Yong Bao : Citation Profile


Are you Yong Bao?

Purdue University

7

H index

7

i10 index

265

Citations

RESEARCH PRODUCTION:

26

Articles

4

Papers

3

Chapters

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 20
   Journals where Yong Bao has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 4 (1.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba507
   Updated: 2020-02-22    RAS profile: 2018-01-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Ullah, Aman (6)

Yu, Jun (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Yong Bao.

Is cited by:

Kilian, Lutz (18)

Inoue, Atsushi (18)

Yang, Zhenlin (17)

Guerron, Pablo (11)

Yu, Jun (9)

Rossi, Francesca (8)

van Dijk, Dick (7)

Diks, Cees (6)

Kiviet, Jan (6)

Phillips, Peter (6)

Lee, Tae Hwy (6)

Cites to:

Phillips, Peter (11)

Ullah, Aman (10)

Phillips, Garry (9)

Yu, Jun (9)

Bollerslev, Tim (7)

Engle, Robert (7)

Kiviet, Jan (6)

White, Halbert (6)

Pesaran, M (5)

Granger, Clive (5)

West, Kenneth (4)

Main data


Where Yong Bao has published?


Journals with more than one article published# docs
Econometric Theory5
Economics Letters3
Econometric Reviews2
Journal of Forecasting2
Journal of Econometrics2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
Working Papers / University of California at Riverside, Department of Economics3

Recent works citing Yong Bao (2018 and 2017)


YearTitle of citing document
2017Conditional Market Timing in the Mutual Fund Industry. (2017). Tchamyou, Vanessa ; Asongu, Simplice. In: Research Africa Network Working Papers. RePEc:abh:wpaper:17/028.

Full description at Econpapers || Download paper

2017Conditional Market Timing in the Mutual Fund Industry. (2017). Tchamyou, Vanessa ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:17/028.

Full description at Econpapers || Download paper

2019GARCH based VaR estimation: An empirical evidence from BRICS stock markets. (2019). Rao, Prabhakar ; Guptha, Siva Kiran. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(621):y:2019:i:4(621):p:201-218.

Full description at Econpapers || Download paper

2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1501.01265.

Full description at Econpapers || Download paper

2018A New Wald Test for Hypothesis Testing Based on MCMC outputs. (2018). Yu, Jun ; Zeng, Tao ; JunYu, ; Liu, Xiaobin. In: Papers. RePEc:arx:papers:1801.00973.

Full description at Econpapers || Download paper

2019Adjusted QMLE for the spatial autoregressive parameter. (2019). Hillier, Grant ; Martellosio, Federico. In: Papers. RePEc:arx:papers:1909.08141.

Full description at Econpapers || Download paper

2019The Impact of Income Inequality on Economic Growth in Vietnam: An Empirical Analysis. (2019). Nguyen, Hoai Nam ; Le, Quoc Hoi . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:617-629.

Full description at Econpapers || Download paper

2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

Full description at Econpapers || Download paper

2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

Full description at Econpapers || Download paper

2017A New Recursive Estimation Method for Single Input Single Output Models. (2017). Ouakasse, Abdelhamid ; Melard, Guy. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:417-457.

Full description at Econpapers || Download paper

2017Quasi-ML estimation, Marginal Effects and Asymptotics for Spatial Autoregressive Nonlinear Models. (2017). Leorato, Samantha ; Billé, Anna Gloria ; Bille, Anna Gloria. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps44.

Full description at Econpapers || Download paper

2019Continuously Updated Indirect Inference in Heteroskedastic Spatial Models. (2019). Phillips, Peter ; Kyriacou, Maria ; Rossi, Francesca ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2208.

Full description at Econpapers || Download paper

2018Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

Full description at Econpapers || Download paper

2017A Double-Exponential Jump model and its application to risk measure in Wheat spot market. (2017). Huang, Xiaoying. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00459.

Full description at Econpapers || Download paper

2019Robust estimation and confidence interval in meta-regression models. (2019). Yu, Dalei ; Shi, Lei ; Zhou, Xiaohua ; Wang, Ruiwu ; He, NA ; Ding, Chang . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:93-118.

