Jian Yang

University of Colorado at Denver - Business School

1250 14th St.

Denver, CO 80204

United States

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 2,830

SSRN RANKINGS

Top 2,830

in Total Papers Downloads

10,436

CITATIONS
Rank 2,551

SSRN RANKINGS

Top 2,551

in Total Papers Citations

219

Scholarly Papers (39)

1.

Stock Market Integration and Financial Crises: The Case of Asia

Number of pages: 30 Posted: 01 Dec 2003
Jian Yang, James W. Kolari and Insik Min
University of Colorado at Denver - Business School, Texas A&M University, Department of Finance and Texas A&M University
Downloads 904 (18,422)
Citation 19

Abstract:

Asian financial crisis, cointegration, emerging stock markets, generalized impulse response analysis

2.

Asset Storability and Price Discovery of Commodity Futures Markets: A New Look

Number of pages: 32 Posted: 21 Nov 2002
University of Colorado at Denver - Business School, Texas A&M University, College Station - Department of Agricultural Economics and Texas A&M University - Department of Agricultural Economics
Downloads 883 (15,369)
Citation 14

Abstract:

Asset storability, Price discovery, Cointegration, Cost-of-carry

3.

Realized Volatility and Correlation in Energy Futures Markets

Number of pages: 34 Posted: 27 Nov 2007
Tao Wang, Jingtao Wu and Jian Yang
City University of New York (CUNY) - Department of Economics, Iowa State University and University of Colorado at Denver - Business School
Downloads 638 (30,843)
Citation 5

Abstract:

Realized volatility and correlation, oil and natural gas, long-memory, OPEC

4.

Impact of Interest Rate Swaps on Corporate Capital Structure: An Empirical Investigation

Number of pages: 19 Posted: 08 Jun 2003
University of Colorado at Denver - Business School, Texas A&M University - Department of Agricultural Economics and Texas A&M University - Department of Agricultural Economics
Downloads 572 (34,393)

Abstract:

interest rate swaps, capital structure, tax incentive of hedging

5.

Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis

Number of pages: 29 Posted: 23 Jul 2003
Jian Yang
University of Colorado at Denver - Business School
Downloads 456 (48,033)
Citation 10

Abstract:

6.

The Stock-Bond Correlation and Macroeconomic Conditions: One and a Half Centuries of Evidence

Number of pages: 36 Posted: 22 Dec 2008
Jian Yang, Yinggang Zhou and Zijun Wang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Texas A&M University
Downloads 432 (46,170)
Citation 10

Abstract:

Stock-bond correlation, Business cycle, Asymmetry, Smooth transition, GARCH

7.

The Relationship between Stock Returns and Volatility in International Stock Markets

Journal of Empirical Finance, Forthcoming
Number of pages: 27 Posted: 26 Apr 2005
Texas A&M University - Department of Economics, University of Colorado at Denver - Business School, University of Southern California - Department of Economics and Inje University - Department of Business Administration
Downloads 387 (54,668)
Citation 12

Abstract:

risk-return tradeoff, GARCH, semiparametric estimation

8.

Contagion around the October 1987 Stock Market Crash

European Journal of Operation Research, Forthcoming
Number of pages: 38 Posted: 16 Jul 2006
Jian Yang and David Bessler
University of Colorado at Denver - Business School and Texas A&M University, College Station - Department of Agricultural Economics
Downloads 380 (60,727)
Citation 1

Abstract:

International stock markets, stock market crash, historical decomposition, directed acyclic graphs

9.

The International Price Transmission in Stock Index Futures Markets

Number of pages: 37 Posted: 13 Sep 2003
Jian Yang and David Bessler
University of Colorado at Denver - Business School and Texas A&M University, College Station - Department of Agricultural Economics
Downloads 371 (62,817)
Citation 6

Abstract:

Stock index futures, Error correction model, Impulse response analysis, Forecast error variance decomposition, Directed acyclic graphs

10.

Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

FRB of St. Louis Working Paper No. 2005-026B
Number of pages: 65 Posted: 17 Mar 2005
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 352 (63,998)
Citation 19

Abstract:

CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium

11.

Intraday Price Discovery and Volatility Transmission in Stock Index and Stock Index Futures Markets: Evidence from China

Journal of Futures Markets, Forthcoming
Number of pages: 32 Posted: 11 Dec 2010 Last Revised: 25 Jan 2011
Jian Yang, Yinggang Zhou and Zihui Yang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Sun Yat Sen University - Lingnan College
Downloads 336 (55,978)
Citation 2

Abstract:

Chinese Stock Index Futures Market, Intraday, Recursive Cointegration Analysis, Multivariate GARCH

12.

