Shu Yan : Citation Profile


Are you Shu Yan?

Oklahoma State University

9

H index

9

i10 index

376

Citations

RESEARCH PRODUCTION:

15

Articles

6

Papers

RESEARCH ACTIVITY:

   20 years (2000 - 2020). See details.
   Cites by year: 18
   Journals where Shu Yan has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 5 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya169
   Updated: 2020-09-26    RAS profile: 2020-02-01    
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Relations with other researchers


Works with:

Baptista, Alexandre (2)

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

Is cited by:

Campbell, John (8)

Fallahi, Firouz (6)

Yogo, Motohiro (5)

Santa-Clara, Pedro (5)

Hjalmarsson, Erik (5)

Perrakis, Stylianos (4)

Christoffersen, Peter (4)

Wachter, Jessica (4)

Maynard, Alex (4)

Dungey, Mardi (4)

CAI, ZONGWU (4)

Cites to:

Baptista, Alexandre (19)

Alexander, Gordon (17)

Kane, Edward (12)

Das, Sanjiv (7)

merton, robert (7)

Levine, Ross (7)

Chen, Zhiwu (6)

Caprio, Gerard (6)

pan, jun (6)

Cao, Charles (6)

Smith, Daniel (6)

Main data


Where Shu Yan has published?


Journals with more than one article published# docs
Journal of Banking & Finance4

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 (2020 and 2019)


YearTitle of citing document
2019Securities Lending Strategies: Valuation of Term Loans using Option Theory. (2018). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1609.01274.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2020Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Catastrophe Risk and the Implied Volatility Smile. (2020). ben Ammar, Semir. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:381-405.

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2019Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yue, Jia ; Yang, Ben-Zhang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:355:y:2019:i:c:p:73-84.

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2019Firm characteristics and jump dynamics in stock prices around earnings announcements. (2019). Qi, John ; Zhou, Haigang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819302980.

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2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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2019Dynamic portfolio allocation with time-varying jump risk. (2019). Wang, Yudong ; Wu, Chongfeng ; Zhou, Chunyang . In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:113-124.

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2019Isolating the disaster risk premium with equity options. (2019). Horvath, Jaroslav. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:138-148.

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2019Pricing dynamics of natural gas futures. (2019). Li, Bingxin. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:91-108.

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2020Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). Vasiliadis, Lavrentios ; Vortelinos, Dimitrios ; Boako, Gideon ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

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2019Can structural changes in the persistence of the forward premium explain the forward premium anomaly?. (2019). Cho, Dooyeon ; Chun, Sungju. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:225-235.

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2019Systematic extreme downside risk. (2019). Stoja, Evarist ; Nguyen, Linh H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:128-142.

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2019Belief heterogeneity in the option markets and the cross-section of stock returns. (2019). Zhao, Yanhui ; Borochin, Paul. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:9.

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2020Market risk-based capital requirements, trading activity, and bank risk. (2020). Torna, Gokhan ; Kitsul, Yuriy ; Holod, Dmytro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302054.

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2019Do idiosyncratic jumps matter?. (2019). Zekhnini, Morad ; Kapadia, Nishad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:666-692.

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2019Bear beta. (2019). Murray, Scott ; Lu, Zhongjin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:736-760.

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2019Gold, platinum, and expected stock returns. (2019). Kilic, Mete ; Huang, Darien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:3:p:50-75.

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2019Volatility and the cross-section of corporate bond returns. (2019). Wu, Chunchi ; Wang, Junbo ; Chung, Kee H. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:397-417.

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2019Effects of capital controls on foreign exchange liquidity. (2019). Cantu, Carlos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:201-222.

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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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2019Tractable Rare Disaster Probability and Options-Pricing. (2019). Barro, Robert ; Liao, Gordon Y. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-73.

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2020New Evidence of the Marginal Predictive Content of Small and Large Jumps in the Cross-Section. (2020). Swanson, Norman R ; Mizrach, Bruce ; Yu, BO. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:19-:d:360192.

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2019An Empirical Analysis of Bitcoin Price Jump Risk. (2019). Kang, Naeyoung ; Kim, Jungmu . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:7:p:2012-:d:220004.

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2020Exchange Rate Predictability, Risk Premiums, and Predictive System. (2020). Park, Cheolbeom ; Bak, Yuhyeon. In: Discussion Paper Series. RePEc:iek:wpaper:2006.

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2019The Pricing of Jump Propagation: Evidence from Spot and Options Markets. (2019). Luo, Dan ; Du, DU. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2360-2387.

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2019Good and Bad Variance Premia and Expected Returns. (2019). Shaliastovich, Ivan ; Kilic, Mete. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2522-2544.

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2019Option Prices in a Model with Stochastic Disaster Risk. (2019). Wachter, Jessica A ; Seo, Sang Byung . In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:8:p:3449-3469.

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2020Dividend Growth Predictability and the Price–Dividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2020Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules. (2020). Fabozzi, Frank J ; Brogi, Marina ; Lagasio, Valentina ; Russo, Vincenzo. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:1:d:10.1007_s10436-020-00358-0.

