Yong Bao

Purdue University

Department of Economics

West Lafayette, IN 47907

United States

SCHOLARLY PAPERS

34

DOWNLOADS

294

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (34)

1.

On the Moments of Ratios of Quadratic Forms in Normal Random Variables

Journal of Multivariate Analysis, 117, 229-245, 2013
Number of pages: 31 Posted: 08 Feb 2012 Last Revised: 18 Feb 2016
Yong Bao and Raymond Kan
Purdue University and University of Toronto - Rotman School of Management
Downloads 167 (178,663)

Abstract:

Loading...

Moments, Ratio of Quadratic Forms, Multivariate Normal Distribution

2.

The Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process

Econometric Reviews, Forthcoming
Number of pages: 24 Posted: 27 Feb 2016 Last Revised: 04 Mar 2016
Yong Bao, Aman Ullah and Yun Wang
Purdue University, University of California, Riverside (UCR) - Department of Economics and University of International Business and Economics (UIBE)
Downloads 65 (342,741)

Abstract:

Loading...

Distribution, Mean Reversion Estimator, Ornstein-Uhlenbeck Process

3.

Reexamination of Economic Growth, Tax Policy, and Distributive Politics

Review of Development Economics, Vol. 8, No. 3, pp. 474-482, August 2004
Number of pages: 9 Posted: 21 Aug 2004
Yong Bao and Jang-Ting Guo
Purdue University and University of California, Riverside (UCR) - Department of Economics
Downloads 24 (499,336)
  • Add to Cart

Abstract:

Loading...

4.

Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models

Advances in Econometrics, Forthcoming
Number of pages: 32 Posted: 27 Feb 2016 Last Revised: 03 Mar 2016
Yong Bao
Purdue University
Downloads 17 (540,103)

Abstract:

Loading...

ARMA, conditional Gaussian maximum likelihood estimator, Bias

5.

The Asymptotic Covariance Matrix of the QMLE in ARMA Models

Econometric Reviews, Forthcoming
Number of pages: 23 Posted: 27 Feb 2016 Last Revised: 04 Mar 2016
Yong Bao
Purdue University
Downloads 17 (540,103)

Abstract:

Loading...

ARMA, quasi maximum likelihood, asymptotic covariance

6.

Testing Convergence in Income Distribution

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 2, pp. 295-302, April 2009
Number of pages: 8 Posted: 27 Apr 2009
Yong Bao and Shatakshee Dhongde
Purdue University and Georgia Institute of Technology
Downloads 3 (630,491)
  • Add to Cart

Abstract:

Loading...

7.

On Skewness and Kurtosis of Econometric Estimators

Econometrics Journal, Vol. 12, Issue 2, pp. 232-247, July 2009
Number of pages: 16 Posted: 08 Oct 2009
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics
Downloads 1 (652,711)
  • Add to Cart

Abstract:

Loading...

8.

Contributions to Spatial Econometrics

International Regional Science Review, 2014, 37 (3), 247-250
Posted: 27 Feb 2016
Purdue University, Purdue University and CRESE

Abstract:

Loading...

9.

Bias of a Value-at-Risk Estimator

Finance Research Letters, Vol. 1 (4), 241-249, 2004, DOI: 10.1016/j.frl.2004.07.001
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Value-at-Risk, Second-order bias

10.

Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison

Advances in Econometrics, 2006, vol. 20(B), 41-62
Posted: 27 Feb 2016
Yong Bao and Tae-Hwy Lee
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

nonlinear predictability, density forecast, KLIC, reality check

11.

Moments of the Estimated Sharpe Ratio When the Observations Are Not IID

Finance Research Letters, Vol. 3, No. 1, 2006, DOI: 10.1016/j.frl.2005.11.001
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Sharpe ratio, IID, Second-order bias, Second-order variance

12.

Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check

Journal of Forecasting, Vol. 25 (2), 101-128, 2006, DOI: 10.1002/for.977
Posted: 27 Feb 2016
Yong Bao, Tae-Hwy Lee and Burak Saltoglu
Purdue University, University of California, Riverside (UCR) - Department of Economics and Marmara University

Abstract:

Loading...

CaViaR, coverage probability, filtering, quantile loss, reality check, stress testing, VaR

13.

Comparing Density Forecast Models

Journal of Forecasting, Vol. 26 (3), 203-225, 2007, DOI: 10.1002/for.1023
Posted: 27 Feb 2016
Yong Bao, Tae-Hwy Lee and Burak Saltoglu
Purdue University, University of California, Riverside (UCR) - Department of Economics and Marmara University

Abstract:

Loading...

density forecast comparison, KLIC, predictive log-likelihood, reality check

14.

Finite Sample Moments of Maximum Likelihood Estimator in Spatial Models

Journal of Econometrics, Vol. 137, No. 2, 2007, DOI: 10.1016/j.jeconom.2005.08.006
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Bias, Mean squared error, Spatial autoregressive model

15.

Finite Sample Properties of Forecasts from the Stationary First-Order Autoregressive Model Under a General Error Distribution

Econometric Theory, Vol. 23 (4), 767-773, 2007, DOI: org/10.1017/S0266466607070338
Posted: 27 Feb 2016
Yong Bao
Purdue University

Abstract:

Loading...

16.

The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models

Journal of Econometrics, Vol. 140, No. 2, 2007, DOI: 10.1016/j.jeconom.2006.07.007
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Higher-order moments, Stochastic expansion, Time series

17.

The Approximate Moments of the Least Squares Estimator for the Stationary Autoregressive Model Under a General Error Distribution

Econometric Theory, Vol. 23, No. 5, 2007, DOI: org/10.1017/S0266466607070405
Posted: 27 Feb 2016
Yong Bao
Purdue University

Abstract:

Loading...

