745 |
0.411 |
|
| 2018 |
Calvet LE, Fisher AJ, Wu L. Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics Journal of Financial and Quantitative Analysis. 53: 937-963. DOI: 10.2139/Ssrn.1573392 |
0.402 |
|
| 2018 |
Hua J, Wu L. Monetary-Policy Rule as a Bridge: Predicting Inflation without Predictive Regressions Journal of Financial and Quantitative Analysis. 53: 2559-2586. DOI: 10.1017/S0022109018000467 |
0.328 |
|
| 2018 |
Wu L. Estimating risk-return relations with analysts price targets Journal of Banking and Finance. 93: 183-197. DOI: 10.1016/J.Jbankfin.2018.06.010 |
0.521 |
|
| 2017 |
Carr P, Wu L. Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions Journal of Financial and Quantitative Analysis. 52: 2119-2156. DOI: 10.2139/Ssrn.1306495 |
0.461 |
|
| 2016 |
Bai J, Wu L. Anchoring Credit Default Swap Spreads to Firm Fundamentals Journal of Financial and Quantitative Analysis. 51: 1521-1543. DOI: 10.2139/Ssrn.2020841 |
0.397 |
|
| 2016 |
Wu L, Zhu J. Simple Robust Hedging with Nearby Contracts Journal of Financial Econometrics. 15: 1-35. DOI: 10.2139/Ssrn.1701696 |
0.403 |
|
| 2016 |
Carr P, Wu L. Analyzing volatility risk and risk premium in option contracts: A new theory Journal of Financial Economics. 120: 1-20. DOI: 10.1016/J.Jfineco.2016.01.004 |
0.432 |
|
| 2015 |
Chakraborty S, Tang Y, Wu L. Imports, Exports, Dollar Exposures, and Stock Returns Open Economies Review. 26: 1059-1079. DOI: 10.2139/Ssrn.1108002 |
0.404 |
|
| 2014 |
Holowczak R, Hu J, Wu L. Aggregating Information in Option Transactions Journal of Derivatives. 21: 9-23. DOI: 10.3905/Jod.2014.21.3.009 |
0.415 |
|
| 2013 |
Chen R, Cheng X, Wu L. Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure* Review of Finance. 17: 403-441. DOI: 10.1093/Rof/Rfr032 |
0.436 |
|
| 2013 |
Carr P, Wu L. Static hedging of standard options Journal of Financial Econometrics. 12: 3-46. DOI: 10.1093/Jjfinec/Nbs014 |
0.417 |
|
| 2012 |
Carr P, Lee R, Wu L. Variance swaps on time-changed Lévy processes Finance and Stochastics. 16: 335-355. DOI: 10.1007/S00780-011-0157-9 |
0.382 |
|
| 2011 |
Wu L. Variance Dynamics: Joint Evidence from Options and High-Frequency Returns Journal of Econometrics. 160: 280-287. DOI: 10.2139/Ssrn.681821 |
0.436 |
|
| 2011 |
Carr P, Wu L. A Simple Robust Link between American Puts and Credit Protection Review of Financial Studies. 24: 473-505. DOI: 10.1093/Rfs/Hhq129 |
0.395 |
|
| 2011 |
Lothian JR, Wu L. Uncovered Interest Rate Parity over the Past Two Centuries Journal of International Money and Finance. 30: 448-473. DOI: 10.1016/J.Jimonfin.2011.01.005 |
0.416 |
|
| 2010 |
Bakshi G, Wu L. The Behavior of Risk and Market Prices of Risk Over the Nasdaq Bubble Period Management Science. 56: 2251-2264. DOI: 10.1287/Mnsc.1100.1256 |
0.526 |
|
| 2010 |
Heidari M, Wu L. Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates Review of Finance. 14: 313-342. DOI: 10.1093/Rof/Rfp001 |
0.447 |
|
| 2010 |
