Xu, Dinghai : Citation Profile


Are you Xu, Dinghai?

University of Waterloo

5

H index

1

i10 index

69

Citations

RESEARCH PRODUCTION:

14

Articles

16

Papers

RESEARCH ACTIVITY:

   14 years (2008 - 2022). See details.
   Cites by year: 4
   Journals where Xu, Dinghai has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 7 (9.21 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pxu46
   Updated: 2024-07-05    RAS profile: 2023-11-08    
   Missing citations? Add them    Incorrect content? Let us know

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)

Hafner, Christian (3)

Fagiolo, Giorgio (2)

serra, teresa (2)

van Dijk, Dick (1)

Rizvi, Syed Aun R. (1)

PĂ©rez-RodrĂ­guez, Jorge (1)

Tedeschi, Marco (1)

Veiga, Helena (1)

Ruiz, Esther (1)

Lau, Chi Keung (1)

Cites to:

Bollerslev, Tim (39)

Shephard, Neil (27)

Andersen, Torben (21)

Hansen, Peter (19)

Engle, Robert (15)

Yu, Jun (13)

Lunde, Asger (13)

Diebold, Francis (11)

Lopez, Jose (9)

Bauwens, Luc (9)

Bos, Charles (7)

Main data


Where Xu, Dinghai has published?


Journals with more than one article published# docs
Applied Economics2
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 (2024 and 2023)


YearTitle of citing document
2023From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Sequential Bayesian inference for agent-based models with application to the Chinese business cycle. (2023). Wang, Qianchao ; Li, Yong ; Zhang, Qiaosen. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323001931.

Full description at Econpapers || Download paper

2023Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?. (2023). Vo, Xuan Vinh ; Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000189.

Full description at Econpapers || Download paper

2023Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash. (2023). Tedeschi, Marco ; Zhang, Anqi ; Tarczyska-Uniewska, Magorzata ; Mallek, Sabrine ; Si, Kamel. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723005093.

Full description at Econpapers || Download paper

2023The relationship between oil prices and the indices of renewable energy and technology companies based on QQR and GCQ techniques. (2023). Mellit, A ; Si, K. In: Renewable Energy. RePEc:eee:renene:v:209:y:2023:i:c:p:97-105.

Full description at Econpapers || Download paper

2023Impact of fiscal stimulus on volatility: A cross-country analysis. (2023). Erath, Marc ; Venkateswaran, Anand ; Gu, Tiantian. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000818.

Full description at Econpapers || Download paper

2023Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

Full description at Econpapers || Download paper

2024Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Shi, Yanlong ; Yafeng, Shi ; Tingting, Ying. 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:


YearTitleTypeCited
2013Random Matrix Application to Correlations Among Volatility of Assets In: Papers.
[Full Text][Citation analysis]
paper5
2016Random matrix application to correlations amongst the volatility of assets.(2016) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
article
2019Modelling 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]
article2
2018Modelling 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
2020Combining 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]
article0
2008Modeling the leverage effect with copulas and realized volatility In: Finance Research Letters.
[Full Text][Citation analysis]
article9
2015Is volatility clustering of asset returns asymmetric? In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article22
2014Is Volatility Clustering of Asset Returns Asymmetric?.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22
paper
2022Canadian stock market volatility under COVID-19 In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article6
2020Canadian Stock Market Volatility under COVID-19.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6
paper
2012Select 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]
article0
2011Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article6
2008Asymmetric 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
2009Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data In: Working Papers.
[Full Text][Citation analysis]
paper3
2010Modeling 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
2013Stochastic volatility model under a discrete mixture-of-normal specification In: Journal of Economics and Finance.
[Full Text][Citation analysis]
article0
2020Modelling asset returns under price limits with mixture of truncated Gaussian distribution In: Applied Economics.
[Full Text][Citation analysis]
article0
2021Modelling 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]
article3
2011Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters In: Econometric Reviews.
[Full Text][Citation analysis]
article2
2008Continuous 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
2018GMM estimation of a realized stochastic volatility model: A Monte Carlo study In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2008An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility In: Working Papers.
[Full Text][Citation analysis]
paper2
2009An Efficient Estimation for Switching Regression Models: A Monte Carlo Study In: Working Papers.
[Full Text][Citation analysis]
paper0
2009The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey In: Working Papers.
[Full Text][Citation analysis]
paper6
2010Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach In: Working Papers.
[Full Text][Citation analysis]
paper1
2010A Threshold Stochastic Volatility Model with Realized Volatility In: Working Papers.
[Full Text][Citation analysis]
paper2
2012GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study In: Working Papers.
[Full Text][Citation analysis]
paper0
2012Continuous Empirical Characteristic Function Estimation of GARCH Models In: Working Papers.
[Full Text][Citation analysis]
paper0
2019A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach In: Working Papers.
[Full Text][Citation analysis]
paper0
2021A 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. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team