Full description at Econpapers || Download paper

2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

Full description at Econpapers || Download paper

2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

Full description at Econpapers || Download paper

2018The second-order bias of quantile estimators. (2018). Lee, Tae-Hwy ; Wang, HE ; Ullah, Aman ; Amanullah, . In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:143-147.

Full description at Econpapers || Download paper

2017Impulse response matching estimators for DSGE models. (2017). Kilian, Lutz ; Inoue, Atsushi ; Guerron, Pablo ; Guerron-Quintana, Pablo. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:144-155.

Full description at Econpapers || Download paper

2018The ABC of simulation estimation with auxiliary statistics. (2018). Ng, Serena ; Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

Full description at Econpapers || Download paper

2018Higher-order statistics for DSGE models. (2018). Mutschler, Willi. In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:44-56.

Full description at Econpapers || Download paper

2017Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates. (2017). Fries, Christian P ; Seeger, Norman ; Nigbur, Tobias . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:175-198.

Full description at Econpapers || Download paper

2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

Full description at Econpapers || Download paper

2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

Full description at Econpapers || Download paper

2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

Full description at Econpapers || Download paper

2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

Full description at Econpapers || Download paper

2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

Full description at Econpapers || Download paper

2017Asymptotic Fisher information matrix of Markov switching VARMA models. (2017). Cavicchioli, Maddalena. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:157:y:2017:i:c:p:124-135.

Full description at Econpapers || Download paper

2017LIQUIDITY ADJUSTED VALUE AT RISK: INTEGRATING THE UNCERTAINTY IN DEPTH AND TIGHTNESS. (2017). Evren, Burak ; Uslu, Levent C. In: Eurasian Journal of Business and Management. RePEc:ejn:ejbmjr:v:5:y:2017:i:1:p:55-69.

Full description at Econpapers || Download paper

2019Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances. (2019). Strumann, Christoph . In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9728-y.

Full description at Econpapers || Download paper

2019How Effective are Policy Interventions in a Spatially-Embedded International Real Estate Market?. (2019). Mishra, Tapas ; Wolfe, Simon ; Parhi, Mamata ; Duan, Kun. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:4:d:10.1007_s11146-018-9654-3.

Full description at Econpapers || Download paper

2017What are the Top Five Journals in Economics? A New Meta–ranking. (2017). Wohlrabe, Klaus ; Butz, Alexander ; Bornmann, Lutz. In: MPRA Paper. RePEc:pra:mprapa:79176.

Full description at Econpapers || Download paper

2017Conditional Market Timing in the Mutual Fund Industry. (2017). Tchamyou, Vanessa ; Asongu, Simplice. In: MPRA Paper. RePEc:pra:mprapa:82633.

Full description at Econpapers || Download paper

2018The Grid Bootstrap for Continuous Time Models. (2018). Yu, Jun ; Xiao, Weilin ; Lui, Yiu Lim. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_020.

Full description at Econpapers || Download paper

2019Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4.

Full description at Econpapers || Download paper

2017Are countries becoming equally unequal?. (2017). Dhongde, Shatakshee ; Chambers, Dustin. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:4:d:10.1007_s00181-016-1170-9.

Full description at Econpapers || Download paper

2019The Second-Order Asymptotic Properties of Asymmetric Least Squares Estimation. (2019). Ullah, Aman ; Lee, Tae Hwy ; Wang, HE. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00189-8.

Full description at Econpapers || Download paper

2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

Full description at Econpapers || Download paper

2017Smooth Transition Spatial Autoregressive Models. (2017). Koomen, Eric ; Blasques, Francisco ; Pieter, BO. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170050.

Full description at Econpapers || Download paper

2019A dominance approach for comparing the performance of VaR forecasting models. (2019). Novales, Alfonso ; Garcia-Jorcano, Laura. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1923.

Full description at Econpapers || Download paper

2019Colonial origin, ethnicity, and intergeneration mobility in Africa. (2019). Getachew, Yoseph ; Yoseph, Getachew ; Patricia, Funjika. In: WIDER Working Paper Series. RePEc:unu:wpaper:wp-2019-64.

