Shu Yan : Citation Profile

Are you Shu Yan?

Oklahoma State University

10

H index

10

i10 index

599

Citations

RESEARCH PRODUCTION:

23

Articles

6

Papers

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 24
   Journals where Shu Yan has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 7 (1.16 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya169
   Updated: 2024-12-03    RAS profile: 2024-10-08    
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Relations with other researchers

Works with:

Alexander, Gordon (2)

Jia, yuecheng (2)

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:

Bollerslev, Tim (9)

Campbell, John (9)

Andersen, Torben (8)

Damette, Olivier (7)

Fallahi, Firouz (7)

Santa-Clara, Pedro (6)

Perrakis, Stylianos (5)

Wachter, Jessica (5)

Hjalmarsson, Erik (5)

Sarno, Lucio (5)

Ait-Sahalia, Yacine (5)

Cites to:

Baptista, Alexandre (23)

Alexander, Gordon (21)

merton, robert (12)

Fama, Eugene (11)

Levine, Ross (11)

pan, jun (8)

French, Kenneth (8)

Caprio, Gerard (8)

Tirole, Jean (7)

Das, Sanjiv (7)

Rochet, Jean (7)

Main data

Where Shu Yan has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
Journal of International Money and Finance2
Finance Research Letters2
Journal of Empirical 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 (2024 and 2023)

YearTitle 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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2024Pricing 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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2023Stock 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.

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2023A 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.

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2023Predictability of crypto returns: The impact of trading behavior. (2023). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000266.

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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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2023A 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.

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2023Taking stock of long-horizon predictability tests: Are factor returns predictable?. (2023). KOSTAKIS, ALEXANDROS ; Magdalinos, Tassos ; Stamatogiannis, Michalis P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623000052.

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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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2023Multivariate 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.

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2023Conditional 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.

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2023On the driving forces of real exchange rates: Is the Japanese Yen different?. (2023). Zeng, Ming ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000907.

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2023Risk 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.

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2023Jump-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.

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2023Predicting 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.

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2023Extreme downside risk in the cross-section of asset returns. (2023). Ergun, Lerby M. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003563.

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2023Spillovers of joint volatility-skewness-kurtosis of major cryptocurrencies and their determinants. (2023). Jalkh, Naji ; Bouri, Elie. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004313.

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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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2023Does 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.

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2023Net 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.

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2023A 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.

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2023Job 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.

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2023The 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.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Vioto, Davide ; Tunaru, Radu ; Bevilacqua, Mattia. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000320.

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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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2023Anticipating 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.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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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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2023Carr 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.

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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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2023Options-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.

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2023Crash risk in the Nordic Stock Market - a cross-sectional analysis. (2023). Fjarvik, Thomas. In: Discussion Papers. RePEc:hhs:nhhfms:2023_005.

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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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2023Impact 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.

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2023Dynamic 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.

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2023A 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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2023Term 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.

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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:

YearTitleTypeCited
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]		paper22
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]		article18
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]		article116
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]		article131
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
[Full Text][Citation analysis]		article152
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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