Affiliation
yubotao@um.edu.mo
Tel
+853 8822 2339
Office
Office Room 3031, Humanities and Social Sciences Building
University of Macau, E21B
Avenida da Universidade,Taipa, Macau, China
Consultation Hours
Personal Website
Yubo TAO 陶宇博
Assistant Professor
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
Publications
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