Details about Yong Bao

Access statistics for papers by Yong Bao.

Last updated 2009-11-15. Update your information in the RePEc Author Service.

Short-id: pba507

Working Papers

2009

1. Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications
   Working Papers, University of California at Riverside, Department of Economics

Journal Articles

2009

1. Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution
   Journal of Financial Econometrics, 2009, 7, (2), 152-173
2. FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION
   Econometric Theory, 2009, 25, (01), 291-297
3. On skewness and kurtosis of econometric estimators
   Econometrics Journal, 2009, 12, (2), 232-247
4. Testing Convergence in Income Distribution
   Oxford Bulletin of Economics and Statistics, 2009, 71, (2), 295-302

2007

5. Comparing density forecast models

   Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003; see Bao et al. (2004).

   
   Journal of Forecasting, 2007, 26, (3), 203-225
6. FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
   Econometric Theory, 2007, 23, (04), 767-773
7. Finite sample properties of maximum likelihood estimator in spatial models
   Journal of Econometrics, 2007, 137, (2), 396-413 View citations
8. THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
   Econometric Theory, 2007, 23, (05), 1013-1021
9. The second-order bias and mean squared error of estimators in time-series models
   Journal of Econometrics, 2007, 140, (2), 650-669

2006

10. Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
    Journal of Forecasting, 2006, 25, (2), 101-128 View citations
11. Moments of the estimated Sharpe ratio when the observations are not IID
    Finance Research Letters, 2006, 3, (1), 49-56

2004

12. Bias of a Value-at-Risk estimator
    Finance Research Letters, 2004, 1, (4), 241-249
13. Reexamination of Economic Growth, Tax Policy, and Distributive Politics
    Review of Development Economics, 2004, 8, (3), 474-482 View citations