Yan Yu
ProfessorProfessional Summary
Yan Yu is currently a tenured full Professor of Business Analytics in the Carl H. Lindner College of Business, at the University of Cincinnati. She earned her Ph.D. in Statistics from Cornell University, with a minor in Finance. She holds an M.S. in applied mathematics from Texas A&M University and a B.S. from the University of Science and Technology of China. She has consulted for Bell Labs, Lucent Technologies; Credit Suisse First Boston; Fifth Third Bank; GE; Duke Energy; Integra Analytics; Constellation Power; and NIH.
Her research interests are statistical finance (bankruptcy forecasting, credit risk, diffusion models), nonparametric estimation, and data mining. Her recent publications appear in the premier journals such as Journal of American Statistical Association. Dr. Yu has received various academic awards. She is a frequent speaker at academic institutions and professional conferences. She also serves as an Associate Editor for Journal of American Statistical Association and Statistica Sinica, the leading journals in Statistics. At the University of Cincinnati, she was named the college research fellow and she was the 2010 recipient of the Westerbeck Faculty Graduate Teaching Award.
Contact Information
Phone:
513-556-7147
Fax:
513-556-5499
Teaching Interest
- Statistics; Data Mining; Financial Engineering
Research Interest
- • Nonparametric Estimation: Penalized Splines for Regression, Time Series, Quantiles; Single Index models; Dimension Reduction
- • Statistical Finance: Interest Rate Term Structure Estimation; Bayesian Analysis on Finance Application; Time-Inhomogeneous Diffusion Models
- • Data Mining: Tree; Regularized Solution Paths
Organization:
Operations and Business Analytics, University of Cincinnati
Title:
Professor
Organization:
Department of Quantitative Analysis and Operations Management, College of Business, Universtiy of Cincinnati
Title:
Associate Professor
End Date:
2011-08-31
Organization:
Yale University
Title:
Visiting Associate Professor
End Date:
2008-03-31
Organization:
Department of Quantitative Analysis and Operations Management, College of Business, Universtiy of Cincinnati
Title:
Assistant Professor
End Date:
2006-08-31
Organization:
Guanghua Graduate School of Management, Peking University, China
Title:
Instructor
End Date:
2002-06-30
Organization:
Operations Research, Math, and Biometrics Unit, Cornell University
Title:
Teaching Assistant
End Date:
2000-05-31
Organization:
Statistics & Data Mining, Math Center, Bell Labs, Lucent Technologies
Title:
Intern
End Date:
1997-09-30
Organization:
Texas A&M University
Title:
Maple Lab Instructor
End Date:
1995-08-31
Organization:
UC College of Business
Name:
Daniel J. Westerbeck Junior Faculty Graduate Teaching Award Nomination
Year Received:
2010
Organization:
Accounting, Department of Education
Name:
Title VI Research Grant
Year Received:
2009
Organization:
NSF
Name:
NSF Travel Grant
Year Received:
2004
Organization:
UC College of Business
Name:
Research Fellow
Year Received:
2004
Organization:
College of Business, Universtiy of Cincinnati
Name:
Summer Research Grant
Year Received:
2003
Organization:
Statistical Computing Section, American Statistical Association
Name:
Best Student Paper
Year Received:
1998
Organization:
Cornell University
Name:
Graduate School Fellowship
Year Received:
1996
Organization:
Institute of Scientific Computation, Texas A&M
Name:
Grant Recipient
Year Received:
1993
Organization:
Cornell University
Major:
Statistics
Completed:
2000
Degree:
Ph D
Organization:
Texas A&M University
Major:
Applied Mathematics
Completed:
1995
Degree:
MS
Organization:
Univ. of Sci. & Tech. of China
Major:
Mathematics, Management Science
Completed:
1993
Degree:
BS
Published Contributions
Title:
Single Index Coefficient Models for Nonlinear Time Series
Author(s):
Wu, Z.
Lin, H.
Yu, Yan
Lin, H.
