Publications

Bao, Y. & Kan, R. (2013). On the Moments of Ratio of Quadratic Forms in Normal Random Variables. Journal of Multivariate Analysis, vol. 117, 229-245.
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Bao, Y., Ullah, A. & Zinde-Walsh, V. (2013). On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models. Economics Letters, vol. 120 (2), 146-148.
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Bao, Y (2013). On Sample Skewness and Kurtosis. Econometric Reviews, vol. 32 (4), 415-448.
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Bao, Y (2013). Finite Sample Bias of the QMLE in Spatial Autoregressive Models. Econometric Theory, vol. 29 (1), 68-88.
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James, T., Bao, Y., Dixon, P. & Merrifield, J. (2011). School Choice and Academic Performance: Some Evidence from Developing Countries. Journal of School Choice, vol. 5 (1), 1-39.
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Bao, Y., Lo, M. & Mixon, F. (2010). General-Interest versus Specialty Journals: Using Intellectual Influence of Econometrics Research to Rank Economics Journals and Articles. Journal of Applied Econometrics, vol. 25 (2), 345-353.
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Bao, Y. & Ullah, A. (2010). Expectation of Quadratic Forms in Normal and Nonnormal Variables with Applications. Journal of Statistical Planning and Inference, vol. 140 (5), 1193-1205.
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Bao, Y., Fullerton, T & Lien, D. (2009). Borderplex Menu Evidence for the Law of One Price: A Convergence Approach. Applied Economics Letters, vol. 16 (17), 1717-1720.
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Bao, Y. & Ullah, A. (2009). Higher-Order Bias and MSE of Nonlinear Estimators. Pakistan Journal of Statistics, vol. 25 (4), 287-294.
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Bao, Y. & Ullah, A. (2009). On Skewness and Kurtosis of Econometric Estimators. The Econometrics Journal, vol. 12 (2), 232-247.
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Bao, Y. (2009). Estimation Risk Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution. Journal of Financial Econometrics, vol. 7 (2), 152-173.
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Bao, Y. (2009). Finite Sample Moments of the Coefficient of Variation. Econometric Theory, vol. 25 (1), 291-297.
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Bao, Y. & Dhongde, S. (2009). Testing Convergence in Income Distribution. Oxford Bulletin of Economics and Statistics, vol. 71 (2), 295-302.
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Bao, Y., Firoozi, F. & Lo, M. (2008). A Monte Carlo Power Comparison of the Classical and One-Sided Procedures for Testing Linear Inequalities. Journal of Quantitative Economics, vol. 6 (1), 233-239.

Bao, Y. (2007). The Approximate Moments of the Least Squares Estimator for the Stationary Autoregressive Model Under a General Error Distribution. Econometric Theory, vol. 23 (5), 1013-1021.
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Bao, Y. & Ullah, A. (2007). The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models. Journal of Econometrics, vol. 140 (2), 650-669.
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Bao, Y. (2007). Finite Sample Properties of Forecasts from the Stationary First-Order Autoregressive Model under a General Error Distribution. Econometric Theory, vol. 23 (4), 767-773.
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Bao, Y. & Ullah, A. (2007). Finite Sample Moments of Maximum Likelihood Estimator in Spatial Models. Journal of Econometrics, vol. 137 (2), 396-413.
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Bao, Y., Lee, T-H & Saltoglu, B. (2007). Comparing Density Forecast Models. Journal of Forecasting, vol. 26 (3), 203-225.
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Bao, Y., Lee, T-H & Saltoglu, B. (2006). Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check. Journal of Forecasting, vol. 25 (2), 101-128.
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Bao, Y. & Ullah, A. (2006). Moments of the Estimated Sharpe Ratio when the Observations are not IID. Finance Research Letters, vol. 3 (1), 49-56.
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Bao, Y. & Lee, T. (2006). Asymmetric Predictive Abilities of Nonlinear Models for Stock Returns: Evidence from Density Forecast Comparison. Advances in Econometrics, vol. 20(B), 41-62.
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Bao, Y. & Ullah, A. (2004). Bias of a Value-at-Risk Estimator. Finance Research Letters, vol. 1 (4), 241-249.
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Bao, Y. & Guo, J-T (2004). Reexamination of Economic Growth, Tax Policy, and Distributive Politics. Review of Development Economics, vol. 8 (3), 474-482.
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