Yubo TAO (陶宇博)

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