Shu Yan

Oklahoma State University - Stillwater - Department of Finance

Associate Profressor

Spears School of Business

Stillwater, OK 74078-4011

United States

SCHOLARLY PAPERS

18

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Top 22,926

in Total Papers Downloads

2,349

SSRN CITATIONS
Rank 40,006

SSRN RANKINGS

Top 40,006

in Total Papers Citations

10

CROSSREF CITATIONS

7

Scholarly Papers (18)

1.

Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility

Number of pages: 30 Posted: 11 May 2002
University of Chicago - Booth School of Business, UCLA Anderson and Oklahoma State University - Stillwater - Department of Finance
Downloads 787 (34,614)
Citation 9

Abstract:

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2.

Attention on Volatility and Options

Number of pages: 62 Posted: 17 Sep 2013 Last Revised: 05 Apr 2017
Yan Xu, Shu Yan and Yuzhao Zhang
HKU, Faculty of Business and Economics, Oklahoma State University - Stillwater - Department of Finance and Rutgers, The State University of New Jersey - Department of Finance
Downloads 326 (103,652)

Abstract:

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Google search volume, investor attention, volatility, option trading, option pricing

3.

Linear-Quadratic Term Structure Models – Toward the Understanding of Jumps in Interest Rates

Journal of Banking and Finance, 2009, Vol. 33, No. 3
Number of pages: 13 Posted: 20 Mar 2006 Last Revised: 03 Oct 2012
George J. Jiang and Shu Yan
Washington State University and Oklahoma State University - Stillwater - Department of Finance
Downloads 238 (144,026)
Citation 4

Abstract:

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Term Structure, Affine, Quadratic, Jumps, GMM

4.

Information Spillovers and Predictable Currency Returns: An Analysis via Machine Learning

Number of pages: 43 Posted: 03 Feb 2019 Last Revised: 26 Oct 2020
Yuecheng Jia, Yangru Wu and Shu Yan
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Rutgers University, Newark - School of Business - Department of Finance & Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 202 (168,255)

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Foreign Exchange, Currency Return, Post — LASSO, Information Spillovers

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

Number of pages: 49 Posted: 21 Mar 2005
Pedro Santa-Clara and Shu Yan
New University of Lisbon - Nova School of Business and Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 147 (222,308)

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Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

NBER Working Paper No. w10912
Number of pages: 50 Posted: 08 Dec 2004 Last Revised: 21 Mar 2005
Pedro Santa-Clara and Shu Yan
New University of Lisbon - Nova School of Business and Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 55 (419,539)

Abstract:

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6.

There is A Growth Premium: Evidence from A Decomposition of Book-to-Market Ratio

Number of pages: 49 Posted: 19 Jun 2017 Last Revised: 14 Apr 2020
Yuecheng Jia, Shu Yan and Haoxi Yang
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Oklahoma State University - Stillwater - Department of Finance and Nankai University
Downloads 179 (187,762)

Abstract:

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Book-to-Market Ratio, Growth Option, Growth Premium, Innovation, Stock Return

7.

Skewness and Momentum

Number of pages: 46 Posted: 17 Aug 2017
Yuecheng Jia and Shu Yan
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development and Oklahoma State University - Stillwater - Department of Finance
Downloads 144 (225,549)

Abstract:

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Skewness, momentum, stock returns, industry portfolios, options

8.

Profitability Skewness and Stock Return

Number of pages: 47 Posted: 17 Aug 2017
Yuecheng Jia and Shu Yan
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development and Oklahoma State University - Stillwater - Department of Finance
Downloads 106 (283,640)
Citation 2

Abstract:

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Skewness, profitability, stock return, growth option

9.

A Seesaw Effect in the Cryptocurrency Market: Understanding the Lead–Lag Effect Among Cryptocurrencies

Number of pages: 43 Posted: 17 Oct 2019
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Rutgers University, Newark - School of Business - Department of Finance & Economics, Oklahoma State University - Stillwater - Department of Finance and affiliation not provided to SSRN
Downloads 83 (331,939)

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Cryptocurrency, Cross Predictability, Lead–Lag, Seesaw Effect, LASSO, Money Flow

10.

Affine-Quadratic Jump-Diffusion Term Structure Models

Number of pages: 41 Posted: 24 Mar 2005 Last Revised: 21 Feb 2013
George J. Jiang and Shu Yan
Washington State University and Oklahoma State University - Stillwater - Department of Finance
Downloads 82 (334,344)

Abstract:

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Affine, Quadratic, Jump-Diffusions, Term Structure, GMM

11.

A Comparison of the Original and Revised Basel Market Risk Frameworks for Regulating Bank Capital

Journal of Economic Behavior and Organization, Vol. 85, pp. 249-268, , January 2013
Posted: 18 Jul 2017
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Bank regulation, Risk management, Basel framework, Tail risk

12.

Bank Regulation and International Financial Stability: A Case Against the 2006 Basel Framework for Controlling Tail Risk in Trading Books

Journal of International Money and Finance, Vol. 43, pp. 107-130, May 2014
Posted: 18 Jul 2017
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Bank regulation, Financial stability, Basel framework, Financial crisis, Tail risk

13.

Portfolio Selection with Mental Accounts and Estimation Risk

Journal of Empirical Finance, Vol. 41, pp. 161-186, March 2017
Posted: 18 Jul 2017
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

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Portfolio selection, Mental accounts, Estimation risk, Behavioral finance

14.

On Regulatory Responses to the Recent Crisis: An Assessment of the Basel Market Risk Framework and the Volcker Rule

Financial Markets, Institutions & Instruments, Vol. 24, Issue 2-3, pp. 87-125, 2015
Number of pages: 39 Posted: 07 Apr 2015
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance
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Basel framework, financial crisis, Volcker Rule, systemic risk, financial stability, tail risk

15.

Jump Risk, Stock Returns, and Slope of Implied Volatility Smile

Journal of Financial Economics (JFE), Forthcoming
Posted: 17 Feb 2010
Shu Yan
Oklahoma State University - Stillwater - Department of Finance

Abstract:

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Jump Risk, Stock Returns, Options, Implied Volatility Smile, Slope

16.

Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales are Allowed

Managerial and Decision Economics, Vol. 30, No. 5, pp. 281-305, July 2009
Posted: 05 Sep 2008 Last Revised: 30 Jun 2009
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

Abstract:

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Estimation Risk, Portfolio Selection, Short Sales, VaR, Risk Management

17.

Mean-Variance Portfolio Selection With 'At-Risk' Constraints and Discrete Distributions

Journal of Banking and Finance, Vol. 31, No. 12, pp. 3761-3781, December 2007
Posted: 01 Apr 2007 Last Revised: 05 Sep 2008
University of Minnesota - Twin Cities - Carlson School of Management, George Washington University - School of Business and Oklahoma State University - Stillwater - Department of Finance

Abstract:

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Value-at-risk, Conditional value-at-risk, Portfolio selection, Discrete distributions

18.

An Explanation of the Forward Premium 'Puzzle'

Posted: 02 Jun 2000
Shu Yan and Richard Roll
Oklahoma State University - Stillwater - Department of Finance and California Institute of Technology

Abstract:

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Foreign Exchange, Anomalies, Non-stationary Time Series