Shu Yan : Citation Profile

Oklahoma State University

10

H index

10

i10 index

635

Citations

RESEARCH PRODUCTION:

24

Articles

6

Papers

RESEARCH ACTIVITY:

   24 years (2000 - 2024). See details.
   Cites by year: 26
   Journals where Shu Yan has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 8 (1.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya169
   Updated: 2025-12-20    RAS profile: 2025-11-11    
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Relations with other researchers

Works with:

Jia, yuecheng (2)

Alexander, Gordon (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 (10)

Campbell, John (9)

Andersen, Torben (8)

Fallahi, Firouz (7)

Damette, Olivier (7)

Santa-Clara, Pedro (6)

Sarno, Lucio (5)

Hjalmarsson, Erik (5)

Constantinides, George (5)

Perrakis, Stylianos (5)

Feunou, Bruno (5)

Cites to:

Baptista, Alexandre (24)

Alexander, Gordon (22)

Fama, Eugene (14)

merton, robert (12)

Levine, Ross (11)

French, Kenneth (11)

pan, jun (8)

Caprio, Gerard (8)

Danielsson, Jon (7)

Das, Sanjiv (7)

Santa-Clara, Pedro (7)

Main data

Where Shu Yan has published?

Journals with more than one article published# docs
Journal of Banking & Finance5
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)

YearTitle of citing document
2025Does Peer-Reviewed Research Help Predict Stock Returns?. (2025). Zimmermann, Tom ; Lopez-Lira, Alejandro ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2212.10317.

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2024Neural Hawkes: Non-Parametric Estimation in High Dimension and Causality Analysis in Cryptocurrency Markets. (2024). Fabre, Timoth'Ee ; Toke, Ioane Muni. In: Papers. RePEc:arx:papers:2401.09361.

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

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2024Degree of Irrationality: Sentiment and Implied Volatility Surface. (2024). Xie, Yan ; Weng, Jiahao. In: Papers. RePEc:arx:papers:2405.11730.

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2025Exploring the Interplay of Skewness and Kurtosis: Dynamics in Cryptocurrency Markets Amid the COVID-19 Pandemic. (2024). Drakos, Konstantinos ; Ballis, Antonis ; Karagiorgis, Ariston. In: Papers. RePEc:arx:papers:2410.12801.

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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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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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2024CEO equity incentive duration and expected crash risk. (2024). Yu, Yangxin ; Yi, Louise ; Gu, Zhenjiang. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:6:s0890838923001221.

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2025Reprint of: The capital market consequence of sustained abnormal Audit fees: Evidence from stock price crash risk. (2025). Song, Hakjoon ; Park, Jong Chool ; Lee, Sang Mook. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:1:s0890838925000058.

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2025Labor protection and stock price crash risk: Evidence from international equity markets. (2025). Dai, Lili ; Chen, Wei ; Zhang, Wenjun ; Fang, Xiaohua. In: The British Accounting Review. RePEc:eee:bracre:v:57:y:2025:i:3:s0890838923001312.

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2025Does government ownership differently impact expected left-tail and volatility risk of bank stock? Evidence from options market. (2025). Srivastava, Pranjal ; Saurav, Sumit ; Mishra, Abinash. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001002.

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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 ; Guo, LI ; Tu, Jun ; Sang, BO. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000551.

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2024Intricacy of cryptocurrency returns. (2024). Nagl, Maximilian. In: Economics Letters. RePEc:eee:ecolet:v:239:y:2024:i:c:s0165176524002295.

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2024Measuring tail risk. (2024). Prokopczuk, Marcel ; Dierkes, Maik ; Hollstein, Fabian ; Wursig, Christoph Matthias. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001155.

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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 ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1185-1194.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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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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2024Persistent and transient variance components in option pricing models with variance-dependent Kernel. (2024). Ghanbari, Hamed. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000665.

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2024Jump tail risk exposure and the cross-section of stock returns. (2024). Alexiou, Lykourgos ; Rompolis, Leonidas S. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000999.

