Details about Yongdeng Xu

Access statistics for papers by Yongdeng Xu.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pxu72

Working Papers

2025

1. Indirect Inference for the Identification of Star Variables in Macroeconomic Models
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2024

2. Extended multivariate EGARCH model: A model for zero†return and negative spillovers
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
3. Indirect Inference- a methodological essay on its role and applications
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
4. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
   See also Journal Article Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets, Energy Economics, Elsevier (2024) View citations (1) (2024)

2023

5. Asymmetric volatility spillover between crude oil and other asset markets
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
   See also Journal Article Asymmetric volatility spillover between crude oil and other asset markets, Energy Economics, Elsevier (2024) View citations (2) (2024)
6. Indirect Inference and Small Sample Bias - Some Recent Results
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
   See also Journal Article Indirect Inference and Small Sample Bias — Some Recent Results, Open Economies Review, Springer (2024) (2024)
7. The contribution of realized covariance models to the economic value of volatility timing
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2023)

2022

8. Targeting moments for calibration compared with indirect inference
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
9. The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
10. Why does Indirect Inference estimation produce less small sample bias than maximum likelihood? A note
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (4)

2021

11. Computable General Equilibrium Models of Trade in the Modern Trade Policy Debate
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)
    See also Journal Article Computable General Equilibrium Models of Trade in the Modern Trade Policy Debate, Open Economies Review, Springer (2022) View citations (2) (2022)
12. DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    See also Journal Article DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations, International Journal of Forecasting, Elsevier (2023) View citations (5) (2023)
13. Testing competing world trade models against the facts of world trade
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)
    See also Journal Article Testing competing world trade models against the facts of world trade, Journal of International Money and Finance, Elsevier (2023) View citations (2) (2023)
14. The Pricing of Unexpected Volatility in the Currency Market
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    See also Journal Article The pricing of unexpected volatility in the currency market, The European Journal of Finance, Taylor & Francis Journals (2023) (2023)

2019

15. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2018

16. Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (10)
    See also Journal Article Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach, International Review of Financial Analysis, Elsevier (2018) View citations (7) (2018)
17. Testing DSGE Models by indirect inference: a survey of recent findings
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (4)
    See also Journal Article Testing DSGE Models by Indirect Inference: a Survey of Recent Findings, Open Economies Review, Springer (2019) View citations (31) (2019)
18. The small sample properties of Indirect Inference in testing and estimating DSGE models
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)

2017

19. Classical or Gravity? Which trade model best matches the UK facts?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2017) View citations (4)
    See also Journal Article Classical or Gravity? Which Trade Model Best Matches the UK Facts?, Open Economies Review, Springer (2018) View citations (10) (2018)
20. Comparing different data descriptors in Indirect Inference tests on DSGE models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2016) View citations (13)
    See also Journal Article Comparing different data descriptors in Indirect Inference tests on DSGE models, Economics Letters, Elsevier (2016) View citations (13) (2016)
21. Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
22. Testing part of a DSGE model by Indirect Inference
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2016)
    See also Journal Article Testing Part of a DSGE Model by Indirect Inference, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2019) View citations (14) (2019)
23. What is the truth about DSGE models? Testing by indirect inference
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2016) View citations (2)

2016

24. Almost Unbiased Variance Estimation in Simultaneous Equation Models
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2015

25. Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
26. Testing macro models by indirect inference: a survey for users
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (22)
    See also Journal Article Testing Macro Models by Indirect Inference: A Survey for Users, Open Economies Review, Springer (2016) View citations (69) (2016)

2014

27. How good are out of sample forecasting Tests on DSGE models?
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014)
    See also Journal Article How Good are Out of Sample Forecasting Tests on DSGE Models?, Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer (2015) View citations (10) (2015)

2013

28. Testing weak exogeneity in multiplicative error models
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    See also Journal Article Testing weak exogeneity in multiplicative error models, Quantitative Finance, Taylor & Francis Journals (2017) (2017)
29. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    See also Journal Article The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data, Quantitative Finance, Taylor & Francis Journals (2017) View citations (11) (2017)

