Carl H. Lindner College of BusinessCarl H. Lindner College of BusinessUniversity of Cincinnati

Carl H. Lindner College of Business

Yan Yu, PhD

Joseph S. Stern Professor of Business Analytics
Professional Summary
Yan Yu
Yan Yu is the Joseph S. Stern Professor of Business Analytics at 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 the American Statistical Association. Dr. Yu has received various academic awards. She is a frequent speaker at academic institutions and professional conferences. She has served as an Associate Editor for Journal of the 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. She currently serves as chair of the Lindner College of Business Research Excellence Committee and serves on the UC Research Advisory Board.
Contact Information
E-mail:
Office:
527 Carl H. Lindner Hall
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
History

Institution:
University of Cincinnati
Title:
Joseph S. Stern Professor of Business Analytics


Institution:
Operations and Business Analytics, University of Cincinnati
Title:
Professor


Institution:
Department of Quantitative Analysis and Operations Management, College of Business, Universtiy of Cincinnati
Title:
Associate Professor
End Date:
2011-08-31


Institution:
Yale University
Title:
Visiting Associate Professor
End Date:
2008-03-31


Institution:
Department of Quantitative Analysis and Operations Management, College of Business, Universtiy of Cincinnati
Title:
Assistant Professor
End Date:
2006-08-31


Institution:
Guanghua Graduate School of Management, Peking University, China
Title:
Instructor
End Date:
2002-06-30


Institution:
Operations Research, Math, and Biometrics Unit, Cornell University
Title:
Teaching Assistant
End Date:
2000-05-31


Institution:
Statistics & Data Mining, Math Center, Bell Labs, Lucent Technologies
Title:
Intern
End Date:
1997-09-30


Institution:
Texas A&M University
Title:
Maple Lab Instructor
End Date:
1995-08-31


Awards | Honors

Organization:
College of Business, Universtiy of Cincinnati
Name:
Summer Research Grant
Year Received:
2017


Organization:
University of Cincinnati
Name:
Award for Faculty-to-Faculty Research Mentoring
Year Received:
2017


Organization:
college of Business
Name:
Dean's List of Teaching Excellence
Year Received:
2013


Organization:
University of Cincinnati
Name:
Honorable Mention, Excellence in Mentoring of Doctoral Students
Year Received:
2013


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:
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


Education

Institution:
Cornell University
Major:
Statistics
Completed:
2000
Degree:
Ph D


Institution:
Texas A&M University
Major:
Applied Mathematics
Completed:
1995
Degree:
MS


Institution:
Univ. of Sci. & Tech. of China
Major:
Mathematics, Management Science
Completed:
1993
Degree:
BS


Published Contributions

Hui Guo, Chaojiang Wu, Yan Yu,  (2017). Time-Varying Beta and the Value Premium. Journal of Financial and Quantitative Analysis, 1551-1576.


Yuankun , Heng , Yan Yu,  (2017). Estimation and Variable Selection for Quantile Partially Linear Single-Index Models. Journal of Multivariate Analysis, 215-234.


Matthew Schneider, Sharan Jagpal, Sachin Gupta, Shaobo Li, Yan Yu,  (2017). Protecting Customer Data: Marketing with Second-Party Data. International Journal of Research in Marketing, 593-603.


Yan Yu, Chaojiang Wu, Yuankun Zhang,  (2017). Penalized Spline Estimation for Generalized Partially Linear Single-Index Models. Statistics and Computing, 571-582.


Chaojiang Wu, Feng Mai, Yan Yu,  (2015). Teaching Data Mining to Business Undergraduate Students Using R. Business Education Innovation Journal, 64-73.


Shaonan Tian, Yan Yu, M Zhou,  ,  (2015). Data Sample Selection Issues for Bankruptcy Forecasting. Risk, Hazards & Crisis in Public Policy, 91-116.


Shaonan Tian, Yan Yu, Hui Guo,  ,  (2015). Variable Selection and Corporate Bankruptcy Forecasts. Journal of Banking and Finance, 89-100.


Chaojiang Wu, Yan Yu,  (2014). Partially Linear Modeling of Conditional Quantiles using Penalized Splines. Computational Statistics and Data Analysis, 170-187.


Chris Kelton, Lenisa Chang, Jeff Guo, Yan Yu, Edmund Berry, Boyang Bian, Pamela Heaton,  (2014). Firm- and Drug-Specific Patterns of Generic Drug Payments by US Medicaid Programs: 1991–2008. Applied Health Economics and Health Policy, 165-177.


Adam A. Ding, Shaonan Tian, Yan Yu, Hui Guo,  (2012). A Class of Discrete Transformation Survival Model with Application to Default Probability Prediction . Journal of the American Statistical Association, 990-1003.


Z. Wu, H. Lin, Yan Yu,  (2011). Single Index Coefficient Models for Nonlinear Time Series. Journal of Nonparametric Statistics, 37-58.


Yann Ferrand, Chris Kelton, Jeff Guo, Martin Levy, Yan Yu,  (2011). Using Intervention Analysis to Understand U.S. Medicaid Expenditure on Antidepressant Drugs. Research in Social and Administrative Pharmacy, 64-80.


