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Yong Bao, Ph.D. - Publications

Affiliations: 
2004 University of California, Riverside, Riverside, CA, United States 
Area:
Theory Economics
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24 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2018 Bao Y. A general result on the estimation bias of ARMA models Journal of Statistical Planning and Inference. 197: 107-125. DOI: 10.1016/J.Jspi.2018.01.001  0.436
2017 Bao Y, Ullah A, Wang Y. The Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process Econometric Reviews. 36: 1039-1056. DOI: 10.1080/07474938.2017.1307977  0.436
2016 Bao Y. Finite-sample bias of the conditional Gaussian maximum likelihood estimator in ARMA models Advances in Econometrics. 36: 207-244. DOI: 10.1108/S0731-905320160000036015  0.359
2016 Bao Y. The asymptotic covariance matrix of the QMLE in ARMA models Econometric Reviews. 1-16. DOI: 10.1080/07474938.2016.1140287  0.418
2015 Bao Y, Ullah A, Wang Y, Yu J. Bias in the estimation of mean reversion in continuous-time Lévy processes Economics Letters. 134: 16-19. DOI: 10.1016/J.Econlet.2015.06.002  0.408
2015 Bao Y. Should we demean the data? Annals of Economics and Finance. 16: 163-171.  0.322
2014 Bao Y, Hua Y. On the Fisher Information Matrix of a Vector Arma Process Economics Letters. 123: 14-16. DOI: 10.1016/J.Econlet.2014.01.019  0.331
2013 Bao Y, Zhang R. Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model Journal of Time Series Econometrics. 6: 63-80. DOI: 10.1515/Jtse-2013-0015  0.537
2013 Bao Y. On Sample Skewness and Kurtosis Econometric Reviews. 32: 415-448. DOI: 10.1080/07474938.2012.690665  0.336
2013 Bao Y. Finite-sample bias of the qmle in spatial autoregressive models Econometric Theory. 29: 68-88. DOI: 10.1017/S0266466612000229  0.429
2013 Bao Y, Ullah A, Zinde-Walsh V. On existence of moment of mean reversion estimator in linear diffusion models Economics Letters. 120: 146-148. DOI: 10.1016/J.Econlet.2013.04.024  0.389
2010 Bao Y, Ullah A. Expectation of quadratic forms in normal and nonnormal variables with applications Journal of Statistical Planning and Inference. 140: 1193-1205. DOI: 10.1016/J.Jspi.2009.11.002  0.372
2009 Bao Y, Dhongde S. Testing Convergence in Income Distribution Oxford Bulletin of Economics and Statistics. 71: 295-302. DOI: 10.1111/J.1468-0084.2008.00514.X  0.417
2009 Bao Y, Ullah A. On skewness and kurtosis of econometric estimators Econometrics Journal. 12: 232-247. DOI: 10.1111/J.1368-423X.2009.00289.X  0.44
2009 Bao Y. Estimation risk-adjusted sharpe ratio and fund performance ranking under a general return distribution Journal of Financial Econometrics. 7: 152-173. DOI: 10.1093/Jjfinec/Nbn022  0.409
2009 Bao Y. Finite-sample moments of the coefficient of variation Econometric Theory. 25: 291-297. DOI: 10.1017/S0266466608090555  0.38
2007 Bao Y. The approximate moments of the least squares estimator for the stationary autoregressive model under a general error distribution Econometric Theory. 23: 1013-1021. DOI: 10.1017/S0266466607070405  0.415
2007 Bao Y. Finite-sample properties of forecasts from the stationary first-order autoregressive model under a general error distribution Econometric Theory. 23: 767-773. DOI: 10.1017/S0266466607070338  0.339
2007 Bao Y, Ullah A. The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models Journal of Econometrics. 140: 650-669. DOI: 10.1016/J.Jeconom.2006.07.007  0.442
2007 Bao Y, Ullah A. Finite sample properties of maximum likelihood estimator in spatial models Journal of Econometrics. 137: 396-413. DOI: 10.1016/J.Jeconom.2005.08.006  0.446
2007 Bao Y, Lee T, Saltoğlu B. Comparing Density Forecast Models Journal of Forecasting. 26: 203-225. DOI: 10.1002/For.1023  0.444
2006 Bao Y, Ullah A. Moments of the estimated Sharpe ratio when the observations are not IID Finance Research Letters. 3: 49-56. DOI: 10.1016/J.Frl.2005.11.001  0.398
2006 Bao Y, Lee T, Saltoglu B. Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check Journal of Forecasting. 25: 101-128. DOI: 10.1002/For.977  0.452
2004 Bao Y, Ullah A. Bias of a Value-at-Risk estimator Finance Research Letters. 1: 241-249. DOI: 10.1016/J.Frl.2004.07.001  0.401
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