2025-10-08T15:48:20+08:00

Affiliation

Email

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

Homepage

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

  1. 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
  2. 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
  3. 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
  4. 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

  1. 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
  2. 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
  3. 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

  1. Joint News, Attention Spillover, and Market Returns (with Li Guo, Lin Peng, and Jun Tu)
    DOI: https://doi.org/10.2139/ssrn.2927561
  2. Political Uncertainty and Commodity Markets (with Kewei Hou, Ke Tang, and Bohui Zhang)
    DOI: http://dx.doi.org/10.2139/ssrn.5343999
  3. Trend-based Forecast of Cryptocurrency Returns (with Xilong Tan)
    DOI: https://doi.org/10.2139/ssrn.4222864
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