The Structure of Interdependence in International Stock Markets

Number of pages: 46 Posted: 29 Aug 2002
David Bessler and Jian Yang
Texas A&M University, College Station - Department of Agricultural Economics and University of Colorado at Denver - Business School
Downloads 330 (72,567)
Citation 29

Abstract:

International stock markets, Cointegration, Forecast error variance decomposition, Directed acyclic graphs

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

IEPR Working Paper No. 05.27
Number of pages: 35 Posted: 18 Aug 2005
Cheng Hsiao, Zijun Wang and Jian Yang
University of Southern California - Department of Economics, Texas A&M University and University of Colorado at Denver - Business School
Downloads 299 (81,662)
Citation 6

Abstract:

Market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis

The Emerging Market Crisis and Stock Market Linkages: Further Evidence

Journal of Applied Econometrics, Forthcoming
Posted: 29 Aug 2005
Jian Yang, Zijun Wang, Cheng Hsiao and Qi Li
University of Colorado at Denver - Business School, Texas A&M University, University of Southern California - Department of Economics and Texas A&M University - Department of Economics

Abstract:

market linkages, emerging stock markets, generalized impulse response analysis, generalized forecast error variance decomposition, rolling VAR analysis

14.

European Stock Market Integration: Does EMU Matter?

Number of pages: 36 Posted: 26 Apr 2005
Jian Yang, Insik Min and Qi Li
University of Colorado at Denver - Business School, Texas A&M University and Texas A&M University - Department of Economics
Downloads 287 (84,064)
Citation 18

Abstract:

market integration, European stock markets, EMU, generalized impulse response

15.

Conditional Co-Skewness in Stock and Bond Markets: Time Series Evidence

Management Science, Forthcoming
Number of pages: 39 Posted: 21 May 2008 Last Revised: 13 Apr 2011
Jian Yang, Yinggang Zhou and Zijun Wang
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and Texas A&M University
Downloads 265 (81,191)
Citation 3

Abstract:

regime-switching, conditional co-skewness, intertemporal asset pricing, stock and bond co-movements

16.

Currency Convertibility and Linkage Between Chinese Official and Swap Market Exchange Rates

Number of pages: 30 Posted: 08 Oct 2002
Jian Yang and David J. Leatham
University of Colorado at Denver - Business School and Texas A&M University - Department of Agricultural Economics
Downloads 239 (102,449)
Citation 1

Abstract:

Currency convertibility, China foreign exchange market, Cointegration, Information Asymmetry

17.

Credit Risk Spillovers among Financial Institutions around the Global Credit Crisis: Firm-Level Evidence

Management Science, Forthcoming
Number of pages: 52 Posted: 12 Oct 2010 Last Revised: 25 Dec 2012
Jian Yang and Yinggang Zhou
University of Colorado at Denver - Business School and Xiamen University - Department of Finance
Downloads 229 (90,221)
Citation 2

Abstract:

18.

Interest Rate Linkages in the Eurocurrency Market: Contemporaneous and Out-of-Sample Granger Causality Tests

Journal of International Money and Finance, Forthcoming
Number of pages: 36 Posted: 26 Apr 2005
Zijun Wang, Jian Yang and Qi Li
Texas A&M University, University of Colorado at Denver - Business School and Texas A&M University - Department of Economics
Downloads 219 (106,962)
Citation 4

Abstract:

interest rate linkages, Granger causality, forecasting evaluation, contemporaneous correlation, directed acyclic graphs

19.

Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?

Number of pages: 30 Posted: 02 Apr 2008
Juan Cabrera, Tao Wang and Jian Yang
City University of New York (CUNY) - Department of Economics, City University of New York (CUNY) - Department of Economics and University of Colorado at Denver - Business School
Downloads 203 (108,396)
Citation 1

Abstract:

price discovery, electronic trading, foreign exchange markets, spot and futures, E-mini

20.

Nonlinearity and Intraday Efficiency Tests on Energy Futures Markets

Number of pages: 30 Posted: 05 Aug 2009
Tao Wang and Jian Yang
City University of New York (CUNY) - Department of Economics and University of Colorado at Denver - Business School
Downloads 198 (114,252)

Abstract:

energy futures, intraday, nonlinear models, martingale, technical trading rule

Extreme Correlation of Stock and Bond Futures Markets: International Evidence

Working paper, July 2011
Number of pages: 45 Posted: 02 Sep 2011 Last Revised: 26 Sep 2011
Chin Man Chui and Jian Yang
Xiamen University - Institute for Financial and Accounting Studies and University of Colorado at Denver - Business School
Downloads 189 (131,333)
Citation 1

Abstract:

stock-bond extreme correlation, futures, copula, macroeconomic news, stock market uncertainty

Extreme Correlation of Stock and Bond Futures Markets: International Evidence

Financial Review, Vol. 47, Issue 3, pp. 565-587, 2012
Number of pages: 23 Posted: 07 Jul 2012
Chin Man Chui and Jian Yang
Xiamen University - Institute for Financial and Accounting Studies and University of Colorado at Denver - Business School
Downloads 2 (557,809)
Citation 1

Abstract:

stock–bond extreme correlation, futures, copula, macroeconomic news, stock market uncertainty

22.

