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Shu Yan

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This is information that was supplied by Shu Yan in registering through RePEc. If you are Shu Yan , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Shu
Middle Name:
Last Name: Yan
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RePEc Short-ID: pya169

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Affiliation

Darla Moore School of Business
University of South Carolina
Location: Columbia, South Carolina (United States)
Homepage: http://mooreschool.sc.edu/
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Postal: Columbia, South Carolina 29208
Handle: RePEc:edi:dmbscus (more details at EDIRC)

Works

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Working papers

  1. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "Bank regulation and stability: An examination of the Basel market risk framework," Discussion Papers 09/2012, Deutsche Bundesbank, Research Centre.
  2. Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc.
  3. Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
  4. Aliber, Robert Z. & Chowdhry, Bhagwan & Yan, Shu, 2000. "Transactions Costs in the Foreign Exchange Market," University of California at Los Angeles, Anderson Graduate School of Management qt4qw3p6rp, Anderson Graduate School of Management, UCLA.
  5. Torous, Walter & Yan, Shu, 2000. "Predictive Regressions Revisited," University of California at Los Angeles, Anderson Graduate School of Management qt7w92x2ch, Anderson Graduate School of Management, UCLA.

Articles

  1. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2013. "A comparison of the original and revised Basel market risk frameworks for regulating bank capital," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 249-268.
  2. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  3. Yan, Shu, 2011. "Jump risk, stock returns, and slope of implied volatility smile," Journal of Financial Economics, Elsevier, vol. 99(1), pages 216-233, January.
  4. Pedro Santa-Clara & Shu Yan, 2010. "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 435-451, May.
  5. Gordon J. Alexander & Alexandre M. Baptista & Shu Yan, 2009. "Reducing estimation risk in optimal portfolio selection when short sales are allowed," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 30(5), pages 281-305.
  6. Jiang, George & Yan, Shu, 2009. "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 473-485, March.
  7. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2007. "Mean-variance portfolio selection with `at-risk' constraints and discrete distributions," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3761-3781, December.
  8. Walter Torous & Rossen Valkanov & Shu Yan, 2004. "On Predicting Stock Returns with Nearly Integrated Explanatory Variables," The Journal of Business, University of Chicago Press, vol. 77(4), pages 937-966, October.
  9. Robert Z. Aliber & Bhagwan Chowdhry & Shu Yan, 2003. "Some Evidence that a Tobin Tax on Foreign Exchange Transactions May Increase Volatility," Review of Finance, Springer, vol. 7(3), pages 481-510.
  10. Richard Roll & Shu Yan, 2000. "An explanation of the forward premium 'puzzle'," European Financial Management, European Financial Management Association, vol. 6(2), pages 121-148.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2012-05-22. Author is listed
  2. NEP-CBA: Central Banking (1) 2012-05-22. Author is listed
  3. NEP-CFN: Corporate Finance (1) 2004-11-22. Author is listed
  4. NEP-FIN: Finance (1) 2004-12-02. Author is listed
  5. NEP-RMG: Risk Management (1) 2012-05-22. Author is listed

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