Cheng Yan

University of Essex - Essex Business School

Wivenhoe Park

Colchester, CO4 3SQ

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

150

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation

Number of pages: 48 Posted: 08 Jul 2019
Tingting Cheng, Cheng Yan and Yayi Yan
Monash University, University of Essex - Essex Business School and Department of Econometrics and Business Statistics
Downloads 50 (403,056)

Abstract:

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Performance Evaluation, Mutual Fund, Hedge Fund, Crisis, Arbitrage

2.

Benchmarking Mutual Fund Returns

Number of pages: 68 Posted: 24 Sep 2019 Last Revised: 29 Jan 2020
Tingting Cheng, Cheng Yan and Yayi Yan
Nankai University - School of Finance, University of Essex - Essex Business School and Department of Econometrics and Business Statistics
Downloads 44 (424,918)

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Alpha, Benchmark, Measurement error, Mutual fund, Performance evaluation

3.

Bankruptcy Prediction with Financial Systemic Risk

The European Journal of Finance, Forthcoming
Number of pages: 26 Posted: 23 Jul 2019 Last Revised: 30 Jan 2020
University of Glasgow, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 41 (436,632)

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Bankruptcy prediction; Systemic risk; Hazard model

4.

Online Appendix to 'Three High-Dimensional Cross-Sectional Tests for Fund Performance Evaluation'

Number of pages: 59 Posted: 10 Jul 2019 Last Revised: 12 Jul 2019
Tingting Cheng, Cheng Yan and Yayi Yan
Monash University, University of Essex - Essex Business School and Department of Econometrics and Business Statistics
Downloads 8 (618,626)

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5.

Internet Appendix to Accompany 'Bankruptcy Prediction with Financial Systemic Risk'

Number of pages: 10 Posted: 22 Jul 2019
University of Glasgow, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 5 (639,048)

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6.

Three One‐Factor Processes for Option Pricing with a Mean‐Reverting Underlying: The Case of VIX

Financial Review, Vol. 54, Issue 1, pp. 165-199, 2019
Number of pages: 35 Posted: 08 Jan 2019
Bo Zhao, Cheng Yan and Stewart Hodges
Fucius Capital Hedge Fund, University of Essex - Essex Business School and City University London
Downloads 2 (663,521)
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volatility derivative, American option, mean‐reverting process, implied volatility