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Details about Yong Bao

E-mail:
Homepage:http://web.ics.purdue.edu/~ybao/
Postal address:Department of Economics, Purdue University, 403 West State St, West Lafayette, IN 47907
Workplace:Department of Economics, Krannert School of Management, Purdue University, (more information at EDIRC)

Access statistics for papers by Yong Bao.

Last updated 2018-01-11. Update your information in the RePEc Author Service.

Short-id: pba507


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Working Papers

2014

  1. Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process
    Working Papers, University of California at Riverside, Department of Economics Downloads
  2. Moment Approximation for Unit Root Models with Nonnormal Errors
    Working Papers, University of California at Riverside, Department of Economics Downloads

2013

  1. Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes
    Working Papers, Singapore Management University, School of Economics Downloads View citations (2)

2009

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

Journal Articles

2017

  1. Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
    Econometric Reviews, 2017, 36, (6-9), 1039-1056 Downloads View citations (1)

2016

  1. Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields?
    Journal of Business & Economic Statistics, 2016, 34, (1), 62-67 Downloads

2015

  1. Bias in the estimation of mean reversion in continuous-time Lévy processes
    Economics Letters, 2015, 134, (C), 16-19 Downloads
  2. Should We Demean the Data?
    Annals of Economics and Finance, 2015, 16, (1), 163-171 Downloads View citations (1)

2014

  1. On the Fisher information matrix of a vector ARMA process
    Economics Letters, 2014, 123, (1), 14-16 Downloads View citations (2)

2013

  1. Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model
    Journal of Time Series Econometrics, 2013, 6, (1), 63-80 Downloads
  2. FINITE SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS – ERRATUM
    Econometric Theory, 2013, 29, (1), 89-89 Downloads View citations (15)
  3. FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
    Econometric Theory, 2013, 29, (1), 68-88 Downloads View citations (16)
  4. On Sample Skewness and Kurtosis
    Econometric Reviews, 2013, 32, (4), 415-448 Downloads View citations (6)
  5. On existence of moment of mean reversion estimator in linear diffusion models
    Economics Letters, 2013, 120, (2), 146-148 Downloads View citations (1)
  6. On the moments of ratios of quadratic forms in normal random variables
    Journal of Multivariate Analysis, 2013, 117, (C), 229-245 Downloads

2010

  1. General-interest versus specialty journals: Using intellectual influence of econometrics research to rank economics journals and articles
    Journal of Applied Econometrics, 2010, 25, (2), 345-353 Downloads View citations (7)

2009

  1. Borderplex menu evidence for the law of one price: a convergence approach
    Applied Economics Letters, 2009, 16, (17), 1717-1720 Downloads View citations (1)
  2. Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution
    Journal of Financial Econometrics, 2009, 7, (2), 152-173 Downloads View citations (5)
  3. FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION
    Econometric Theory, 2009, 25, (1), 291-297 Downloads View citations (1)
  4. On skewness and kurtosis of econometric estimators
    Econometrics Journal, 2009, 12, (2), 232-247 Downloads View citations (1)
  5. Testing Convergence in Income Distribution*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (2), 295-302 Downloads View citations (7)

2007

  1. 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 Downloads View citations (20)
  2. FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
    Econometric Theory, 2007, 23, (4), 767-773 Downloads View citations (3)
  3. Finite sample properties of maximum likelihood estimator in spatial models
    Journal of Econometrics, 2007, 137, (2), 396-413 Downloads View citations (29)
  4. THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION
    Econometric Theory, 2007, 23, (5), 1013-1021 Downloads View citations (21)
  5. The second-order bias and mean squared error of estimators in time-series models
    Journal of Econometrics, 2007, 140, (2), 650-669 Downloads View citations (43)

2006

  1. Evaluating predictive performance of value-at-risk models in emerging markets: a reality check
    Journal of Forecasting, 2006, 25, (2), 101-128 Downloads View citations (79)
  2. Moments of the estimated Sharpe ratio when the observations are not IID
    Finance Research Letters, 2006, 3, (1), 49-56 Downloads View citations (2)

2004

  1. Bias of a Value-at-Risk estimator
    Finance Research Letters, 2004, 1, (4), 241-249 Downloads View citations (6)
  2. Reexamination of Economic Growth, Tax Policy, and Distributive Politics
    Review of Development Economics, 2004, 8, (3), 474-482 Downloads View citations (2)

Chapters

2016

  1. A Selective Review of Aman Ullah’s Contributions to Econometrics
    A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 3-43 Downloads
  2. Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models
    A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 207-244 Downloads

2014

  1. Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors
    A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 65-92 Downloads
 
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