Carr P, Wu L. Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation Journal of Financial Econometrics. 8: 409-449. DOI: 10.1093/Jjfinec/Nbp010 |
0.54 |
|
| 2010 |
Egloff D, Leippold M, Wu L. The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments Journal of Financial and Quantitative Analysis. 45: 1279-1310. DOI: 10.1017/S0022109010000463 |
0.425 |
|
| 2010 |
Bali TG, Wu L. The role of exchange rates in intertemporal risk–return relations Journal of International Money and Finance. 29: 1670-1686. DOI: 10.1016/J.Jimonfin.2010.05.016 |
0.511 |
|
| 2009 |
Bali TG, Heidari M, Wu L. Predictability of Interest Rates and Interest-Rate Portfolios Journal of Business & Economic Statistics. 27: 517-527. DOI: 10.2139/Ssrn.920673 |
0.432 |
|
| 2009 |
Carr P, Wu L. Variance Risk Premiums Review of Financial Studies. 22: 1311-1341. DOI: 10.1093/Rfs/Hhn038 |
0.447 |
|
| 2009 |
Heidari M, Wu L. A Joint Framework for Consistently Pricing Interest Rates and Interest Rate Derivatives Journal of Financial and Quantitative Analysis. 44: 517-550. DOI: 10.1017/S0022109009990093 |
0.439 |
|
| 2009 |
Lu B, Wu L. Macroeconomic releases and the interest rate term structure Journal of Monetary Economics. 56: 872-884. DOI: 10.1016/J.Jmoneco.2009.06.005 |
0.413 |
|
| 2008 |
Wu L, Zhang FX. A No-Arbitrage Analysis of Macroeconomic Determinants of the Credit Spread Term Structure Management Science. 54: 1160-1175. DOI: 10.1287/Mnsc.1070.0835 |
0.544 |
|
| 2008 |
Bakshi G, Carr P, Wu L. Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies Journal of Financial Economics. 87: 132-156. DOI: 10.1016/J.Jfineco.2006.12.001 |
0.508 |
|
| 2007 |
Simaan YE, Wu L. Price Discovery in the U.S. Stock Options Market Journal of Trading. 3: 68-86. DOI: 10.3905/Jot.2008.700224 |
0.483 |
|
| 2007 |
Simaan YE, Wu L. Price Discovery in the U.S. Stock Options Market Journal of Derivatives. 15: 20-38. DOI: 10.3905/Jod.2007.699044 |
0.483 |
|
| 2007 |
Holowczak R, Simaan YE, Wu L. Price Discovery in the U.S. Stock and Stock Options Markets: A Portfolio Approach Review of Derivatives Research. 9: 37-65. DOI: 10.2139/Ssrn.951798 |
0.494 |
|
| 2007 |
Mo H, Wu L. International capital asset pricing: Evidence from options Journal of Empirical Finance. 14: 465-498. DOI: 10.2139/Ssrn.889182 |
0.519 |
|
| 2007 |
Carr P, Wu L. Variance Risk Premia The Finance. DOI: 10.2139/Ssrn.577222 |
0.441 |
|
| 2007 |
Leippold M, Wu L. Design and Estimation of Multi-Currency Quadratic Models Review of Finance. 11: 167-207. DOI: 10.1093/Rof/Rfl002 |
0.394 |
|
| 2007 |
Easley D, Engle RF, O'Hara M, Wu L. Time-Varying Arrival Rates of Informed and Uninformed Trades Journal of Financial Econometrics. 6: 171-207. DOI: 10.1093/Jjfinec/Nbn003 |
0.491 |
|
| 2007 |
Carr P, Wu L. Stochastic Skew in Currency Options Journal of Financial Economics. 86: 213-247. DOI: 10.1016/J.Jfineco.2006.03.010 |
0.471 |
|
| 2007 |
Carr P, Wu L. Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options Journal of Banking and Finance. 31: 2383-2403. DOI: 10.1016/J.Jbankfin.2006.09.008 |
