Xu, Dinghai : Citation Profile


Are you Xu, Dinghai?

University of Waterloo

3

H index

1

i10 index

33

Citations

RESEARCH PRODUCTION:

8

Articles

14

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 3
   Journals where Xu, Dinghai has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 3 (8.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxu46
   Updated: 2019-04-20    RAS profile: 2018-09-21    
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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)

Brzeszczynski, Janusz (1)

Veiga, Helena (1)

van Dijk, Dick (1)

Aloui, Chaker (1)

Chu, Ba (1)

Lau, Chi Keung (1)

Hafner, Christian (1)

Ruiz, Esther (1)

Cites to:

Bollerslev, Tim (29)

Shephard, Neil (19)

Andersen, Torben (17)

Yu, Jun (11)

Knight, John (11)

Barndorff-Nielsen, Ole (10)

Hansen, Peter (10)

Diebold, Francis (9)

Lunde, Asger (9)

Ruiz, Esther (7)

Harvey, Andrew (6)

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 Economics11
Working Papers / Ryerson University, Department of Economics2

Recent works citing Xu, Dinghai (2018 and 2017)


YearTitle of citing document
2017The q-dependent detrended cross-correlation analysis of stock market. (2017). Zhao, Longfeng ; Stanley, Eugene H ; Wang, Yougui ; Podobnik, Boris ; Fenu, Andrea ; Li, Wei. In: Papers. RePEc:arx:papers:1705.01406.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018Interdependence and asymmetries: Latin American ADRs and developed markets. (2018). Costa, Ana Carolina ; Gaio, Luiz Eduardo ; Junior, Tabajara Pimenta . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:15:y:2018:i:4:p391-409.

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2017Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis. (2017). Nguyen, Phong ; Liu, Wei-Han. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:1:p:43-76.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2017Threshold stochastic volatility: Properties and forecasting. (2017). Veiga, Helena ; Ruiz, Esther ; Mao, Xiuping. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1105-1123.

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2017Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets. (2017). Li, Qingchen ; Zhang, Minjia ; Cao, Guangxi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:472:y:2017:i:c:p:67-76.

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2017An examination of the risk-return relation in the Australian housing market. (2017). Lee, Chyi Lin. In: International Journal of Housing Markets and Analysis. RePEc:eme:ijhmap:ijhma-07-2016-0052.

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2017Regime Switching Vine Copula Models for Global Equity and Volatility Indices. (2017). Fink, Holger ; Stober, Jakob ; Czado, Claudia ; Klimova, Yulia . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:3-:d:86821.

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2018Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices. (2018). Cansado-Bravo, Pablo ; Rodriguez-Monroy, Carlos. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3486-:d:190416.

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2018Trending Mixture Copula Models with Copula Selection. (2018). Hafner, Christian ; Liu, Guannan ; Cai, Zongwu ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201809.

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2017Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels. (2017). Correia, Pedro ; Henrique, Pedro . In: Computational Management Science. RePEc:spr:comgts:v:14:y:2017:i:2:d:10.1007_s10287-016-0267-0.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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Works by Xu, Dinghai:


YearTitleTypeCited
2013Random Matrix Application to Correlations Among Volatility of Assets In: Papers.
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paper2
2008Modeling the leverage effect with copulas and realized volatility In: Finance Research Letters.
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article3
2015Is volatility clustering of asset returns asymmetric? In: Journal of Banking & Finance.
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article15
2014Is Volatility Clustering of Asset Returns Asymmetric?.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 15
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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article5
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: 5
paper
2009Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data In: Working Papers.
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paper2
2010Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data.(2010) In: Working Papers.
[Full Text][Citation analysis]
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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article1
2008Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2018GMM estimation of a realized stochastic volatility model: A Monte Carlo study In: Econometric Reviews.
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article0
2016Random matrix application to correlations amongst the volatility of assets In: Quantitative Finance.
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article1
2008An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility In: Working Papers.
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paper1
2009An Efficient Estimation for Switching Regression Models: A Monte Carlo Study In: Working Papers.
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paper0
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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paper0
2010A Threshold Stochastic Volatility Model with Realized Volatility In: Working Papers.
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paper1
2012GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study In: Working Papers.
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paper0
2012Continuous Empirical Characteristic Function Estimation of GARCH Models In: Working Papers.
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paper0
2018Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market In: Working Papers.
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paper0

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