Cindy Yu

Iowa State University

613 Wallace Road

Ames, IA 50011

United States

  • Iowa State University

SCHOLARLY PAPERS

6

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1,834

SSRN CITATIONS

5

CROSSREF CITATIONS

9

Scholarly Papers (6)

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1.

Fundamental Anomalies

Number of pages: 122 Posted: 24 Feb 2021 Last Revised: 10 May 2023
Erica X. N. Li, Guoliang Ma, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Iowa State University, Tongji University and Iowa State University
Downloads 551 (98,155)

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q-theory, Bayesian MCMC estimation, Anomalies, Investment, Profitability

2.

No-Arbitrage Taylor Rules with Switching Regimes

Downloads 439 (129,025)
Citation 6

No-Arbitrage Taylor Rules with Switching Regimes

Number of pages: 39 Posted: 12 Jan 2011 Last Revised: 17 Sep 2012
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityU) - Department of Economics & Finance and Iowa State University
Downloads 357 (161,793)
Citation 2

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Taylor rule, Term structure, Regime-switching, MCMC

No-Arbitrage Taylor Rules with Switching Regimes

Management Science, vol 59, pp 2278-2294.
Number of pages: 39 Posted: 13 Nov 2012 Last Revised: 12 Feb 2014
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityU) - Department of Economics & Finance and Iowa State University
Downloads 82 (584,113)

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Taylor rule, term structure, regime-switching, MCMC

3.

Optimal Monetary Policy and Term Structure in a Continuous-Time DSGE Model

Number of pages: 49 Posted: 29 Nov 2016 Last Revised: 17 Feb 2019
Haitao Li, Tao Li and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, City University of Hong Kong (CityU) - Department of Economics & Finance and Iowa State University
Downloads 395 (145,769)

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Optimal monetary policy, Taylor rule, Term structure of interest rates, New Keynesian, Macroeconomic stability

4.

Macroeconomic Risks and Asset Pricing: Evidence from a Dynamic Stochastic General Equilibrium Model

Number of pages: 47 Posted: 08 Jun 2017 Last Revised: 26 Jan 2018
Erica X. N. Li, Haitao Li, Shujing Wang and Cindy Yu
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 288 (204,887)
Citation 2

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DSGE model, Bayesian MCMC estimation, stock returns, neutral technology shock, investment-specific technology shock, monetary policy shock, risk shock

5.

Inverse Leverage Effect for Cryptocurrencies and Meme Stocks: A Comprehensive Framework

Number of pages: 99 Posted: 13 Dec 2022
Lendie Follett, Steven Kou, Matthew Stuart and Cindy Yu
Drake University, Boston University, Loyola University, Chicago and Iowa State University
Downloads 161 (353,720)

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Cryptocurrencies, Jump diffusion models, Bayesian analysis, Asymmetric Laplace distribution

6.

A Bayesian Analysis of Return Dynamics with Lévy Jumps

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2345-2378, 2008
Posted: 19 Sep 2008
Haitao Li, Martin T. Wells and Cindy Yu
University of Michigan - Stephen M. Ross School of Business, Cornell University - Law School and Iowa State University

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G12, C11, C15, C32