Cindy Yu

Iowa State University

613 Wallace Road

Ames, IA 50011

United States

SCHOLARLY PAPERS

7

DOWNLOADS

1,195

SSRN CITATIONS
Rank 41,987

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Top 41,987

in Total Papers Citations

6

CROSSREF CITATIONS

11

Scholarly Papers (7)

1.
Downloads 370 (115,526)
Citation 3

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 312 (138,054)
Citation 1

Abstract:

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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 58 (506,006)

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Taylor rule, term structure, regime-switching, MCMC

2.

Fundamental Anomalies

Number of pages: 123 Posted: 24 Feb 2021 Last Revised: 11 Jul 2022
Cheung Kong Graduate School of Business, Iowa State University, Tongji University and Iowa State University
Downloads 299 (145,675)

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

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 285 (152,502)

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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
Cheung Kong Graduate School of Business, Cheung Kong Graduate School of Business, Tongji University and Iowa State University
Downloads 227 (190,681)
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.

MCMC Estimation of Lvy Jump Models Using Stock and Option Prices

Mathematical Finance, Vol. 21, Issue 3, pp. 383-422, 2011
Number of pages: 40 Posted: 20 May 2011
Cindy Yu, Haitao Li and Martin T. Wells
Iowa State University, University of Michigan - Stephen M. Ross School of Business and Cornell University - Law School
Downloads 12 (784,796)
Citation 1

Abstract:

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Levy processes, variance gamma model, Markov Chain Monte Carlo, option pricing

6.

Testing Day's Conjecture that More Nitrogen Decreases Crop Yield Skewness

American Journal of Agricultural Economics, Vol. 94, Issue 1, pp. 225-237, 2012
Number of pages: 13 Posted: 08 Apr 2020
Xiaodong Du, David Hennessy and Cindy Yu
University of Wisconsin-Madison, Iowa State University and Iowa State University
Downloads 2 (896,175)
Citation 4

Abstract:

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crop insurance, Gibbs sampler, Just and Pope technology, negative skewness, quantile regression, rotation effect

7.

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

Abstract:

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G12, C11, C15, C32