Details about Xu, Dinghai

Access statistics for papers by Xu, Dinghai.

Last updated 2024-11-10. Update your information in the RePEc Author Service.

Short-id: pxu46

Working Papers

2020

1. Canadian Stock Market Volatility under COVID-19
   Working Papers, University of Waterloo, Department of Economics View citations (1)
   See also Journal Article Canadian stock market volatility under COVID-19, International Review of Economics & Finance, Elsevier (2022) View citations (5) (2022)

2019

2. A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach
   Working Papers, University of Waterloo, Department of Economics
   See also Journal Article A study on volatility spurious almost integration effect: A threshold realized GARCH approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)

2018

3. Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market
   Working Papers, University of Waterloo, Department of Economics
   See also Journal Article Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market, Economic Modelling, Elsevier (2019) View citations (2) (2019)

2014

4. Is Volatility Clustering of Asset Returns Asymmetric?
   Working Papers, Toronto Metropolitan University, Department of Economics
   See also Journal Article Is volatility clustering of asset returns asymmetric?, Journal of Banking & Finance, Elsevier (2015) View citations (28) (2015)

2013

5. Random Matrix Application to Correlations Among Volatility of Assets
   Papers, arXiv.org View citations (2)
   See also Journal Article Random matrix application to correlations amongst the volatility of assets, Quantitative Finance, Taylor & Francis Journals (2016) View citations (4) (2016)

2012

6. Continuous Empirical Characteristic Function Estimation of GARCH Models
   Working Papers, University of Waterloo, Department of Economics
7. GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study
   Working Papers, University of Waterloo, Department of Economics

2010

8. A Threshold Stochastic Volatility Model with Realized Volatility
   Working Papers, University of Waterloo, Department of Economics View citations (2)
9. Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach
   Working Papers, University of Waterloo, Department of Economics View citations (2)
10. Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data
    Working Papers, University of Waterloo, Department of Economics View citations (2)
    Also in Working Papers, Toronto Metropolitan University, Department of Economics (2009) View citations (1)

2009

11. An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
    Working Papers, University of Waterloo, Department of Economics
12. The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey
    Working Papers, University of Waterloo, Department of Economics View citations (6)

2008

13. An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility
    Working Papers, University of Waterloo, Department of Economics View citations (3)
14. Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"
    Working Papers, University of Waterloo, Department of Economics View citations (3)
    See also Journal Article Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach, Journal of Financial Econometrics, Oxford University Press (2011) View citations (6) (2011)
15. Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
    Working Papers, University of Waterloo, Department of Economics View citations (1)
    See also Journal Article Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters, Econometric Reviews, Taylor & Francis Journals (2011) View citations (3) (2011)

Journal Articles

2025

1. Extreme comovements and downside/upside risk spillovers between oil prices and exchange rates
   Macroeconomic Dynamics, 2025, 29, -

2024

2. “Good” and “bad” volatilities: a realized semivariance GARCH approach
   Applied Economics, 2024, 56, (51), 6391-6411

2022

3. Canadian stock market volatility under COVID-19
   International Review of Economics & Finance, 2022, 77, (C), 159-169 View citations (5)
   See also Working Paper Canadian Stock Market Volatility under COVID-19, Working Papers (2020) View citations (1) (2020)

2021

4. A study on volatility spurious almost integration effect: A threshold realized GARCH approach
   International Journal of Finance & Economics, 2021, 26, (3), 4104-4126 View citations (1)
   See also Working Paper A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach, Working Papers (2019) (2019)
5. Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China
   Applied Economics, 2021, 53, (7), 781-804 View citations (3)

2020

6. Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits
   Journal of Empirical Finance, 2020, 57, (C), 52-70 View citations (1)
7. Modelling asset returns under price limits with mixture of truncated Gaussian distribution
   Applied Economics, 2020, 52, (52), 5706-5725

2019

8. Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market
   Economic Modelling, 2019, 80, (C), 383-391 View citations (2)
   See also Working Paper Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market, Working Papers (2018) (2018)

2018

9. GMM estimation of a realized stochastic volatility model: A Monte Carlo study
   Econometric Reviews, 2018, 37, (7), 719-743

2016

10. Random matrix application to correlations amongst the volatility of assets
    Quantitative Finance, 2016, 16, (1), 69-83 View citations (4)
    See also Working Paper Random Matrix Application to Correlations Among Volatility of Assets, Papers (2013) View citations (2) (2013)

2015

11. Is volatility clustering of asset returns asymmetric?
    Journal of Banking & Finance, 2015, 52, (C), 62-76 View citations (28)
    See also Working Paper Is Volatility Clustering of Asset Returns Asymmetric?, Working Papers (2014) (2014)

2013

12. Stochastic volatility model under a discrete mixture-of-normal specification
    Journal of Economics and Finance, 2013, 37, (2), 216-239

2012

13. Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach
    Frontiers of Economics in China-Selected Publications from Chinese Universities, 2012, 7, (1), 22-43

2011

14. Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach
    Journal of Financial Econometrics, 2011, 9, (3), 469-488 View citations (6)
    See also Working Paper Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach", Working Papers (2008) View citations (3) (2008)
15. Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
    Econometric Reviews, 2011, 30, (1), 25-50 View citations (3)
    See also Working Paper Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters, Working Papers (2008) View citations (1) (2008)

2008

16. Modeling the leverage effect with copulas and realized volatility
    Finance Research Letters, 2008, 5, (4), 221-227 View citations (10)