Shu Yan

Oklahoma State University - Stillwater - Department of Finance

Spears School of Business

Stillwater, OK 74078-4011

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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in Total Papers Downloads

1,366

CITATIONS
Rank 16,312

SSRN RANKINGS

Top 16,312

in Total Papers Citations

21

Scholarly Papers (9)

1.

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

AFA 2003 Washington, DC Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 30 Posted: 11 May 2002
University of Chicago - Booth School of Business, University of California, Los Angeles (UCLA) - Finance Area and Oklahoma State University - Stillwater - Department of Finance
Downloads 743 (24,443)
Citation 11

Abstract:

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 137 (167,856)
Citation 7

Abstract:

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
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 52 (311,437)
Citation 7

Abstract:

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 178 (125,809)
Citation 3

Abstract:

Term Structure, Affine, Quadratic, Jumps, GMM

4.

Attention on Options

Number of pages: 38 Posted: 17 Sep 2013
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 139 (122,289)

Abstract:

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

5.

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 21 (362,782)

Abstract:

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

6.

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:

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

7.

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:

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

8.

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:

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

9.

An Explanation of the Forward Premium 'Puzzle'

European Financial Management, Vol. 6, No. 2, June 2000
Posted: 02 Jun 2000
Shu Yan and Richard Roll
Oklahoma State University - Stillwater - Department of Finance and California Institute of Technology

Abstract:

Foreign Exchange, Anomalies, Non-stationary Time Series