Liuren Wu

Biographic Data

ID8921196
NAMELiuren Wu
GIVEN NAMESLiuren
FAMILY NAMEWu
SIGNATUREWU L
AFFILIATIONSBaruch College
ORCID0000-0001-7222-2102
VERIFIEDYes
TOTAL WORKS2
TOTAL CITATIONS0
WORKS AS AUTHOR2
WORKS AS EDITOR0
FIRST PUBLICATION YEAR2009
LATEST PUBLICATION YEAR2020
H-INDEX0

  • The shale revolution and shifting crude dynamics

    Open AccessMalick Sy, Malick O Sy et al.ARTICLEJournal of Applied Econometrics2020

    Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from the two types of shock through a joint analysis of crude futures options and stock index options. Historical analysis shows that crude oil price movements are dominated by supply shocks from 2004 to 2008, but demand shocks have become much more dominant since then. The lar…

  • Predictability of Interest Rates and Interest-Rate Portfolios

    Turan G Bali, Turan Bali et al.ARTICLEJournal of Business and Economic…2009

    Due to the near unit-root behavior of interest rates, changes in individual interest-rate series are difficult to forecast. We propose an innovative way of applying dynamic term structure models to predict future changes in interest-rate portfolios. Instead of directly forecasting the movements based on the estimated factor dynamics, we use the dynamic term structure model as a decomposition tool and decompose each interest-rate series into two c…