Central Bank Communications and Equity ETFs

Journal of Futures Markets, Forthcoming
Number of pages: 46 Posted: 16 Jul 2006
Tao Wang, Jian Yang and Jingtao Wu
City University of New York (CUNY) - Department of Economics, University of Colorado at Denver - Business School and Iowa State University
Downloads 174 (137,622)
Citation 4

Abstract:

monetary policy, two-factor model, asymmetry, ETF

23.

The Differential Impact of the Bank-Firm Relationship on IPO Underpricing: Evidence from China

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 55 Posted: 26 Jan 2013 Last Revised: 27 Sep 2014
Xiangchao Hao, Jing Shi and Jian Yang
Institute of Finance, School of Economics, Nankai University, RMIT University - School of Economics, Finance and Marketing and University of Colorado at Denver - Business School
Downloads 170 (130,795)

Abstract:

bank-firm relationship, bank’s credit quality, political connections, initial public offerings, commercial banks

24.

Fiscal Policy and Asset Markets: A Semiparametric Analysis

Journal of Econometrics, Forthcoming
Number of pages: 26 Posted: 27 Nov 2007
Texas A&M University - Department of Economics, Texas A&M University - Department of Economics, Texas A&M University and University of Colorado at Denver - Business School
Downloads 164 (143,315)
Citation 4

Abstract:

fiscal deficits, monetary policy, stock market, semiparametric estimation

25.

Time-Varying Risk-Return Tradeoff in the Stock Market

Forthcoming at JMCB
Number of pages: 45 Posted: 08 Aug 2006 Last Revised: 29 Oct 2012
Hui Guo, Zijun Wang and Jian Yang
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University and University of Colorado at Denver - Business School
Downloads 164 (144,069)
Citation 3

Abstract:

Habit Formation, Time-Varying Risk Aversion, Countercyclical Sharpe Ratio, Limited Stock Market Participation, Illiquidity Premium, ICAPM, Conditional CAPM, Nonparametric and Semiparametric Models

26.

US Monetary Policy Surprises and Currency Futures Markets: A New Look

Number of pages: 38 Posted: 05 Feb 2008 Last Revised: 09 Apr 2008
City University of New York (CUNY) - Department of Economics, University of Colorado at Denver - Business School and The John B. and Lillian E. Neff Department of Finance, University of Toledo
Downloads 161 (150,269)
Citation 6

Abstract:

monetary policy, FOMC statements, asymmetry, currency futures

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 48 Posted: 01 Aug 2010
Jian Yang, Yinggang Zhou and Wai Kin Leung
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and The Chinese University of Hong Kong (CUHK) - School of Hotel and Tourism Management
Downloads 150 (161,669)
Citation 5

Abstract:

CMBS, REITs, Dynamic Conditional Correlation, Macroeconomic Variables

Asymmetric Correlation and Volatility Dynamics Among Stock, Bond, and Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012
Posted: 29 Aug 2012
Jian Yang, Yinggang Zhou and Wai Kin Leung
University of Colorado at Denver - Business School, Xiamen University - Department of Finance and The Chinese University of Hong Kong (CUHK) - School of Hotel and Tourism Management

Abstract:

CMBS, REITs, Dynamic conditional correlation, Macroeconomic variables

28.

Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 51 Posted: 24 Oct 2006
University of Cincinnati - Department of Finance - Real Estate, Texas A&M University, George Washington University - School of Business - Department of Finance and University of Colorado at Denver - Business School
Downloads 125 (185,813)
Citation 18

Abstract:

ICAPM, value premium, stock return predictability, realized variance, and GARCH

29.

International Transmission of Inflation Among G-7 Countries: A Data-Determined VAR Analysis

Journal of Banking and Finance, Forthcoming
Number of pages: 37 Posted: 29 Jul 2005
Jian Yang, Hui Guo and Zijun Wang
University of Colorado at Denver - Business School, University of Cincinnati - Department of Finance - Real Estate and Texas A&M University
Downloads 105 (207,099)
Citation 4

Abstract:

Inflation transmission, directed acyclic graphs, forecast error variance decomposition, recursive estimation, impulse responses

30.