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2025Monetary policy and oil volatility smirk. (2025). Zhen, Fang ; Zhao, Junzhu ; Tian, Yuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pb:s1057521925003874.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2024Information shocks and short-term market overreaction: The role of investor attention. (2024). Meng, Yongqiang ; Xiong, Xiong ; Li, Xiao. 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). Liedtke, Gerrit ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001509.

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2024Machine learning and the cross-section of cryptocurrency returns. (2024). Shahzad, Syed Jawad Hussain ; Będowska-Sójka, Barbara ; Hussain, Syed Jawad ; Cakici, Nusret ; Bdowska-Sojka, Barbara ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001765.

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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, Jine ; 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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2024Extreme illiquidity and cross-sectional corporate bond returns. (2024). Chen, XI ; Wang, Junbo ; Wu, DI. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000132.

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

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2024Limit-hitting exciting effects: Modeling jump dependencies in stock markets adhering to daily price-limit rules. (2024). Qi, Shuyuan ; Chen, Jian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:163:y:2024:i:c:s0378426624001018.

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2024Revisiting capital flow drivers: Regional dynamics, constraints, and geopolitical influences. (2024). Awijen, Haithem ; Anastasiou, Dimitris ; Ftiti, Zied ; Louhichi, Wael ; ben Ameur, Hachmi. 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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2025Option profit and loss attribution and pricing in the Chinese options market. (2025). Ruan, Xinfeng ; Fan, Zheqi ; Jia, Xiaolan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000198.

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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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2024Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers. (2024). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315.

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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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2025Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine. (2025). Sarajoti, Pattarake ; Sahin, Olgun Fuat ; Phiromswad, Piyachart ; Supatgiat, Chonawee. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001606.

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2025Information in derivatives markets: forecasting prices with prices. (2025). Martin, Ian. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128212.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-04595355.

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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). Li, Xiaoping ; Zhou, Chunyang. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10377-4.

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2025Minimum capital requirement portfolios according to the new Basel framework for market risk. (2025). Avellone, Alessandro ; Foroni, Ilaria ; Pederzoli, Chiara. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:2:d:10.1007_s11408-024-00454-5.

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2024Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance. (2024). Lamb, John D ; Tee, Kai-Hong. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05428-w.

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2024Measuring cryptocurrency moment convergence using distance analysis. (2024). Dao, Thong ; Su, Haozhe ; Cheah, Jeremy Eng-Tuck. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05573-2.

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2024From volatility to stability: understanding the role of macroeconomic factors in sovereign CDS spreads. (2024). Alqaralleh, Huthaifa Sameeh. In: Eurasian Economic Review. RePEc:spr:eurase:v:14:y:2024:i:3:d:10.1007_s40822-024-00274-y.

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2025The effects of conventional and unconventional monetary policy shocks on the stock market. (2025). Rahman, Sajjadur. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:49:y:2025:i:2:d:10.1007_s12197-025-09705-1.

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2024The Skewness‐Kurtosis plane for cryptocurrencies universe. (2024). Karagiorgis, Ariston ; Drakos, Konstantinos ; Ballis, Antonis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:2543-2555.

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

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2025Predicting Stock Jumps and Crashes Using Options. (2025). Andreou, Panayiotis C ; Li, Nan ; Han, Chulwoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1471-1490.

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2025The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options. (2025). Guo, Wenxin ; Liu, Dehong ; Chen, Carl R ; Lung, Peter. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:705-731.

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2025Investor Sentiment, Mispricing, and Limited Arbitrage in the Futures Market. (2025). Yang, Heejin ; Ryu, Doowon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:879-895.

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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]		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]		article22
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
2024Information spillover and cross-predictability of currency returns: An analysis via Machine Learning In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
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]		article132
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]		article1
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]		article5
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
2020Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives In: Financial Analysts Journal.
[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]		article137
2004On Predicting Stock Returns with Nearly Integrated Explanatory Variables In: The Journal of Business.
[Full Text][Citation analysis]		article155
2015On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule In: Financial Markets, Institutions & Instruments.
[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]		article5
2012Bank regulation and stability: An examination of the Basel market risk framework In: Discussion Papers.
[Full Text][Citation analysis]		paper2

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