Shu Yan : Citation Profile

Oklahoma State University

10

H index

10

i10 index

636

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

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya169
   Updated: 2026-02-21    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)

Ait-Sahalia, Yacine (5)

Hjalmarsson, Erik (5)

Sarno, Lucio (5)

Yogo, Motohiro (5)

Perrakis, Stylianos (5)

Cites to:

Baptista, Alexandre (24)

Alexander, Gordon (22)

Fama, Eugene (14)

merton, robert (12)

French, Kenneth (11)

Levine, Ross (11)

Caprio, Gerard (8)

pan, jun (8)

Danielsson, Jon (7)

Santa-Clara, Pedro (7)

Tirole, Jean (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
Journal of Empirical Finance2
Finance Research Letters2

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
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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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]		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]		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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