Yu, Yan
Year Published:
2011
Publisher:
Journal of Nonparametric Statistics
Publicly available:
Yes
Title:
Using Intervention Analysis to Understand U.S. Medicaid Expenditure on Antidepressant Drugs
Author(s):
Ferrand, Yann
Kelton, Chris
Guo, Jeff
Levy, Martin
Yu, Yan
Kelton, Chris
Guo, Jeff
Levy, Martin
Yu, Yan
Year Published:
2011
Publisher:
Research in Social and Administrative Pharmacy
Publicly available:
Yes
Title:
Using time-series intervention analysis to understand U.S. Medicaid expenditures on antidepressant agents
Page(s):
64-80
Author(s):
Ferrand, Yann
Kelton, Chris
Jianfei, Guo
Levy, Martin
Yu, Yan
Kelton, Chris
Jianfei, Guo
Levy, Martin
Yu, Yan
Year Published:
2011
Publisher:
Research in Social & Administrative Pharmacy
Publicly available:
Yes
Title:
On Intraday Shanghai Stock Composite Index
Page(s):
413-427
Author(s):
Wang, H
Yu, Yan
Li, Min
,
Yu, Yan
Li, Min
,
Year Published:
2010
Publisher:
Journal of Data Science
Title:
Single-Index Quantile Regression
Page(s):
1607-1621
Author(s):
Wu, Z
Yu, K
Yu, Yan
Yu, K
Yu, Yan
Year Published:
2010
Publisher:
Journal of Multivariate Statistics
Title:
Penalized Spline Estimation for Functional Coefficient Regression Models
Page(s):
891-905
Author(s):
Cao, Y
Lin, H
Wu, Z
Yu, Yan
Lin, H
Wu, Z
Yu, Yan
Year Published:
2010
Publisher:
Computational Statistics and Data Analysis
Title:
Using Intervention Analysis to Understand U.S. Medicaid Expenditure on Antidepressant Drugs
Author(s):
Ferrand, Yann
Kelton, Chris
Guo, Jianfei
Levy, Martin
Yu, Yan
,
,
,
,
Kelton, Chris
Guo, Jianfei
Levy, Martin
Yu, Yan
,
,
,
,
Year Published:
2010
Publisher:
Research in Social and Administrative Pharmacy
Title:
Intraday Return Behavior of the Five-Minute Shanghai Stock Exchange Composite Index
Author(s):
Wang, H
Yu, Yan
Li, M
Yu, Yan
Li, M
Year Published:
2009
Publisher:
Journal of Academy of Business and Economics
Title:
Semiparametric Estimation for a Class of Time-Inhomogeneous Diffusions
Page(s):
843-867
Author(s):
Yu, Yan
Yu, K
Wang, H
Li, M
Yu, K
Wang, H
Li, M
Year Published:
2009
Publisher:
Statistica Sinica
Title:
Application of Multidimensional Selective Item Response Regression Model for Studying Multiple Gene Methylation in SV40 Oncogenic Pathways
Page(s):
201-211
Author(s):
Lin, H
Feng, Z
Yu, Yan
Zheng, Y
Shivapurkar, N
Gazdar, A
Feng, Z
Yu, Yan
Zheng, Y
Shivapurkar, N
Gazdar, A
Year Published:
2008
Publisher:
Journal of American Statistical Association
Title:
On Solving Lq-Penalized Regressions
Page(s):
1-13
Author(s):
Wu, Zhou
Chu, Y.
Yu, Yan
Chu, Y.
Yu, Yan
Year Published:
2007
Publisher:
Journal of Applied Mathematics and Decision Sciences
Title:
A Robust Approach to the Interest Rate Term Structure Estimation
Page(s):
169-188
Author(s):
Li, Min
Yu, Yan
Yu, Yan
Year Published:
2006
Publisher:
Journal of Data Science
Title:
Bayesian Adaptive Penalized Splines
Page(s):
129-141
Author(s):
Li, Min
Yu, Yan
Yu, Yan
Year Published:
2006
Publisher:
Journal of Academy of Business and Economics
Title:
A Bayesian Regression Spline Approach to Estimation of the Term Structure of Interest Rates
Page(s):
113-125
Author(s):
Li, Min
Yu, Yan
Yu, Yan
Year Published:
2005
Publisher:
Journal of Academy of Business and Economics
Title:
Estimating the Term Structure of Treasury and Corporate Debt with Bayesian Penalized Splines
Page(s):
223-240
Author(s):
Li, Min
Yu, Yan
Yu, Yan
Year Published:
2005
Publisher:
Journal of Data Science
Title:
Estimating the Interest Rate Term Structure of Corporate Debt with a Semiparametric Penalized Spline Model
Page(s):
57-66
Author(s):
Jarrow, Robert
Ruppert, David
Yu, Yan
Ruppert, David
Yu, Yan
Year Published:
2004
Publisher:
Journal of American Statistical Association
Title:
Root-n Consistency of Penalized Spline Estimator for Partially Linear Single Index Models under General Euclidean Space
Page(s):
449-456
Author(s):
Yu, Yan
Ruppert, David
Ruppert, David
Year Published:
2004
Publisher:
Statistica Sinica
Title:
Penalized Spline Estimation for Partially Linear Single Index Models
Page(s):
1042-1054
Author(s):
Yu, Yan
Ruppert, David
Ruppert, David
Year Published:
2002
Publisher:
Journal of American Statistical Association
Title:
Fitting Trees to Functional Data: With an Application to Time-of-day Patterns
Page(s):
749-762
Author(s):
Yu, Yan
Lambert, Diane
Lambert, Diane
Year Published:
1999
Publisher:
Journal of Computational and Graphical Statistics
Research in progress
Title:
Can a Flexible Conditional CAPM Explain Asset Pricing Anomalies?
