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Moment approximation for least-squares estimator in first-order regression models with unit root and nonnormal errors

Bao, Yong; Ullah, Aman; Zhang, Ru - In: Essays in honor of Peter C. B. Phillips, (pp. 65-92). 2014

Persistent link: https://www.econbiz.de/10010442878

Moments of the estimated Sharpe ratio when the observations are not IID

Bao, Yong; Ullah, Aman - In: Finance research letters 3 (2006) 1, pp. 49-56

Persistent link: https://www.econbiz.de/10003300877

On skewness and kurtosis of econometric estimators

Bao, Yong; Ullah, Aman - In: The econometrics journal 12 (2009) 2, pp. 232-247

Persistent link: https://www.econbiz.de/10003875656

The second-order bias and mean squared error of estimators in time-series models

Bao, Yong; Ullah, Aman - In: Journal of econometrics 140 (2007) 2, pp. 650-669

Persistent link: https://www.econbiz.de/10003569923

Bias of a value-at-risk estimator

Bao, Yong; Ullah, Aman - In: Finance research letters 1 (2004) 4, pp. 241-249

Persistent link: https://www.econbiz.de/10003307425

Bias in the estimation of mean reversion in continuous-time Lévy processes

Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19

Persistent link: https://www.econbiz.de/10011432138

Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process

Bao, Yong; Ullah, Aman; Wang, Yun - In: Econometric reviews 36 (2017) 6/9, pp. 1039-1056

Persistent link: https://www.econbiz.de/10011795564

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

Bao, Yong - 2016

We develop the analytical second-order bias and variance of the estimated Sharpe ratio when the return series is not IID. We show that the bias and variance formulae depend upon the covariance structure of the data generating process

Persistent link: https://www.econbiz.de/10012998082

The special issue in honor of Anirudh Lal Nagar : an introduction

Bao, Yong; Ullah, Aman - In: Journal of quantitative economics 19 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10013441701

Special issue in honor of Anirudh Lal Nagar

Bao, Yong (ed.); Ullah, Aman (ed.); … - 2021

Persistent link: https://www.econbiz.de/10013441796