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2019The Economic Consequences of Labor Unionization: Evidence from Stock Price Crash Risk. (2019). Zhang, Feida ; Wang, Wenming ; Tong, Jamie Y ; Chen, Jun. In: Journal of Business Ethics. RePEc:kap:jbuset:v:157:y:2019:i:3:d:10.1007_s10551-017-3686-0.

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2020Option-implied filtering: evidence from the GARCH option pricing model. (2020). Li, Bingxin. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:3:d:10.1007_s11156-019-00816-5.

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2019Risk-asymmetry indices in Europe. (2019). Muzzioli, Silvia ; Gambarelli, Luca. In: Department of Economics. RePEc:mod:depeco:0157.

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2019Average Crossing Time: An Alternative Characterization of Mean Aversion and Reversion. (2019). Mehra, Rajnish ; Donaldson, John B. In: NBER Working Papers. RePEc:nbr:nberwo:25519.

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2019The Leading Premium. (2019). Schlag, Christian ; Croce, Mariano ; Marchuk, Tatyana. In: NBER Working Papers. RePEc:nbr:nberwo:25633.

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2020Biases in Long-Horizon Predictive Regressions. (2020). Richardson, Matthew P ; Israel, Ronen ; Boudoukh, Jacob . In: NBER Working Papers. RePEc:nbr:nberwo:27410.

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2020Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z.

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2019A general equilibrium approach to pricing volatility risk. (2019). Smith, Tom ; Pan, Zheyao ; Liu, Zhangxin ; Linnenluecke, Martina ; Han, Jianlei. In: PLOS ONE. RePEc:plo:pone00:0215032.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2020.

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2019Modelado de rendimientos de índices bursátiles mediante movimiento fraccional browniano combinado con procesos de saltos y modulado por cadenas de Markov / Modeling Returns of Stock Indexes through . (2019). Venegas-Martínez, Francisco ; Martinez, Miguel Angel ; Carpinteyro, Martha. In: Estocástica: finanzas y riesgo. RePEc:sfr:efruam:v:9:y:2019:i:2:p:163-180.

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2020Does the price of crude oil help predict the conditional distribution of aggregate equity return?. (2020). Nonejad, Nima. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:1:d:10.1007_s00181-019-01643-2.

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2020Persistence and unit root in $$\text {CO}_{2}$$CO2 emissions: evidence from disaggregated global and regional data. (2020). Fallahi, Firouz. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1608-3.

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2019Extreme at-the-money skew in a local volatility model. (2019). Pigato, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:4:d:10.1007_s00780-019-00406-2.

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2020Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Yang, Ben-Zhang ; Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w.

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2020The term structure of implied costs of equity capital. (2020). Lyle, Matthew R ; Callen, Jeffrey L. In: Review of Accounting Studies. RePEc:spr:reaccs:v:25:y:2020:i:1:d:10.1007_s11142-019-09513-z.

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2019An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence. (2019). Jeyasreedharan, Nagaratnam ; Chowdhury, Biplob. In: Working Papers. RePEc:tas:wpaper:29545.

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2019A smiling bear in the equity options market and the cross‐section of stock returns. (2019). Kim, Baeho ; Park, Haehean ; Shim, Hyeongsop. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1360-1382.

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2019How do US options traders “smirk” on China? Evidence from FXI options. (2019). Li, Jianhui ; Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1450-1470.

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2019Jump variance risk: Evidence from option valuation and stock returns. (2019). Chang, Yencheng ; Tseng, Kevin ; Peng, Pohsiang ; Cheng, HungWen . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:890-915.

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2020Show me the money: Option moneyness concentration and future stock returns. (2020). Csapi, Vivien ; Bergsma, Kelley ; Fodor, Andy ; Diavatopoulos, Dean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:761-775.

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2020Informed options trading on the implied volatility surface: A cross‐sectional approach. (2020). Kim, Dahea ; Park, Haehean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:776-803.

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2020Bid and ask prices of index put options: Which predicts the underlying stock returns?. (2020). Liu, Yangshu ; Chen, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1337-1353.

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Works by Shu Yan:


YearTitleTypeCited
2000An explanation of the forward premium ‘puzzle’ In: European Financial Management.
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article13
2000Transactions Costs in the Foreign Exchange Market In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper2
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.
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paper11
2004Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 11
paper
2002Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper18
2000Predictive Regressions Revisited In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper0
2017Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance.
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article1
2020Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion In: Journal of Banking & Finance.
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article0
2007Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance.
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article14
2009Linear-quadratic term structure models - Toward the understanding of jumps in interest rates In: Journal of Banking & Finance.
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article15
2012When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance.
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article3
2013A comparison of the original and revised Basel market risk frameworks for regulating bank capital In: Journal of Economic Behavior & Organization.
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article2
2011Jump risk, stock returns, and slope of implied volatility smile In: Journal of Financial Economics.
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article77
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.
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article4
2003Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility In: Review of Finance.
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article27
2003Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility.(2003) In: Review of Finance.
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This paper has another version. Agregated cites: 27
article
2019CEO incentive compensation and stock liquidity In: Review of Quantitative Finance and Accounting.
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article0
2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options In: The Review of Economics and Statistics.
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article63
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
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article121
2009Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics.
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article3
2012Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers.
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paper2

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