Details about Yongdeng Xu

Access statistics for papers by Yongdeng Xu.

Last updated 2019-02-12. Update your information in the RePEc Author Service.

Short-id: pxu72

Working Papers

2022

1. Targeting moments for calibration compared with indirect inference
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
2. The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
3. 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 (1)

2021

4. 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 (1)
5. 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
6. Testing competing world trade models against the facts of world trade
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
7. The Pricing of Unexpected Volatility in the Currency Market
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section

2018

8. 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 (6)
   See also Journal Article in International Review of Financial Analysis (2018)
9. Testing DSGE Models by indirect inference: a survey of recent findings
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section View citations (2)
10. 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

11. 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 in Open Economies Review (2018)
12. 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)
13. 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 in Oxford Bulletin of Economics and Statistics (2019)
14. 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

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

2015

16. 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 in Open Economies Review (2016)

2014

17. 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)
    See also Journal Article in Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti (2015)

2013

18. Testing weak exogeneity in multiplicative error models
    Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
    See also Journal Article in Quantitative Finance (2017)
19. 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 in Quantitative Finance (2017)

Journal Articles

2019

1. Testing Part of a DSGE Model by Indirect Inference
   Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 178-194 View citations (12)
   See also Working Paper (2017)

2018

2. Classical or Gravity? Which Trade Model Best Matches the UK Facts?
   Open Economies Review, 2018, 29, (3), 579-611 View citations (7)
   See also Working Paper (2017)
3. 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 (6)
   See also Working Paper (2018)

2017

4. Testing weak exogeneity in multiplicative error models
   Quantitative Finance, 2017, 17, (10), 1617-1630
   See also Working Paper (2013)
5. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
   Quantitative Finance, 2017, 17, (7), 1021-1035 View citations (8)
   See also Working Paper (2013)

2016

6. Comparing different data descriptors in Indirect Inference tests on DSGE models
   Economics Letters, 2016, 145, (C), 157-161 View citations (10)
7. Testing Macro Models by Indirect Inference: A Survey for Users
   Open Economies Review, 2016, 27, (1), 1-38 View citations (59)
   See also Working Paper (2015)

2015

8. 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 (7)
   See also Working Paper (2014)

Books

2015

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