Yann Ferrand, Chris Kelton, Guo Jianfei, Martin Levy, Yan Yu,  (2011). Using time-series intervention analysis to understand U.S. Medicaid expenditures on antidepressant agents. Research in Social & Administrative Pharmacy, 64-80.


H Wang, H Wang, Min Li,  ,  (2010). On Intraday Shanghai Stock Composite Index. Journal of Data Science, 413-427.


Y Cao, H Lin, Z Wu, Yan Yu,  (2010). Penalized Spline Estimation for Functional Coefficient Regression Models. Computational Statistics and Data Analysis, 941-956.


Z Wu, K Yu, Yan Yu,  (2010). Single-Index Quantile Regression. Journal of Multivariate Analysis, 1607-1621.


Yann Ferrand, Chris Kelton, Jianfei Guo, Martin Levy, Yan Yu,  ,  ,  ,  ,  (2010). Using Intervention Analysis to Understand U.S. Medicaid Expenditure on Antidepressant Drugs. Research in Social and Administrative Pharmacy, .


H  Wang, Yan Yu, M Li,  (2009). Intraday Return Behavior of the Five-Minute Shanghai Stock Exchange Composite Index. Journal of Academy of Business and Economics, .


Yan Yu, K Yu, H Wang, M Li,  (2009). Semiparametric Estimation for a Class of Time-Inhomogeneous Diffusions. Statistica Sinica, 843-867.


H Lin, Z Feng, Yan Yu, Y Zheng, N Shivapurkar, A Gazdar,  (2008). Application of Multidimensional Selective Item Response Regression Model for Studying Multiple Gene Methylation in SV40 Oncogenic Pathways. Journal of American Statistical Association, 201-211.


Zhou Wu, Y. Chu, Yan Yu,  (2007). On Solving Lq-Penalized Regressions. Advances in Decision Sciences, 1-13.


Min Li, Yan Yu,  (2006). A Robust Approach to the Interest Rate Term Structure Estimation. Journal of Data Science, 169-188.


Min Li, Yan Yu,  (2006). Bayesian Adaptive Penalized Splines. Journal of Academy of Business and Economics, 129-141.


Min Li, Yan Yu,  (2005). A Bayesian Regression Spline Approach to Estimation of the Term Structure of Interest Rates. Journal of Academy of Business and Economics, 113-125.


Min Li, Yan Yu,  (2005). Estimating the Term Structure of Treasury and Corporate Debt with Bayesian Penalized Splines. Journal of Data Science, 223-240.


Robert Jarrow, David Ruppert, Yan Yu,  (2004). Estimating the Interest Rate Term Structure of Corporate Debt with a Semiparametric Penalized Spline Model. Journal of American Statistical Association, 57-66.


Yan Yu, David Ruppert,  (2004). Root-n Consistency of Penalized Spline Estimator for Partially Linear Single Index Models under General Euclidean Space. Statistica Sinica, 449-456.


Yan Yu, David Ruppert,  (2002). Penalized Spline Estimation for Partially Linear Single Index Models. Journal of American Statistical Association, 1042-1054.


Yan Yu, Diane Lambert,  (1999). Fitting Trees to Functional Data: With an Application to Time-of-day Patterns. Journal of Computational and Graphical Statistics, 749-762.



Accepted Contributions

Shaonan , Yan Yu,  (Accepted). Forecasting Corporate Bankruptcy: An International Evidence. International Review of Economics and Finance.


Matthew Schneider, Sharan Jagpal, Sachin Gupta, Shaobo Li, Yan Yu,  (Accepted). A Flexible Method for Protecting Marketing Data: An Application to Point-of-Sale Data. Marketing Science.




Research in progress

Title:
Partial association between ordinal variables


Status:
Writing Results

Research Type:
Scholarly


Presentations

Title:
Additive Logistic Model with Macroeconomic Covariates for Corporate Bankruptcy Prediction
Organization:
ASA
Location:
Baltimore, Maryland
Year:
2017


Title:
Time-Varying Beta and the Value Premium: Evidence From the Single- Index Varying Coefficient Model
Organization:
DSI
Location:
San Francisco
Year:
2012


Title:
Time-Varying Beta and the Value Premium: Evidence From the Single- Index Varying Coefficient Model
Organization:
INFORMS
Location:
Phoenix, AZ
Year:
2012


Title:
Time-Varying Beta and the Value Premium: Evidence from the Varying-Coefficient Single-Index Model
Organization:
ASA
Location:
San Diego, CA
Year:
2012


Title:
Firm- and Drug-Specific Patterns of Generic Drug Prices Experienced by United States Medicaid Programs: 1991-2008
Organization:
International Society for Pharmacoeconomics and Outcomes Research
Location:
Washington, D.C.
Year:
2012


Title:
Firm- and Drug-Specific Patterns of Generic Drug Prices Experienced by United States Medicaid Programs: 1991-2008
Organization:
Ohio Pharmacists Association
Location:
Columbus, Ohio
Year:
2012


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


Organization:
1st International Finance Conference, Tsinghua University
Year:
2002