6
H index
2
i10 index
80
Citations
Xu, Dinghai : Citation Profile
University of Waterloo | RESEARCH PRODUCTION: 16 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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17 years (2008 - 2025). 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:
| Cites to:
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Main data
Where Xu, Dinghai has published?
| Journals with more than one article published | # docs |
|---|---|
| Applied Economics | 3 |
| Econometric Reviews | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / University of Waterloo, Department of Economics | 13 |
| Working Papers / Toronto Metropolitan University, Department of Economics | 2 |
Recent works citing Xu, Dinghai (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Stock Market Returns Volatility and Its Effect on the Growth of the Listed Companies in Kenya. (2025). Njuguna, Angelica ; Ngigi, Daniel. In: African Journal of Economic Review. RePEc:ags:afjecr:362948. Full description at Econpapers || Download paper |
| 2025 | Switching the leverage switch. (2025). Marn, Juan Miguel ; Romero, Eva ; Lopes, Mara Helena. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:47005. Full description at Econpapers || Download paper |
| 2024 | Equity markets volatility clustering: A multiscale analysis of intraday and overnight returns. (2024). Zhang, Yali ; Zhao, Xiaojun ; Shang, Pengjian ; Xu, Chao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000227. Full description at Econpapers || Download paper |
| 2024 | An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239. Full description at Econpapers || Download paper |
| 2024 | Simulating and assessing carbon markets: Application to the Korean and the EU ETSs. (2024). Yoon, Soeun ; Jung, Seoyoung ; Jang, Minchul ; Min, Baehyun. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:195:y:2024:i:c:s1364032124000698. Full description at Econpapers || Download paper |
| 2025 | Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital. (2025). Çevik, Emrah ; Goodell, John W ; Gunay, Samet ; Cevik, Emrah Ismail ; Kenc, Turalay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:97:y:2025:i:c:s1059056024007718. Full description at Econpapers || Download paper |
| 2024 | Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654. Full description at Econpapers || Download paper |
| 2024 | Investigation of Swedish krona exchange rate volatility by APARCH-Support Vector Regression. (2024). Li, Yushu ; Kim Karlsson, Hyunjoo. In: Working Papers in Economics and Statistics. RePEc:hhs:vxesta:2024_010. Full description at Econpapers || Download paper |
| 2025 | Mesoscopic structure of the stock market and portfolio optimization. (2025). Zema, Sebastiano Michele ; Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:20:y:2025:i:2:d:10.1007_s11403-024-00426-y. Full description at Econpapers || Download paper |
| 2025 | Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers. (2025). Kang, Sang Hoon ; McMillan, David ; Mensi, Walid ; al Rababaa, Abdel Razzaq. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1294-1325. Full description at Econpapers || Download paper |
| 2024 | Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Tingting, Ying ; Shi, Yanlong ; Yafeng, Shi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:57-74. Full description at Econpapers || Download paper |
Works by Xu, Dinghai:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Random Matrix Application to Correlations Among Volatility of Assets In: Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | Random matrix application to correlations amongst the volatility of assets.(2016) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2025 | Extreme comovements and downside/upside risk spillovers between oil prices and exchange rates In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
| 2018 | Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 2008 | Modeling the leverage effect with copulas and realized volatility In: Finance Research Letters. [Full Text][Citation analysis] | article | 10 |
| 2015 | Is volatility clustering of asset returns asymmetric? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 29 |
| 2014 | Is Volatility Clustering of Asset Returns Asymmetric?.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2022 | Canadian stock market volatility under COVID-19 In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 6 |
| 2020 | Canadian Stock Market Volatility under COVID-19.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2012 | Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach In: Frontiers of Economics in China-Selected Publications from Chinese Universities. [Full Text][Citation analysis] | article | 0 |
| 2011 | Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2008 | Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2009 | Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2013 | Stochastic volatility model under a discrete mixture-of-normal specification In: Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | Modelling asset returns under price limits with mixture of truncated Gaussian distribution In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2021 | Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China In: Applied Economics. [Full Text][Citation analysis] | article | 3 |
| 2024 | “Good” and “bad” volatilities: a realized semivariance GARCH approach In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters In: Econometric Reviews. [Full Text][Citation analysis] | article | 2 |
| 2008 | Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | GMM estimation of a realized stochastic volatility model: A Monte Carlo study In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2008 | An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | An Efficient Estimation for Switching Regression Models: A Monte Carlo Study In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2010 | A Threshold Stochastic Volatility Model with Realized Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Continuous Empirical Characteristic Function Estimation of GARCH Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | A study on volatility spurious almost integration effect: A threshold realized GARCH approach.(2021) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team