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Details about Xu, Dinghai

Homepage:http://arts.uwaterloo.ca/~dhxu/
Workplace:Department of Economics, University of Waterloo, (more information at EDIRC)

Access statistics for papers by Xu, Dinghai.

Last updated 2020-07-05. Update your information in the RePEc Author Service.

Short-id: pxu46


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Working Papers

2020

  1. Canadian Stock Market Volatility under COVID-19
    Working Papers, University of Waterloo, Department of Economics Downloads

2019

  1. A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach
    Working Papers, University of Waterloo, Department of Economics Downloads

2018

  1. 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 Downloads
    See also Journal Article in Economic Modelling (2019)

2014

  1. Is Volatility Clustering of Asset Returns Asymmetric?
    Working Papers, Ryerson University, Department of Economics Downloads
    See also Journal Article in Journal of Banking & Finance (2015)

2013

  1. Random Matrix Application to Correlations Among Volatility of Assets
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Quantitative Finance (2016)

2012

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

2010

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

2009

  1. An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
    Working Papers, University of Waterloo, Department of Economics Downloads
  2. The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey
    Working Papers, University of Waterloo, Department of Economics Downloads View citations (2)

2008

  1. 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 Downloads View citations (2)
  2. Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"
    Working Papers, University of Waterloo, Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2011)
  3. Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters
    Working Papers, University of Waterloo, Department of Economics Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2011)

Journal Articles

2020

  1. 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 Downloads

2019

  1. 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 Downloads
    See also Working Paper (2018)

2018

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

2016

  1. Random matrix application to correlations amongst the volatility of assets
    Quantitative Finance, 2016, 16, (1), 69-83 Downloads View citations (1)
    See also Working Paper (2013)

2015

  1. Is volatility clustering of asset returns asymmetric?
    Journal of Banking & Finance, 2015, 52, (C), 62-76 Downloads View citations (19)
    See also Working Paper (2014)

2013

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

2012

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

2011

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

2008

  1. Modeling the leverage effect with copulas and realized volatility
    Finance Research Letters, 2008, 5, (4), 221-227 Downloads View citations (6)
 
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