Aman Ullah

University of California, Riverside (UCR) - Department of Economics

Professor of Economics

900 University Avenue

4136 Sproul Hall

Riverside, CA 92521

United States

SCHOLARLY PAPERS

13

DOWNLOADS

77

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (13)

1.

The Distribution of the Mean Reversion Estimator in the Ornstein-Uhlenbeck Process

Econometric Reviews, Forthcoming
Number of pages: 24 Posted: 27 Feb 2016 Last Revised: 04 Mar 2016
Yong Bao, Aman Ullah and Yun Wang
Purdue University, University of California, Riverside (UCR) - Department of Economics and University of International Business and Economics (UIBE)
Downloads 77 (370,358)

Abstract:

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Distribution, Mean Reversion Estimator, Ornstein-Uhlenbeck Process

2.

Bias of a Value-at-Risk Estimator

Finance Research Letters, Vol. 1 (4), 241-249, 2004, DOI: 10.1016/j.frl.2004.07.001
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

Abstract:

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Value-at-Risk, Second-order bias

3.

Moments of the Estimated Sharpe Ratio When the Observations Are Not IID

Finance Research Letters, Vol. 3, No. 1, 2006, DOI: 10.1016/j.frl.2005.11.001
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

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Sharpe ratio, IID, Second-order bias, Second-order variance

4.

Finite Sample Moments of Maximum Likelihood Estimator in Spatial Models

Journal of Econometrics, Vol. 137, No. 2, 2007, DOI: 10.1016/j.jeconom.2005.08.006
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

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Bias, Mean squared error, Spatial autoregressive model

5.

The Second-Order Bias and Mean Squared Error of Estimators in Time Series Models

Journal of Econometrics, Vol. 140, No. 2, 2007, DOI: 10.1016/j.jeconom.2006.07.007
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

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Higher-order moments, Stochastic expansion, Time series

6.

Higher-Order Bias and MSE of Nonlinear Estimators

Pakistan Journal of Statistics, 2009, vol. 25 (4), 287-294
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

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Bias, Mean Squared Error, Higher-Order Expansion

7.

Expectation of Quadratic Forms in Normal and Nonnormal Variables with Applications

Journal of Statistical Planning and Inference, 2010, vol. 140 (5), 1193-1205.
Posted: 27 Feb 2016
Yong Bao and Aman Ullah
Purdue University and University of California, Riverside (UCR) - Department of Economics

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Expectation, Quadratic form, Nonnormality

8.

Bias in the Estimation of Mean Reversion in Continuous-Time Lévy Processes

Economics Letters, 2015, vol. 134, 16-19.
Posted: 27 Feb 2016
Yong Bao, Aman Ullah, Yun Wang and Jun Yu
Purdue University, University of California, Riverside (UCR) - Department of Economics, University of International Business and Economics (UIBE) and Singapore Management University

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Bias, Mean reversion parameter, Lévy processes

9.

On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models

Economics Letters, 2013, vol. 120 (2), 146-148.
Posted: 27 Feb 2016
Purdue University, University of California, Riverside (UCR) - Department of Economics and McGill University - Department of Economics

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Expectation, Mean-reversion parameter, MLE

10.

Moment Approximation for Least-Squares Estimator in First-Order Regression Models with Unit Root and Nonnormal Errors

Advances in Econometrics, 2014, vol. 33, 65-92.
Posted: 27 Feb 2016
Yong Bao, Aman Ullah and Ru Zhang
Purdue University, University of California, Riverside (UCR) - Department of Economics and University of California, Riverside (UCR)

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Unit root, nonnormal, moment approximation

11.

A Nonparametric Random Effects Estimator

Economics Letters, Vol. 88, pp. 403-407, 2005
Posted: 16 Dec 2005
Daniel J. Henderson and Aman Ullah
University of Alabama and University of California, Riverside (UCR) - Department of Economics

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Nonparametric, Random Effects, Kernel

12.

Parametric and Semi-Parametric Estimation of the Effect of Firm Attributes on Efficiency: Electricity Generating Industry in India

Posted: 19 May 2005
Madhu Khanna, Kusum Mundra and Aman Ullah
University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics, Department of Economics, Rutgers University, Newark and University of California, Riverside (UCR) - Department of Economics

Abstract:

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Stochastic Frontier, Maximum Likelihood, Semi-parametric, efficiency, Panel Data, electiricty industry

13.

Estimation of Moments and Production Decisions Under Uncertainty

The Review of Economics and Statistics, Vol. LXXIX, No. 4 (November 1997)
Posted: 01 May 1998
Elie Appelbaum and Aman Ullah
York University - Schulich School of Business and University of California, Riverside (UCR) - Department of Economics

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