Project Description
Yubo TAO
Full-time Staff
| Title | Assistant Professor of Economics PhD Programme Coordinator |
| Office | Room 3031, Humanities and Social Sciences Building, University of Macau, E21B |
| Telephone | +(853) 88228964 |
| Website | https://sites.google.com/site/ybtao1990/home |
| Fax | +(853) 88222339 |
| yubotao@um.edu.mo |
Academic Qualifications
- Ph.D., Economics, Singapore Management University
- M.Phil., Finance, Renmin University of China
- B.Sc., Economics, Southwestern University of Finance and Economics
B.Sc., Management, Southwestern University of Finance and Economics
Research Interests
- Econometrics
- Empirical Asset Pricing
Selected Publications
- Financialization and Commodity Markets Serial Dependence (with Zhi Da, Ke Tang, and Liyan Yang)
Management Science, 2024, Vol. 70 (4), 2122-2143.
DOI: https://doi.org/10.1287/mnsc.2023.4797
- A Time-Varying Network for Cryptocurrencies (with Li Guo and Wolfgang K. Härdle)
Journal of Business & Economic Statistics, 2024, Vol. 42 (2), 437-456.
DOI: https://doi.org/10.1080/07350015.2022.2146695
- Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations (with Liang Jiang, Peter C. B. Phillips, Yichong Zhang)
Journal of Econometrics, 2023, Vol. 234 (2), 758-776.
DOI: https://doi.org/10.1016/j.jeconom.2022.08.010
- Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour (with Peter C. B. Phillips and Jun Yu)
Journal of Econometrics, 2019, vol. 209 (2), 208-237.
DOI: https://doi.org/10.1016/j.jeconom.2019.01.002
Other Publications
- Trend-based Forecast of Cryptocurrency Returns (with Xilong Tan)
Economic Modelling, 2023, Vol. 124, 106323.
DOI: https://doi.org/10.1016/j.econmod.2023.106323
- Model Selection for Explosive Models (with Jun Yu)
Advances in Econometrics (Essays in Honour of Cheng Hsiao), 2020, vol. 41, 73-103
DOI: https://doi.org/10.1108/S0731-905320200000041003
- Limit Theory for Moderate Deviation from Integrated GARCH Processes
Statistics & Probability Letters, 2019, vol. 150, 126-136
DOI: https://doi.org/10.1016/j.spl.2019.03.001
Working Papers
- Joint News, Attention Spillover, and Stock Returns (with Li Guo, Lin Peng, and Jun Tu)
DOI: https://doi.org/10.2139/ssrn.2927561
- Political Uncertainty and Commodity Markets (with Kewei Hou, Ke Tang, and Bohui Zhang)
DOI: http://dx.doi.org/10.2139/ssrn.5343999
- Price Discovery and Trading in Prediction Markets (with Hunter Ng, Lin Peng, and Dexin Zhou)
DOI: http://dx.doi.org/10.2139/ssrn.5331995