Description:
CAPM model is the backbone of asset pricing theory in Finance. However, evidences show the unconditional CAPM may not explain the asset pricing anomalies such as the well-known value premium, momentum premium, etc. We propose a flexible conditional version of CAPM and conduct statistical test to infer the validity of the model. We also employ variable selection procedure in selecting the significant state variables in explaining Beta.
Status:
On-Going
Research Type:
Scholarly
Title:
Partially Linear Single-Index Conditional Quantile
Description:
We consider the estimation problem of conditional quantiles when many covariates are involved. To overcome the "curse of dimensionality'', we propose to model the conditional quantiles with partially linear single-index model. The unknown link function is estimated by penalized splines. An iteratively reweighted least square algorithm is developed. Two smoothing parameter selection criteria, namely Generalized Approximate Cross-validation (GACV) and Schwartz-type Information Criterion (SIC) are studied. Some asymptotic properties are established. Finite sample properties are studied by simulation studies. A real data application demonstrates the success of proposed approach.
Status:
Writing Results
Research Type:
Scholarly
Title:
The Effect of Generic Drug Entry on U.S. Medicaid Expenditures: 1991-2008
Status:
On-Going
Research Type:
Scholarly
Title:
A Class of Discrete Transformation Survival Model with Application to Default Probability Prediction
Organization:
DSI
Location:
Boston, MA
Year:
2011
Title:
Partially Linear Modeling for Conditional Quantiles
Organization:
DSI
Location:
Boston, MA
Year:
2011
Title:
A Class of Discrete Transformation Survival Model with Application to Default Probability Prediction
Organization:
INFORMS
Location:
Challotte, NC
Year:
2011
Title:
Partially Linear Modeling for Conditional Quantiles
Organization:
INFORMS
Location:
Charlotte, NC
Year:
2011
Title:
Dynamic Variable Selection for Corporate Bankruptcy Prediction
Organization:
ASA
Location:
Miami Beach, FL
Year:
2011
Title:
Partially Linear Modeling for Conditional Quantiles
Organization:
ASA
Location:
Miami Beach, FL
Year:
2011
Title:
A Class of Discrete Transformation Survival Model with Application to Default Probability Prediction
Organization:
Xiamen University
Location:
Xiamen, China
Year:
2011
Title:
Forecasting Corporate Bankruptcy: An International Evidence
Location:
Vancouver, Canada
Year:
2010
Title:
Single-Index Quantile Regression
Location:
Washington D.C.
Year:
2009
Title:
Data Sample Selection Issues for Bankruptcy Forecasting
Organization:
SWUFE, Harvard
Location:
Chengdu, China
Year:
2009
Title:
On Single-Index Models
Organization:
SWUFE, Harvard
Location:
Chengdu, China
Year:
2009
Title:
Single-Index Quantile Regression
Organization:
Hongkong Baptist University
Year:
2009
Title:
Financial Engineering
Organization:
University of Science and Technology
Location:
Hefei, Anhui, China
Year:
2009
Title:
On Single-Index Models
Location:
New Haven, CT
Year:
2008
Title:
Semiparametric Estimation for Time-Inhomogeneous Diffusions
Organization:
Peking University
Location:
Beijing, China
Year:
2007
Title:
Semiparametric Estimation for Time-Inhomogeneous Diffusions
Organization:
Tsinghua University
Year:
2007
Title:
On Single-Index Models
Location:
Salt Lake City, UT
Year:
2007
Title:
Semiparametric Estimation for Time-Inhomogeneous Diffusions
Location:
Raleigh, NC
Year:
2007
Title:
“Forecasting U.S. Medicaid program expenditure on antidepressant drugs”,
Organization:
ISPOR
Location:
Arlington, VA
Year:
2007
Title:
Local Linear Estimation for Single-index Conditional Quantiles
Organization:
ASA
Location:
Seattle
Year:
2006
Title:
Penalized Splines and Financial Market Data
Organization:
Fox School of Business, Temple University
Location:
Philadelphia
Year:
2006
Title:
Penalized Spline Estimation for Generalized Partially Linear Single-Index Models
Location:
Minneapolis, MN
Year:
2005
Title:
Estimating the Interest Rate Term Structure of Corporate Debt with a Semiparametric Penalized Spline Model
Organization:
University of Michigan
Location:
Ann Arbor, MI
Year:
2005
Title:
Estimating the Interest Rate Term Structure of Corporate Debt with a Semiparametric Penalized Spline Model
Organization:
University of Minnesota
Location:
Minneapolis
Year:
2004
Organization:
University of Florida
Year:
2004
