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
- Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour
Journal of Econometrics, 2019, vol. 209 (2), 208-237 (with Peter C. B. Phillips and Jun Yu)
DOI: https://doi.org/10.1016/j.jeconom.2019.01.002
- Financialization and Commodity Markets Serial Dependence
Management Science, 2022, forthcoming (with Zhi Da, Ke Tang, and Liyan Yang)
- Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations
Journal of Econometrics, 2022, forthcoming (with Liang Jiang, Peter C. B. Phillips, Yichong Zhang)
DOI: https://doi.org/10.1016/j.jeconom.2022.08.010
- A Time-Varying Network for Cryptocurrencies
Journal of Business & Economic Statistics, 2022, forthcoming (with Li Guo and Wolfgang K. Härdle)
DOI: https://doi.org/10.1080/07350015.2022.2146695
Other Publications
- Model Selection for Explosive Models
Advances in Econometrics (Essays in Honour of Cheng Hsiao), 2020, vol. 41, 73-103 (with Jun Yu)
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 Market 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)
- Trend-based Forecast of Cryptocurrency Returns
(with Xilong Tan)
DOI: https://doi.org/10.2139/ssrn.4222864
- Modeling Trading Volume
(with Zilin Chen and Dashan Huang)
- Mispricing and Spread Trading in the Commodity Futures Markets
(with Zhi Da, Grace Xing Hu, and Ke Tang)
- Robust Long-horizon Predictive Regression with Mixed Roots near Unity