Full description at Econpapers || Download paper

2019Continuously Updated Indirect Inference in Heteroskedastic Spatial Models. (2019). Phillips, Peter ; Kyriacou, Maria ; Rossi, Francesca ; PEter, . In: Working Papers. RePEc:ver:wpaper:15/2019.

Full description at Econpapers || Download paper

2019Old-fashioned parametric models are still the best. A comparison of Value-at-Risk approaches in several volatility states.. (2019). Chlebus, Marcin ; Buczyski, Mateusz. In: Working Papers. RePEc:war:wpaper:2019-12.

Full description at Econpapers || Download paper

Works by Yong Bao:


YearTitleTypeCited
2009Testing Convergence in Income Distribution* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article7
2004Reexamination of Economic Growth, Tax Policy, and Distributive Politics In: Review of Development Economics.
[Full Text][Citation analysis]
article2
2013Estimation Bias and Feasible Conditional Forecasts from the First-Order Moving Average Model In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article0
2015Should We Demean the Data? In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article1
2007FINITE-SAMPLE PROPERTIES OF FORECASTS FROM THE STATIONARY FIRST-ORDER AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION In: Econometric Theory.
[Full Text][Citation analysis]
article3
2007THE APPROXIMATE MOMENTS OF THE LEAST SQUARES ESTIMATOR FOR THE STATIONARY AUTOREGRESSIVE MODEL UNDER A GENERAL ERROR DISTRIBUTION In: Econometric Theory.
[Full Text][Citation analysis]
article19
2009FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION In: Econometric Theory.
[Full Text][Citation analysis]
article1
2013FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article15
2013FINITE SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS – ERRATUM In: Econometric Theory.
[Full Text][Citation analysis]
article14
2009On skewness and kurtosis of econometric estimators In: Econometrics Journal.
[Full Text][Citation analysis]
article1
2013On existence of moment of mean reversion estimator in linear diffusion models In: Economics Letters.
[Full Text][Citation analysis]
article1
2014On the Fisher information matrix of a vector ARMA process In: Economics Letters.
[Full Text][Citation analysis]
article2
2015Bias in the estimation of mean reversion in continuous-time Lévy processes In: Economics Letters.
[Full Text][Citation analysis]
article0
2007Finite sample properties of maximum likelihood estimator in spatial models In: Journal of Econometrics.
[Full Text][Citation analysis]
article29
2007The second-order bias and mean squared error of estimators in time-series models In: Journal of Econometrics.
[Full Text][Citation analysis]
article41
2004Bias of a Value-at-Risk estimator In: Finance Research Letters.
[Full Text][Citation analysis]
article6
2006Moments of the estimated Sharpe ratio when the observations are not IID In: Finance Research Letters.
[Full Text][Citation analysis]
article2
2013On the moments of ratios of quadratic forms in normal random variables In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article0
2014Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors In: Advances in Econometrics.
[Full Text][Citation analysis]
chapter0
2016A Selective Review of Aman Ullah’s Contributions to Econometrics In: Advances in Econometrics.
[Full Text][Citation analysis]
chapter0
2016Finite-Sample Bias of the Conditional Gaussian Maximum Likelihood Estimator in ARMA Models In: Advances in Econometrics.
[Full Text][Citation analysis]
chapter0
2010General-interest versus specialty journals: Using intellectual influence of econometrics research to rank economics journals and articles In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article7
2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality check In: Journal of Forecasting.
[Full Text][Citation analysis]
article80
2007Comparing 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; s In: Journal of Forecasting.
[Full Text][Citation analysis]
article20
2009Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article5
2013Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes In: Working Papers.
[Full Text][Citation analysis]
paper1
2009Borderplex menu evidence for the law of one price: a convergence approach In: Applied Economics Letters.
[Full Text][Citation analysis]
article1
2013On Sample Skewness and Kurtosis In: Econometric Reviews.
[Full Text][Citation analysis]
article6
2017Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process In: Econometric Reviews.
[Full Text][Citation analysis]
article1
2016Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0
2009Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications In: Working Papers.
[Full Text][Citation analysis]
paper0
2014Moment Approximation for Unit Root Models with Nonnormal Errors In: Working Papers.
[Full Text][Citation analysis]
paper0
2014Exact Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process In: Working Papers.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team