5
H index
1
i10 index
73
Citations
Xu, Dinghai : Citation Profile
University of Waterloo | RESEARCH PRODUCTION: 15 Articles 16 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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16 years (2008 - 2024). 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 (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | From 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 |
| 2023 | Sequential 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 |
| 2023 | Portfolio 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 |
| 2023 | Realized 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 |
| 2023 | The 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 |
| 2024 | Simulating and assessing carbon markets: Application to the Korean and the EU ETSs. (2024). Min, Baehyun ; Jung, Seoyoung ; Yoon, Soeun ; Jang, Minchul. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:195:y:2024:i:c:s1364032124000698. Full description at Econpapers || Download paper |
| 2023 | Impact 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 |
| 2023 | Multivariate 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 |
| 2024 | Can 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:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Random Matrix Application to Correlations Among Volatility of Assets In: Papers. [Full Text][Citation analysis] | paper | 5 |
| 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: 5 | article | |
| 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 | 9 |
| 2015 | Is volatility clustering of asset returns asymmetric? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 25 |
| 2014 | Is Volatility Clustering of Asset Returns Asymmetric?.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | 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 | 2 |
| 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 November, 3 2024. Contact: CitEc Team