Xu, Dinghai : Citation Profile


Are you Xu, Dinghai?

University of Waterloo

3

H index

1

i10 index

42

Citations

RESEARCH PRODUCTION:

10

Articles

16

Papers

RESEARCH ACTIVITY:

   12 years (2008 - 2020). See details.
   Cites by year: 3
   Journals where Xu, Dinghai has often published
   Relations with other researchers
   Recent citing documents: 8.    Total self citations: 4 (8.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxu46
   Updated: 2020-11-21    RAS profile: 2020-07-05    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Xu, Dinghai.

Is cited by:

Wirjanto, Tony (4)

serra, teresa (2)

van Dijk, Dick (1)

Hafner, Christian (1)

Chu, Ba (1)

Lau, Chi Keung (1)

Brzeszczynski, Janusz (1)

Guangxi, Cao (1)

Veiga, Helena (1)

Ruiz, Esther (1)

Aloui, Chaker (1)

Cites to:

Bollerslev, Tim (31)

Shephard, Neil (25)

Andersen, Torben (17)

Hansen, Peter (15)

Barndorff-Nielsen, Ole (12)

Diebold, Francis (11)

Yu, Jun (11)

Knight, John (11)

Engle, Robert (10)

Lunde, Asger (10)

Lopez, Jose (7)

Main data


Where Xu, Dinghai has published?


Journals with more than one article published# docs
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Working Papers / University of Waterloo, Department of Economics13
Working Papers / Ryerson University, Department of Economics2

Recent works citing Xu, Dinghai (2020 and 2019)


YearTitle of citing document
2020Can Technical Indicators Provide Information for Future Volatility: International Evidence. (2020). Xun, Peng ; Tingting, Ying ; Nenghui, Zhu ; Yanlong, Shi ; Xiangxing, Tao ; Yafeng, Shi. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:8:y:2020:i:1:p:53-66:n:4.

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2020Asymmetric risk spillovers between Shanghai and Hong Kong stock markets under China’s capital account liberalization. (2020). He, Jianmin ; Li, Shouwei ; Wei, YU ; Yang, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302384.

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2019Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility. (2019). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:74-81.

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2020Forecasting volatility using realized stochastic volatility model with time-varying leverage effect. (2020). Wang, Xiaona ; Wu, Xinyu. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319305021.

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2019Threshold Stochastic Conditional Duration Model for Financial Transaction Data. (2019). Wirjanto, Tony S ; Kolkiewicz, Adam W ; Men, Zhongxian. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:88-:d:230954.

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2020Shaking Stability: COVID-19 Impact on the Visegrad Group Countries’ Financial Markets. (2020). Laputkova, Adriana ; Beneova, Irena ; Kotyza, Pavel ; Wielechowski, Micha ; Czech, Katarzyna. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6282-:d:394421.

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2020Triple Regime Stochastic Volatility Model with Threshold and Leverage Effects. (2020). Lee, Eunhee ; Han, Heejoon. In: Korean Economic Review. RePEc:kea:keappr:ker-20200701-36-2-07.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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Works by Xu, Dinghai:


YearTitleTypeCited
2013Random Matrix Application to Correlations Among Volatility of Assets In: Papers.
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2016Random matrix application to correlations amongst the volatility of assets.(2016) In: Quantitative Finance.
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This paper has another version. Agregated cites: 2
article
2019Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market In: Economic Modelling.
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article0
2018Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market.(2018) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2020Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits In: Journal of Empirical Finance.
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article0
2008Modeling the leverage effect with copulas and realized volatility In: Finance Research Letters.
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article7
2015Is volatility clustering of asset returns asymmetric? In: Journal of Banking & Finance.
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article18
2014Is Volatility Clustering of Asset Returns Asymmetric?.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 18
paper
2012Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach In: Frontiers of Economics in China.
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article0
2011Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach In: Journal of Financial Econometrics.
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article6
2008Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2009Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data In: Working Papers.
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2010Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2013Stochastic volatility model under a discrete mixture-of-normal specification In: Journal of Economics and Finance.
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article0
2011Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters In: Econometric Reviews.
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article2
2008Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2018GMM estimation of a realized stochastic volatility model: A Monte Carlo study In: Econometric Reviews.
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article0
2008An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility In: Working Papers.
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2009An Efficient Estimation for Switching Regression Models: A Monte Carlo Study In: Working Papers.
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2009The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey In: Working Papers.
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paper2
2010Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach In: Working Papers.
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2010A Threshold Stochastic Volatility Model with Realized Volatility In: Working Papers.
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2012GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study In: Working Papers.
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2012Continuous Empirical Characteristic Function Estimation of GARCH Models In: Working Papers.
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2019A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach In: Working Papers.
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2020Canadian Stock Market Volatility under COVID-19 In: Working Papers.
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