9
H index
9
i10 index
567
Citations
Oklahoma State University | 9 H index 9 i10 index 567 Citations RESEARCH PRODUCTION: 18 Articles 6 Papers RESEARCH ACTIVITY: 21 years (2000 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pya169 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Shu Yan. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 4 |
Journal of International Money and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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University of California at Los Angeles, Anderson Graduate School of Management / Anderson Graduate School of Management, UCLA | 4 |
Year | Title of citing document |
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2023 | Peer-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. Full description at Econpapers || Download paper |
2023 | Stock liquidity and societal trust. (2023). Zadeh, Mohammad Hendijani. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022000612. Full description at Econpapers || Download paper |
2023 | A systematic literature review of investor behavior in the cryptocurrency markets. (2023). Gonçalves, Tiago ; Gonalves, Tiago Cruz ; Almeida, Jose. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001071. Full description at Econpapers || Download paper |
2023 | A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers || Download paper |
2023 | Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596. Full description at Econpapers || Download paper |
2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper |
2023 | Risk appetite and option prices: Evidence from the Chinese SSE50 options market. (2023). Sui, Cong ; Wang, Shouyang ; Liu, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000571. Full description at Econpapers || Download paper |
2023 | Jump-diffusion volatility models for variance swaps: An empirical performance analysis. (2023). Hong, YI ; Jin, Xing. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001229. Full description at Econpapers || Download paper |
2023 | Predicting inflation expectations: A habit-based explanation under hedging. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003320. Full description at Econpapers || Download paper |
2023 | Does the realized distribution-based measure dominate particular moments? Evidence from cryptocurrency markets. (2023). Yen, Kuang-Chieh ; Chiu, Shih-Yung ; Yang, Jen-Wei. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005736. Full description at Econpapers || Download paper |
2023 | Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544. Full description at Econpapers || Download paper |
2023 | A Bayesian analysis of time-varying jump risk in S&P 500 returns and options. (2023). Luo, Dan ; Carverhill, Andrew. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000751. Full description at Econpapers || Download paper |
2023 | Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022. Full description at Econpapers || Download paper |
2023 | The role of idiosyncratic jumps in stock markets. (2023). Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000186. Full description at Econpapers || Download paper |
2023 | Anticipating jumps: Decomposition of straddle price. (2023). Vasquez, Aurelio ; Gan, Quan ; Chen, Bei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426622003351. Full description at Econpapers || Download paper |
2023 | Carr and Wu’s (2020) framework in the oil ETF option market. (2023). Zhang, Jin E ; Ruan, Xinfeng ; Jia, Xiaolan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000247. Full description at Econpapers || Download paper |
2023 | Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Tunaru, Radu ; Bevilacqua, Mattia ; Vioto, Davide. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119289. Full description at Econpapers || Download paper |
2023 | Crash risk in the Nordic Stock Market - a cross-sectional analysis. (2023). Fjarvik, Thomas. In: Discussion Papers. RePEc:hhs:nhhfms:2023_005. Full description at Econpapers || Download paper |
2023 | Impact of size and volume on cryptocurrency momentum and reversal. (2023). Fiura, Milan. In: FFA Working Papers. RePEc:prg:jnlwps:v:5:y:2023:id:5.003. Full description at Econpapers || Download paper |
2023 | Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets. (2023). Kang, Sang Hoon ; Pham, Linh ; Ko, Hee-Un ; Hanif, Waqas. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00474-6. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Term spreads of implied volatility smirk and variance risk premium. (2023). Zhang, Jin E ; Gehricke, Sebastian A ; Ruan, Xinfeng ; Guo, Wei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:829-857. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2000 | An explanation of the forward premium ‘puzzle’ In: European Financial Management. [Full Text][Citation analysis] | article | 15 |
2000 | Transactions Costs in the Foreign Exchange Market In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 4 |
2004 | Jump 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] | paper | 20 |
2004 | Jump 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 | |
2002 | Relative Pricing of Options with Stochastic Volatility In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 22 |
2000 | Predictive Regressions Revisited In: University of California at Los Angeles, Anderson Graduate School of Management. [Full Text][Citation analysis] | paper | 0 |
2021 | Dispersion in analysts’ target prices and stock returns In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2017 | Portfolio selection with mental accounts and estimation risk In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
2021 | Higher moments, extreme returns, and cross–section of cryptocurrency returns In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
2020 | Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
2007 | Mean-variance portfolio selection with `at-risk constraints and discrete distributions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
2009 | Linear-quadratic term structure models - Toward the understanding of jumps in interest rates In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
2012 | When more is less: Using multiple constraints to reduce tail risk In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
2013 | A comparison of the original and revised Basel market risk frameworks for regulating bank capital In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 5 |
2011 | Jump risk, stock returns, and slope of implied volatility smile In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 113 |
2021 | Regulation 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] | article | 0 |
2014 | Bank 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] | article | 4 |
2003 | Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility In: Review of Finance. [Full Text][Citation analysis] | article | 46 |
2003 | Some 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: 46 | article | |
2019 | CEO incentive compensation and stock liquidity In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 6 |
2010 | Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 121 |
2004 | On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business. [Full Text][Citation analysis] | article | 146 |
2009 | Reducing estimation risk in optimal portfolio selection when short sales are allowed In: Managerial and Decision Economics. [Full Text][Citation analysis] | article | 4 |
2012 | Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
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