Xu, Dinghai
Names
Identifer
Contact
Affiliations
-
University of Waterloo
/ Department of Economics
Research profile
author of:
- Random Matrix Application to Correlations Among Volatility of Assets (RePEc:arx:papers:1310.1601)
by Ajay Singh & Dinghai Xu - Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market (RePEc:eee:ecmode:v:80:y:2019:i:c:p:383-391)
by Ji, Jingru & Wang, Donghua & Xu, Dinghai - Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits (RePEc:eee:empfin:v:57:y:2020:i:c:p:52-70)
by Ji, Jingru & Wang, Donghua & Xu, Dinghai & Xu, Chi - Modeling the leverage effect with copulas and realized volatility (RePEc:eee:finlet:v:5:y:2008:i:4:p:221-227)
by Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S. - Is volatility clustering of asset returns asymmetric? (RePEc:eee:jbfina:v:52:y:2015:i:c:p:62-76)
by Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S. - Canadian stock market volatility under COVID-19 (RePEc:eee:reveco:v:77:y:2022:i:c:p:159-169)
by Xu, Dinghai - Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach (RePEc:fec:journl:v:7:y:2012:i:1:p:22-43)
by Dinghai Xu & Yuying Li - Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach (RePEc:oup:jfinec:v:9:y:2011:i:3:p:469-488)
by Dinghai Xu & John Knight & Tony S. Wirjanto - Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data (RePEc:rye:wpaper:wp006)
by Cathy Ning & Dinghai Xu & Tony Wirjanto - Is Volatility Clustering of Asset Returns Asymmetric? (RePEc:rye:wpaper:wp050)
by Cathy Ning & Dinghai Xu & Tony Wirjanto - Stochastic volatility model under a discrete mixture-of-normal specification (RePEc:spr:jecfin:v:37:y:2013:i:2:p:216-239)
by Dinghai Xu & John Knight - Modelling asset returns under price limits with mixture of truncated Gaussian distribution (RePEc:taf:applec:v:52:y:2020:i:52:p:5706-5725)
by Dinghai Xu - Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China (RePEc:taf:applec:v:53:y:2021:i:7:p:781-804)
by Donghua Wang & Jin Ding & Guoqing Chu & Dinghai Xu & Tony S. Wirjanto - Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters (RePEc:taf:emetrv:v:30:y:2011:i:1:p:25-50)
by Dinghai Xu & John Knight - GMM estimation of a realized stochastic volatility model: A Monte Carlo study (RePEc:taf:emetrv:v:37:y:2018:i:7:p:719-743)
by Pierre Chaussé & Dinghai Xu - Random matrix application to correlations amongst the volatility of assets (RePEc:taf:quantf:v:16:y:2016:i:1:p:69-83)
by Ajay Singh & Dinghai Xu - Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters (RePEc:wat:wpaper:08006)
by Dinghai Xu & John Knight - Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach" (RePEc:wat:wpaper:08007)
by Dinghai Xu & John Knight & Tony S. Wirjanto - An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility (RePEc:wat:wpaper:08008)
by Dinghai Xu & Tony S. Wirjanto - An Efficient Estimation for Switching Regression Models: A Monte Carlo Study (RePEc:wat:wpaper:0903)
by Dinghai Xu - The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey (RePEc:wat:wpaper:0904)
by Dinghai Xu - Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data (RePEc:wat:wpaper:1001)
by Cathy Ning & Dinghai Xu & Tony Wirjanto - Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach (RePEc:wat:wpaper:1002)
by Dinghai Xu & Yuying Li - A Threshold Stochastic Volatility Model with Realized Volatility (RePEc:wat:wpaper:1003)
by Dinghai Xu - GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study (RePEc:wat:wpaper:1203)
by Pierre Chausse & Dinghai Xu - Continuous Empirical Characteristic Function Estimation of GARCH Models (RePEc:wat:wpaper:1204)
by Dinghai Xu - Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market (RePEc:wat:wpaper:1806)
by Dinghai Xu & Jingru Ji & Donghua Wang - A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach (RePEc:wat:wpaper:1903)
by Dinghai Xu - Canadian Stock Market Volatility under COVID-19 (RePEc:wat:wpaper:2001)
by Dinghai Xu - A study on volatility spurious almost integration effect: A threshold realized GARCH approach (RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4104-4126)
by Dinghai Xu