Yubo Tao

Singapore Management University - School of Economics

90 Stamford Road

178903

Singapore

http://sites.google.com/site/ybtao1990

SCHOLARLY PAPERS

8

DOWNLOADS

813

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Ideas:
“  My research interests are empirical asset pricing and financial econometrics. In particular, I focus on developing and applying new statistical methodologies to financial data. I am also keen on finding new factors or predictors for asset returns in the short-term and long-term.  ”

Scholarly Papers (8)

1.

News Co-Occurrence, Attention Spillover, and Return Predictability

Number of pages: 53 Posted: 07 Mar 2017 Last Revised: 08 Dec 2018
Li Guo, Lin Peng, Yubo Tao and Jun Tu
Fudan University - School of Economics, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Singapore Management University - School of Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 312 (120,000)
Citation 2

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Investors attention; Network; Return predictability; Short-sales constraint; Media coverage; News tones; Heterogeneous belief.

2.

Financialization and Commodity Market Serial Dependence

Number of pages: 65 Posted: 06 Dec 2018 Last Revised: 02 Nov 2020
Zhi Da, Ke Tang, Yubo Tao and Liyan Yang
University of Notre Dame - Mendoza College of Business, Institute of Economics, School of Social Sciences, Tsinghua University, Singapore Management University - School of Economics and University of Toronto - Rotman School of Management
Downloads 217 (173,624)
Citation 1

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Financialization, Return autocorrelation, Index trading, News sentiment, Price discovery

3.

A Time-Varying Network for Cryptocurrencies

Number of pages: 43 Posted: 20 Jun 2018 Last Revised: 21 Jul 2021
Li Guo, Wolfgang K. Härdle and Yubo Tao
Fudan University - School of Economics, Blockchain Research Center and Singapore Management University - School of Economics
Downloads 182 (202,987)
Citation 1

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Community Detection, Dynamic Stochastic Blockmodel, Covariates, Co-clustering, Network Risk, Momentum.

4.

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour

Cowles Foundation Discussion Paper No. 2114, Journal of Econometrics, Forthcoming
Number of pages: 49 Posted: 12 Dec 2017 Last Revised: 17 Mar 2019
Singapore Management University - School of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 39 (516,971)
Citation 3

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Continuous time models, Explosive path, Extreme behaviour, Random coefficient autoregression, Infill asymptotics, Bubble testing

5.

Dynamic Network Perspective of Cryptocurrencies

IRTG 1792 Discussion Paper 2019-009
Number of pages: 54 Posted: 31 Aug 2020
Li Guo, Yubo Tao and Wolfgang K. Härdle
Fudan University - School of Economics, Singapore Management University - School of Economics and Blockchain Research Center
Downloads 22 (614,525)
Citation 1

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Community Detection, Dynamic Stochastic Block-model, Spectral Clustering, Node Co-variate, Return Predictability, Portfolio Management

6.

Understanding Latent Group Structure of Cryptocurrencies Market: A Dynamic Network Perspective

Number of pages: 51 Posted: 31 Aug 2020
Li Guo, Yubo Tao and Wolfgang K. Härdle
Fudan University - School of Economics, Singapore Management University - School of Economics and Blockchain Research Center
Downloads 21 (621,230)
Citation 1

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Community Detection, Dynamic Network, Return Predictability, Behavioural Bias, Market Segmentation, Bitcoin

7.

Model Selection for Explosive Models

Advances in Econometrics (Essays in Honour of Cheng Hsiao), Vol 41. Forthcoming
Number of pages: 31 Posted: 17 Mar 2017 Last Revised: 10 Jan 2019
Yubo Tao and Jun Yu
Singapore Management University - School of Economics and Singapore Management University
Downloads 18 (642,316)
Citation 1

Abstract:

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Model Selection, Information Criteria, Local-To-Unit-Root Model, Mildly Explosive Model, Unit Root Model, Indirect Inference

8.

Regression-Adjusted Estimation of Quantile Treatment Effects under Covariate-Adaptive Randomizations

Number of pages: 45 Posted: 08 Jul 2021
Fudan University - Fanhai International School of Finance (FISF), Yale University - Cowles Foundation, Singapore Management University - School of Economics and Singapore Management University
Downloads 2 (766,161)

Abstract:

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Covariate-adaptive randomization, high-dimensional data, regression adjustment, quantile treatment effects.