Shu Yan : Citation Profile

Oklahoma State University

10

H index

10

i10 index

637

Citations

RESEARCH PRODUCTION:

25

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: 31.    Total self citations: 8 (1.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya169
   Updated: 2026-03-28    RAS profile: 2026-02-15    
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Relations with other researchers

Works with:

Jia, yuecheng (5)

Baptista, Alexandre (2)

Alexander, Gordon (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)

Wachter, Jessica (5)

Perrakis, Stylianos (5)

Baruník, Jozef (5)

Feunou, Bruno (5)

Hjalmarsson, Erik (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)

Das, Sanjiv (7)

Sarno, Lucio (7)

Engle, Robert (7)

Main data

Where Shu Yan has published?

Journals with more than one article published# docs
Journal of Banking & Finance6
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 (2026 and 2025)

YearTitle of citing document
2026Deep Learning, Predictability, and Optimal Portfolio Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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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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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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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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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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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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2025Merton (1976) implied jump. (2025). Ruan, Xinfeng ; Yu, Junhong ; Fan, Zheqi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:180:y:2025:i:c:s0165188925001654.

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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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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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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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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). 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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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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2025An investigation into the causes of stock market return deviations from real earnings yields. (2025). Alsalman, Zeina ; Souropanis, Ioannis ; Murphy, Austin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s105905602500379x.

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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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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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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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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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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
2026Psychological anchoring effect and cross section of cryptocurrency returns 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]		article133
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]		article156
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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