Do Euro Exchange Rates Follow a Martingale? Some Out-of-Sample Evidence

Journal of Banking and Finance, 2008
Number of pages: 41 Posted: 20 Aug 2007 Last Revised: 19 Oct 2011
Jian Yang, Xiaojing Su and James W. Kolari
University of Colorado at Denver - Business School, affiliation not provided to SSRN and Texas A&M University, Department of Finance
Downloads 88 (224,700)
Citation 2

Abstract:

Euro exchange rates, martingale, nonlinear models, technical trading rule, forecasting evaluation

U.S. Monetary Policy Surprises and International Securitized Real Estate Markets

Journal of Real Estate Finance and Economics, Forthcoming
Number of pages: 46 Posted: 18 Oct 2009
Tracy Xu and Jian Yang
University of Denver and University of Colorado at Denver - Business School
Downloads 58 (306,842)

Abstract:

monetary policy, FOMC statements, asymmetry, securitized real estate markets, two-factor empirical specification

U.S. Monetary Policy Surprises and Mortgage Rates

46th Annual AREUEA Conference Paper
Number of pages: 61 Posted: 01 Dec 2010 Last Revised: 15 Apr 2011
Tracy Xu, Yufeng Han and Jian Yang
University of Denver, University of North Carolina (UNC) at Charlotte - Finance and University of Colorado at Denver - Business School
Downloads 54 (317,981)

Abstract:

33.

Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs

Journal of Regional Science, Vol. 43, pp. 1-33, 2003
Number of pages: 33 Posted: 12 Apr 2003
Texas A&M University, College Station - Department of Agricultural Economics, University of Colorado at Denver - Business School and USDA Forest Service
Downloads 28 (401,654)
Citation 2

Abstract:

34.

Futures Trading Activity and Commodity Cash Price Volatility

Journal of Business Finance & Accounting, Vol. 32, No. 1-2, pp. 297-323, January 2005
Number of pages: 27 Posted: 06 Feb 2005
University of Colorado at Denver - Business School, Xavier University - Department of Finance and Texas A&M University - Department of Agricultural Economics
Downloads 25 (415,666)
Citation 8

Abstract:

35.

Information Flow between Forward and Spot Markets: Evidence from the Chinese Renminbi

Journal of Futures Markets, Forthcoming
Number of pages: 46 Posted: 24 Aug 2015
Jiadong Tong, Zijun Wang and Jian Yang
Independent, Texas A&M University and University of Colorado at Denver - Business School
Downloads 14 (288,069)

Abstract:

exchange rates, forward market, term structure, cointegration, structural breaks

Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach

The Financial Review, Forthcoming
Number of pages: 35 Posted: 22 Jun 2009
Xiaojing Su, Wang Tao and Jian Yang
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Colorado at Denver - Business School
Downloads 2 (557,809)

Abstract:

international stock markets, model selection, economic criteria, nonparametric models, forecasting

Out-of-Sample Predictability in International Equity Markets: A Model Selection Approach

Financial Review, Vol. 44, Issue 4, pp. 559-582, November 2009
Number of pages: 24 Posted: 14 Oct 2009
Xiaojing Su, Tao Wang and Jian Yang
affiliation not provided to SSRN, City University of New York (CUNY) - Department of Economics and University of Colorado at Denver - Business School
Downloads 2 (557,809)

Abstract:

Price Jump Risk in the US Housing Market

Journal of Real Estate Finance and Economics, 2015 Forthcoming
Posted: 24 Aug 2015
Robert I. Webb, Jian Yang and Jin Zhang
University of Virginia - McIntire School of Commerce, University of Colorado at Denver - Business School and Independent

Abstract:

Housing price index, Jump intensity, Economic fundamentals

Price Jump Risk in the US Housing Market

Journal of Real Estate Finance and Economics, Vol. 53, No. 1, 2016
Posted: 14 May 2016
Robert I. Webb and Jian Yang
University of Virginia - McIntire School of Commerce and University of Colorado at Denver - Business School

Abstract:

Housing price index; Jump intensity; Economic fundamentals

38.

U.S. Monetary Policy Surprises and Mortgage Rates

Real Estate Economics, Vol. 40, Issue 3, pp. 461-507, 2012
Number of pages: 47 Posted: 25 Aug 2012
Pisun Xu, Yufeng Han and Jian Yang
affiliation not provided to SSRN, University of North Carolina (UNC) at Charlotte - Finance and University of Colorado at Denver - Business School
Downloads 0 (553,449)

Abstract:

39.

U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look

The Financial Review, Vol. 43, No. 4, November 2008
Posted: 18 Sep 2008
City University of New York (CUNY) - Department of Economics, University of Colorado at Denver - Business School and The John B. and Lillian E. Neff Department of Finance, University of Toledo

Abstract:

monetary policy, FOMC statements, asymmetry, currency futures