Shu Yan : Citation Profile

Oklahoma State University

10

H index

10

i10 index

607

Citations

RESEARCH PRODUCTION:

23

Articles

6

Papers

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 25
   Journals where Shu Yan has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 7 (1.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya169
   Updated: 2025-03-08    RAS profile: 2024-10-08    
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Relations with other researchers

Works with:

Baptista, Alexandre (2)

Alexander, Gordon (2)

Jia, yuecheng (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Shu Yan.

Is cited by:

Bollerslev, Tim (10)

Campbell, John (9)

Andersen, Torben (8)

Fallahi, Firouz (7)

Damette, Olivier (7)

Santa-Clara, Pedro (6)

Baruník, Jozef (5)

Wachter, Jessica (5)

Hjalmarsson, Erik (5)

Constantinides, George (5)

Feunou, Bruno (5)

Cites to:

Baptista, Alexandre (23)

Alexander, Gordon (21)

Fama, Eugene (13)

merton, robert (12)

Levine, Ross (11)

French, Kenneth (10)

Caprio, Gerard (8)

pan, jun (8)

Tirole, Jean (7)

Rochet, Jean (7)

Das, Sanjiv (7)

Main data

Production by document typearticlepaper2000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024024Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240102030Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250204060Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 10Most cited documents1234567891011120100200Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201308201309201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Shu Yan has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
Finance Research Letters2
Journal of Empirical Finance2
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA4

Recent works citing Shu Yan (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Peer-reviewed theory does not help predict the cross-section of stock returns. (2022). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2025Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus. (2024). Tahmasebi, Mahdieh ; Ahmadi, Ayub. In: Papers. RePEc:arx:papers:2405.00473.

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2024What Drives Variation in the U.S. Debt‐to‐Output Ratio? The Dogs that Did not Bark. (2024). Van Nieuwerburgh, Stijn ; Xiaolan, Mindy Z ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:4:p:2603-2665.

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2024Dynamic industry uncertainty networks and the business cycle. (2024). faff, robert ; Baruník, Jozef ; Bevilacqua, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923001999.

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2024Cross-cryptocurrency return predictability. (2024). Wang, YU ; Tu, Jun ; Sang, BO ; Guo, LI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options. (2024). Guizzardi, Andrea ; Dinnocenzo, Enzo ; Ballestra, Luca Vincenzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Policy uncertainty, bad news disclosure, and stock price crash risk. (2024). Yi, Yao ; Wang, Jundong ; Tseng, Kevin ; Kim, Jeong-Bon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000471.

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2024Information shocks and short-term market overreaction: The role of investor attention. (2024). Xiong, Xiong ; Li, Xiao ; Meng, Yongqiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001510.

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2024Cryptocurrency anomalies and economic constraints. (2024). Zaremba, Adam ; Liedtke, Gerrit ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

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2024Can multi-period auto-portfolio systems improve returns? Evidence from Chinese and U.S. stock markets. (2024). Zhao, Yang ; Wang, Shuai ; Lv, Mengzheng ; Gao, Jialu. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003508.

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2024Political uncertainty and stock price crash risk: Insights from state-elections in an emerging market. (2024). Wadhwa, Kavita ; Goodell, John W. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s105752192400351x.

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2024Smirking in the energy market: Evidence from the Chinese crude oil options market. (2024). Zhang, Jin E ; Ruan, Xinfeng ; Li, Lu-Lu ; Yue, Tian. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005696.

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2024A closed-form solution for spot volatility from options under limited data. (2024). Zhou, Chunyang ; Zhang, Aoran. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008717.

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2024Someone like you: Lottery-like preference and the cross-section of expected returns in the cryptocurrency market. (2024). Liu, Weiyi ; Wang, YE ; Zhao, Xiaojuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000234.

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2024Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences. (2024). Awijen, Haithem ; Anastasiou, Dimitris ; Louhichi, Wael ; ben Ameur, Hachmi ; Ftiti, Zied. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000366.

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2024Predicting the equity premium with financial ratios: A comprehensive look over a long period in Korea. (2024). Ho, Young ; Hahn, Jaehoon ; Park, Dojoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000714.

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2024Media coverage and stock liquidity: Evidence from China. (2024). Ho, Kung-Cheng ; Huang, Hung-Yi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:665-682.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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2024Application of Supervised Machine Learning Techniques to Forecast the COVID-19 U.S. Recession and Stock Market Crash. (2024). Malladi, Rama K. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:3:d:10.1007_s10614-022-10333-8.

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2024Tobin Tax, Carry Trade, and the Exchange Rate Dynamics. (2024). Zhou, Chunyang ; Li, Xiaoping. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10377-4.

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2024Early exercise, implied volatility spread and future stock return: Jumps bind them all. (2024). Gazi, Adnan ; Garrett, Ian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:720-743.

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Works by Shu Yan:

Year  ↓Title  ↓Type  ↓Cited  ↓
2023CEO incentive compensation and stock price momentum In: Accounting and Finance.
[Full Text][Citation analysis]		article0
2000An explanation of the forward premium ‘puzzle’ In: European Financial Management.
[Full Text][Citation analysis]		article15
2000Transactions Costs in the Foreign Exchange Market In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper4
2004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper20
2004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper23
2000Predictive Regressions Revisited In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2021Dispersion in analysts’ target prices and stock returns In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article1
2017Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2023A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
2021Higher moments, extreme returns, and cross–section of cryptocurrency returns In: Finance Research Letters.
[Full Text][Citation analysis]		article16
2024Nominal price illusion, return skewness, and momentum In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article19
2009Linear-quadratic term structure models - Toward the understanding of jumps in interest rates In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article23
2012When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2013A comparison of the original and revised Basel market risk frameworks for regulating bank capital In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article5
2011Jump risk, stock returns, and slope of implied volatility smile In: Journal of Financial Economics.
[Full Text][Citation analysis]		article119
2021Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2014Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article4
2003Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility In: Review of Finance.
[Full Text][Citation analysis]		article48
2003Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility.(2003) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		article
2019CEO incentive compensation and stock liquidity In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article7
In: .
[Full Text][Citation analysis]		article0
2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article132
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
[Full Text][Citation analysis]		article154
In: .
[Full Text][Citation analysis]		article0
2009Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics.
[Full Text][Citation analysis]		article4
2012Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers.
[Full Text][Citation analysis]		paper2

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