Journal Articles

2024

1. Asymmetric volatility spillover between crude oil and other asset markets
   Energy Economics, 2024, 130, (C) View citations (2)
   See also Working Paper Asymmetric volatility spillover between crude oil and other asset markets, Cardiff Economics Working Papers (2023) (2023)
2. Indirect Inference and Small Sample Bias — Some Recent Results
   Open Economies Review, 2024, 35, (2), 245-259
   See also Working Paper Indirect Inference and Small Sample Bias - Some Recent Results, Cardiff Economics Working Papers (2023) (2023)
3. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets
   Energy Economics, 2024, 136, (C) View citations (1)
   See also Working Paper Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets, Cardiff Economics Working Papers (2024) View citations (1) (2024)
4. Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation
   Journal of Time Series Econometrics, 2024, 16, (1), 1-27 View citations (2)

2023

5. DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
   International Journal of Forecasting, 2023, 39, (2), 938-955 View citations (5)
   See also Working Paper DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations, Cardiff Economics Working Papers (2021) (2021)
6. Testing competing world trade models against the facts of world trade
   Journal of International Money and Finance, 2023, 138, (C) View citations (2)
   See also Working Paper Testing competing world trade models against the facts of world trade, Cardiff Economics Working Papers (2021) View citations (2) (2021)
7. The pricing of unexpected volatility in the currency market
   The European Journal of Finance, 2023, 29, (17), 2032-2046
   See also Working Paper The Pricing of Unexpected Volatility in the Currency Market, Cardiff Economics Working Papers (2021) (2021)

2022

8. Computable General Equilibrium Models of Trade in the Modern Trade Policy Debate
   Open Economies Review, 2022, 33, (2), 271-309 View citations (2)
   See also Working Paper Computable General Equilibrium Models of Trade in the Modern Trade Policy Debate, Cardiff Economics Working Papers (2021) View citations (2) (2021)

2019

9. Testing DSGE Models by Indirect Inference: a Survey of Recent Findings
   Open Economies Review, 2019, 30, (3), 593-620 View citations (31)
   See also Working Paper Testing DSGE Models by indirect inference: a survey of recent findings, Cardiff Economics Working Papers (2018) View citations (4) (2018)
10. Testing Part of a DSGE Model by Indirect Inference
    Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 178-194 View citations (14)
    See also Working Paper Testing part of a DSGE model by Indirect Inference, CEPR Discussion Papers (2017) (2017)

2018

11. Classical or Gravity? Which Trade Model Best Matches the UK Facts?
    Open Economies Review, 2018, 29, (3), 579-611 View citations (10)
    See also Working Paper Classical or Gravity? Which trade model best matches the UK facts?, CEPR Discussion Papers (2017) View citations (4) (2017)
12. Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach
    International Review of Financial Analysis, 2018, 56, (C), 208-220 View citations (7)
    See also Working Paper Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach, Cardiff Economics Working Papers (2018) View citations (10) (2018)

2017

13. Testing weak exogeneity in multiplicative error models
    Quantitative Finance, 2017, 17, (10), 1617-1630
    See also Working Paper Testing weak exogeneity in multiplicative error models, Cardiff Economics Working Papers (2013) (2013)
14. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
    Quantitative Finance, 2017, 17, (7), 1021-1035 View citations (11)
    See also Working Paper The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data, Cardiff Economics Working Papers (2013) (2013)

2016

15. Comparing different data descriptors in Indirect Inference tests on DSGE models
    Economics Letters, 2016, 145, (C), 157-161 View citations (13)
    See also Working Paper Comparing different data descriptors in Indirect Inference tests on DSGE models, CEPR Discussion Papers (2017) View citations (1) (2017)
16. Testing Macro Models by Indirect Inference: A Survey for Users
    Open Economies Review, 2016, 27, (1), 1-38 View citations (69)
    See also Working Paper Testing macro models by indirect inference: a survey for users, Cardiff Economics Working Papers (2015) View citations (1) (2015)

2015

17. How Good are Out of Sample Forecasting Tests on DSGE Models?
    Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, 2015, 1, (3), 333-351 View citations (10)
    See also Working Paper How good are out of sample forecasting Tests on DSGE models?, Cardiff Economics Working Papers (2014) (2014)

Books

2015

1. Should Britain Leave the EU?
   Books, Edward Elgar Publishing View citations (14)