James Yae

University of Houston - C. T. Bauer College of Business

Assistant Professor of Finance

Houston, TX 77204-6021

United States

SCHOLARLY PAPERS

7

DOWNLOADS

1,133

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (7)

1.

Reading the Tea Leaves: Model Uncertainty, Robust Forecasts, and the Autocorrelation of Analysts' Forecast Errors

Chicago Booth Research Paper No. 10-04, CRSP Working Paper
Number of pages: 58 Posted: 28 Jan 2010 Last Revised: 11 Aug 2015
Dartmouth College - Tuck School of Business, Massachusetts Institute of Technology and University of Houston - C. T. Bauer College of Business
Downloads 542 (72,665)
Citation 6

Abstract:

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Model uncertainty, parameter uncertainty, forecasting, robustness, financial analysts

2.

Quantile Filtering and Learning

Number of pages: 40 Posted: 21 Nov 2009
Columbia University - Columbia Business School, Finance, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 199 (212,755)
Citation 1

Abstract:

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Quantile, LAD, Particle Filtering, Particle Learning, Bayes Factor

3.

Sequential Learning, Asset Allocation, and Bitcoin Returns

Number of pages: 82 Posted: 02 Aug 2021 Last Revised: 11 Nov 2021
James Yae and George Zhe Tian
University of Houston - C. T. Bauer College of Business and University of Houston - C. T. Bauer College of Business
Downloads 150 (270,364)
Citation 1

Abstract:

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Bitcoin, Uncertainty, Learning, Time-Varying Correlation, Return Predictability

4.

Sequential Inference for Nonlinear Models using Slice Variables

Number of pages: 35 Posted: 21 Nov 2009
Columbia University - Columbia Business School, Finance, University of Chicago - Booth School of Business and University of Houston - C. T. Bauer College of Business
Downloads 122 (316,726)
Citation 1

Abstract:

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Monte Carlo, Particle Filtering, Particle Learning, Nonlinear State Space Model, Slice Variable

5.

Emergence of Non-Speculative Demand for Bitcoin: Learning about Stochastic Correlations with Stock Markets

Number of pages: 48 Posted: 01 Mar 2021 Last Revised: 05 Mar 2021
James Yae and George Zhe Tian
University of Houston - C. T. Bauer College of Business and University of Houston - C. T. Bauer College of Business
Downloads 82 (409,986)

Abstract:

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Bitcoin, Uncertainty, Learning, Time-Varying Correlation

6.

Unintended Look-Ahead Bias in Out-of-Sample Forecasting

Number of pages: 7 Posted: 01 Jan 2022
James Yae
University of Houston - C. T. Bauer College of Business
Downloads 38 (583,666)

Abstract:

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Forecasting, Out-of-Sample Test, Look-Ahead Bias, Model Selection Bias

7.

Joint-Learning, Belief-Covariations, and Asset Prices

Posted: 24 Oct 2018
James Yae and Praveen Kumar
University of Houston - C. T. Bauer College of Business and University of Houston - Department of Finance

Abstract:

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Parameter Uncertainty, Learning, Equity Premium, Information Quality

Other Papers (1)

Total Downloads: 0
1.

Dynamic Multivariate Learning with Generalized Information

Posted: 16 Aug 2021 Last Revised: 17 Jun 2022
Praveen Kumar and James Yae
University of Houston - Department of Finance and University of Houston - C. T. Bauer College of Business

Abstract:

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Learning, Parameter Uncertainty, Signal Correlation, Equity Premium