Cheng Yan

Durham Business School

Mill Hill Lane

Durham, Durham DH1 3LB

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

568

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Incomplete Information and the Liquidity Premium Puzzle

Management Science, forthcoming
Number of pages: 63 Posted: 14 Dec 2018 Last Revised: 27 May 2020
South China University of Technology, The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 200 (220,507)
Citation 1

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Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

2.

Convex Incentives and Liquidity Premia

Number of pages: 57 Posted: 21 Dec 2018 Last Revised: 26 Oct 2022
The Hong Kong Polytechnic University, University of New South Wales (UNSW), Renmin University of China - School of Finance and Durham Business School
Downloads 131 (312,773)
Citation 1

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Mutual Funds, Convex Incentives, Transaction Costs, Liquidity Premia

3.

How Interdependent are Energy and Carbon Markets? Evidence from a Quantile-on-Quantile Regression Approach

Number of pages: 35 Posted: 22 Aug 2019
University of Southampton - Southampton Business School, University of Southampton, University of Glasgow, Southampton Business School, University of Southampton and Durham Business School
Downloads 94 (392,877)
Citation 1

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Carbon futures price; Energy futures prices; EU ETS; Quantile-on-Quantile; Causality-in-quantiles

4.

Carbon Price Forecasting: Which Driven Factors Can Help

Number of pages: 40 Posted: 30 Jul 2019
University of Southampton, University of Southampton - Southampton Business School, University of Warwick - Department of Statistics, University of Glasgow and Durham Business School
Downloads 91 (400,999)

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Carbon futures price prediction; Quantile group Lasso; Quantile group SCAD; Variable selection

5.

the Determinants of Retail Fuel Prices in the EU Evidence from the Spatial Panel Quantile Regression

Number of pages: 37 Posted: 25 Jan 2019
Xiaohang Ren, Zudi Lu, Yukun Shi and Cheng Yan
University of Southampton, University of Southampton, University of Glasgow and Durham Business School
Downloads 49 (552,058)

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spatial panel quantile model, retail fuel price, carbon futures price, oil market, cross-market integration

6.

A Skeptical Appraisal of the Bootstrap Approach in Fund Performance Evaluation

Financial Markets, Institutions & Instruments, Vol. 27, Issue 2, pp. 49-86, 2018
Number of pages: 38 Posted: 16 Apr 2018
Huazhu Zhang and Cheng Yan
Nomura Group and Durham Business School
Downloads 3 (908,681)

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alpha, bootstrapping, Fama–French model, Monte Carlo simulation, performance evaluation