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Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
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Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process
Bao, Yong; Ullah, Aman; Wang, Yun - In: Econometric reviews 36 (2017) 6/9, pp. 1039-1056
Persistent link: https://www.econbiz.de/10011795564
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On skewness and kurtosis of econometric estimators
Bao, Yong; Ullah, Aman - In: The econometrics journal 12 (2009) 2, pp. 232-247
Persistent link: https://www.econbiz.de/10003875656
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Moments of the estimated Sharpe ratio when the observations are not IID
Bao, Yong; Ullah, Aman - In: Finance research letters 3 (2006) 1, pp. 49-56
Persistent link: https://www.econbiz.de/10003300877
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Bias of a value-at-risk estimator
Bao, Yong; Ullah, Aman - In: Finance research letters 1 (2004) 4, pp. 241-249
Persistent link: https://www.econbiz.de/10003307425
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The second-order bias and mean squared error of estimators in time-series models
Bao, Yong; Ullah, Aman - In: Journal of econometrics 140 (2007) 2, pp. 650-669
Persistent link: https://www.econbiz.de/10003569923
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Analytical finite sample econometrics : from A. L. Nagar to now
Bao, Yong; Ullah, Aman - In: Journal of quantitative economics 19 (2021), pp. 17-37
Persistent link: https://www.econbiz.de/10013441704
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On existence of moment of mean reversion estimator in linear diffusion models
Bao, Yong; Ullah, Aman; Zinde-Walsh, Victoria - In: Economics letters 120 (2013) 2, pp. 146-148
Persistent link: https://www.econbiz.de/10010127806
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Finite sample properties of maximum likelihood estimator in spatial models
Bao, Yong; Ullah, Aman - In: Journal of econometrics 137 (2007) 2, pp. 396-413
Persistent link: https://www.econbiz.de/10003441869
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The asymptotic covariance matrix of the QMLE in ARMA models
Bao, Yong - In: Econometric reviews 37 (2018) 1/5, pp. 309-324
Persistent link: https://www.econbiz.de/10012038710