18.

A Monte Carlo Power Comparison of the Classical and One-Sided Procedures for Testing Linear Inequalities

Journal of Quantitative Economics, 2008, vol. 6 (1), 233-239
Posted: 27 Feb 2016
Yong Bao, Fathali Firoozi and Melody Lo
Purdue University, University of Texas at San Antonio - College of Business - Department of Economics and University of Texas at San Antonio

Abstract:

Loading...

Inequality constraint, Boundary distribution, Test power

19.

Finite Sample Moments of the Coefficient of Variation

Econometric Theory, Vol. 25, No. 1, 2009, DOI: 10.1017/S0266466608090555
Posted: 27 Feb 2016
Yong Bao
Purdue University

Abstract:

Loading...

20.

Higher-Order Bias and MSE of Nonlinear Estimators

Pakistan Journal of Statistics, 2009, vol. 25 (4), 287-294
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Bias, Mean Squared Error, Higher-Order Expansion

21.

Borderplex Menu Evidence for the Law of One Price: A Convergence Approach

Applied Economics Letters, Vol. 16, No. 17, 2009, DOI: 10.1080/13504850701675516
Posted: 27 Feb 2016
Purdue University, University of Texas at El Paso - College of Business Administration and University of Texas at San Antonio - College of Business - Department of Economics

Abstract:

Loading...

22.

Expectation of Quadratic Forms in Normal and Nonnormal Variables with Applications

Journal of Statistical Planning and Inference, 2010, vol. 140 (5), 1193-1205.
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

Loading...

Expectation, Quadratic form, Nonnormality

23.

General-Interest Versus Specialty Journals: Using Intellectual Influence of Econometrics Research to Rank Economics Journals and Articles

Journal of Applied Econometrics, 2010, vol. 25 (2), 345-353. DOI: 10.1002/jae.1104
Posted: 27 Feb 2016
Purdue University, University of Texas at San Antonio and Columbus State University

Abstract:

Loading...

24.

School Choice and Academic Performance: Some Evidence from Developing Countries

Journal of School Choice, 2011, 5:1, 1-39, DOI: 10.1080/15582159.2011.54823
Posted: 27 Feb 2016
University of Newcastle - E.G. West Centre, Purdue University, University of Newcastle - School of Education, Communication and Language Sciences and University of Texas at San Antonio

Abstract:

Loading...

private schools, state-run schools, selection bias

25.

Bias in the Estimation of Mean Reversion in Continuous-Time Lévy Processes

Economics Letters, 2015, vol. 134, 16-19.
Posted: 27 Feb 2016
Yong Bao, Aman Ullah, Yun Wang and Jun Yu
Purdue University, University of California, Riverside (UCR) - Department of Economics, University of International Business and Economics (UIBE) and Singapore Management University

Abstract:

Loading...

Bias, Mean reversion parameter, Lévy processes

26.

Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields?

Journal of Business & Economic Statistics, 2016, 34:1, 62-67
Posted: 27 Feb 2016
Melody Lo and Yong Bao
University of Texas at San Antonio and Purdue University

Abstract:

Loading...

Citations, Economics journals, Impact, Ranking, Specialty field journals

27.

Finite Sample Bias of the QMLE in Spatial Autoregressive Models

Econometric Theory, 2013, vol. 29 (1), 68-88
Posted: 27 Feb 2016
Yong Bao
Purdue University

Abstract:

Loading...

Bias, quasi-maximum likelihood estimator, spatial autoregressive models

28.

On Sample Skewness and Kurtosis

Econometric Reviews, 2013, vol. 32 (4), 415-448.
Posted: 27 Feb 2016
Yong Bao
Purdue University

Abstract:

Loading...

Bias, Kurtosis, Skewness

29.

On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models

Economics Letters, 2013, vol. 120 (2), 146-148.
Posted: 27 Feb 2016
Purdue University, University of California, Riverside (UCR) - Department of Economics and McGill University - Department of Economics

Abstract:

Loading...

Expectation, Mean-reversion parameter, MLE

30.

Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model

Journal of Time Series Econometrics, 2014, vol. 6 (1), 63-80. DOI: 10.1515/jtse-2013-0015
Posted: 27 Feb 2016
Yong Bao and Ru Zhang
Purdue University and University of California, Riverside (UCR)

Abstract:

Loading...

bias, moving average, feasible forecasts

31.

On the Fisher Information Matrix of a Vector Arma Process

Economics Letters, 2014, vol. 123 (1), 14-16.
Posted: 27 Feb 2016
Yong Bao and Ying Hua
Purdue University and University of International Business and Economics (UIBE)

Abstract:

Loading...

Fisher information matrix, VARMA, Gaussian maximum likelihood estimator

32.

Should We Demean the Data?

Annals of Economics and Finance, 2015, vol. 16 (1), 163-171
Posted: 27 Feb 2016
Yong Bao
Purdue University

Abstract:

Loading...

Demean, Moving Average, Bias

33.

Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors

Advances in Econometrics, 2014, vol. 33, 65-92.
Posted: 27 Feb 2016
Yong Bao, Aman Ullah and Ru Zhang
Purdue University, University of California, Riverside (UCR) - Department of Economics and University of California, Riverside (UCR)

Abstract:

Loading...

Unit root, nonnormal, moment approximation

34.

Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking Under a General Return Distribution

Journal of Financial Econometrics, Vol. 7, Issue 2, pp. 152-173, 2009
Posted: 23 Mar 2009
Yong Bao
Purdue University

Abstract:

Loading...

G11, bias, nonnormality, Sharpe ratio, variance