0.46 |
|
| 2006 |
Carr P, Wu L. A Tale of Two Indices Journal of Derivatives. 13: 13-29. DOI: 10.3905/Jod.2006.616865 |
0.51 |
|
| 2006 |
Bali TG, Wu L. A comprehensive analysis of the short-term interest-rate dynamics Journal of Banking and Finance. 30: 1269-1290. DOI: 10.2139/Ssrn.688581 |
0.356 |
|
| 2006 |
Wu L. Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns The Journal of Business. 79: 1445-1474. DOI: 10.2139/Ssrn.585450 |
0.487 |
|
| 2005 |
Foresi S, Wu L. Crash-O-Phobia: A Domestic Fear or a Worldwide Concern? Journal of Derivatives. 13: 8-21. DOI: 10.2139/Ssrn.598182 |
0.412 |
|
| 2005 |
Wu L, Zhang FX. A no-arbitrage analysis of economic determinants of the credit spread term structure Social Science Research Network. 2005: 1-48. DOI: 10.17016/Feds.2005.59 |
0.521 |
|
| 2004 |
Backus DK, Foresi S, Wu L. Accounting for Biases in Black-Scholes The Finance. DOI: 10.2139/Ssrn.585623 |
0.473 |
|
| 2004 |
Heidari M, Wu L. What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities The Finance. DOI: 10.2139/Ssrn.585622 |
0.453 |
|
| 2004 |
Huang J, Wu L. Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes Journal of Finance. 59: 1405-1440. DOI: 10.2139/Ssrn.411020 |
0.426 |
|
| 2004 |
Carr P, Wu L. Time-Changed Levy Processes and Option Pricing ⁄ Journal of Financial Economics. 71: 113-141. DOI: 10.1016/S0304-405X(03)00171-5 |
0.484 |
|
| 2003 |
Heidari M, Wu L. Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates The Journal of Fixed Income. 13: 75-86. DOI: 10.3905/Jfi.2003.319347 |
0.417 |
|
| 2003 |
Pan E, Wu L. Taking Positive Interest Rates Seriously The Finance. 1489-1502. DOI: 10.2139/Ssrn.585461 |
0.402 |
|
| 2003 |
Leippold M, Wu L. Design and Estimation of Quadratic Term Structure Models Review of Finance. 7: 47-73. DOI: 10.2139/Ssrn.317120 |
0.429 |
|
| 2003 |
Carr P, Wu L. The Finite Moment Log Stable Process and Option Pricing Journal of Finance. 58: 753-778. DOI: 10.1111/1540-6261.00544 |
0.412 |
|
| 2003 |
Carr P, Wu L. What Type of Process Underlies Options? A Simple Robust Test Journal of Finance. 58: 2581-2610. DOI: 10.1046/J.1540-6261.2003.00616.X |
0.438 |
|
| 2003 |
Wu L. Jumps and dynamic asset allocation Review of Quantitative Finance and Accounting. 20: 207-243. DOI: 10.1023/A:1023699711805 |
0.421 |
|
| 2002 |
Leippold M, Wu L. Asset Pricing under the Quadratic Class Journal of Financial and Quantitative Analysis. 37: 271-295. DOI: 10.2307/3595006 |
0.4 |
|
| 2002 |
Goswami G, Shrikhande M, Wu L. A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs The Finance. DOI: 10.2139/Ssrn.301291 |
0.421 |
|
| 2001 |
Backus D, Foresi S, Mozumdar A, Wu L. Predictable changes in yields and forward rates Journal of Financial Economics. 59: 281-311. DOI: 10.1016/S0304-405X(00)00088-X |
0.38 |
|
| 1999 |
Leippold M, Wu L. The Potential Approach to Bond and Currency Pricing The Finance. DOI: 10.2139/Ssrn.155430 |
0.444 |
|
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