Cheng Yan

Durham Business School

Mill Hill Lane

Durham, Durham DH1 3LB

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

819

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (5)

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 255 (219,643)
Citation 3

Abstract:

Loading...

Regime Shifts, Incomplete Information, Transaction Costs, Liquidity Premia

2.

Convex Incentives and Liquidity Premia

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
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 214 (261,159)

Abstract:

Loading...

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 142 (371,252)
Citation 1

Abstract:

Loading...

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 120 (422,437)

Abstract:

Loading...

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 88 (523,643)

Abstract:

Loading...

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