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Dinghai Xu

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Personal Details

First Name: Dinghai
Middle Name:
Last Name: Xu
Suffix:

RePEc Short-ID: pxu46

Email: [This author has chosen not to make the email address public]
Homepage: http://arts.uwaterloo.ca/~dhxu/
Postal Address:
Phone:

Affiliation

Department of Economics
University of Waterloo
Location: Waterloo, Canada
Homepage: http://economics.uwaterloo.ca/
Email:
Phone: (519) 888-4567 ext 33695
Fax: (519) 725-0530
Postal: Waterloo, Ontario, N2L 3G1
Handle: RePEc:edi:dewatca (more details at EDIRC)

Works

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Working papers

  1. Ajay Singh & Dinghai Xu, 2013. "Random Matrix Application to Correlations Among Volatility of Assets," Papers 1310.1601, arXiv.org.
  2. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
  3. Dinghai Xu, 2012. "Continuous Empirical Characteristic Function Estimation of GARCH Models," Working Papers 1204, University of Waterloo, Department of Economics, revised May 2012.
  4. Dinghai Xu, 2010. "A Threshold Stochastic Volatility Model with Realized Volatility," Working Papers 1003, University of Waterloo, Department of Economics, revised May 2010.
  5. Dinghai Xu & Yuying Li, 2010. "Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach," Working Papers 1002, University of Waterloo, Department of Economics, revised May 2010.
  6. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2009. "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers 006, Ryerson University, Department of Economics.
  7. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
  8. Dinghai Xu, 2009. "An Efficient Estimation for Switching Regression Models: A Monte Carlo Study," Working Papers 0903, University of Waterloo, Department of Economics, revised Apr 2009.
  9. Dinghai Xu & Tony S. Wirjanto, 2008. "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility," Working Papers 08008, University of Waterloo, Department of Economics.
  10. Dinghai Xu & John Knight & Tony S. Wirjanto, 2008. "Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"," Working Papers 08007, University of Waterloo, Department of Economics.
  11. Dinghai Xu & John Knight, 2008. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Working Papers 08006, University of Waterloo, Department of Economics.

Articles

  1. Dinghai Xu & John Knight, 2013. "Stochastic volatility model under a discrete mixture-of-normal specification," Journal of Economics and Finance, Springer, vol. 37(2), pages 216-239, April.
  2. Dinghai Xu & John Knight, 2011. "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters," Econometric Reviews, Taylor & Francis Journals, vol. 30(1), pages 25-50.
  3. Dinghai Xu & John Knight & Tony S. Wirjanto, 2011. "Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(3), pages 469-488, Summer.
  4. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2008. "Modeling the leverage effect with copulas and realized volatility," Finance Research Letters, Elsevier, vol. 5(4), pages 221-227, December.

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2009-10-10
  2. NEP-ECM: Econometrics (11) 2009-01-03 2009-01-03 2009-01-03 2009-05-23 2009-10-10 2009-11-14 2010-05-15 2010-05-15 2012-09-03 2012-09-03 2013-10-11. Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2009-11-14 2010-05-15 2010-05-15 2010-05-15 2012-09-03 2012-09-03 2013-10-11. Author is listed
  4. NEP-MST: Market Microstructure (4) 2009-11-14 2010-05-15 2010-05-15 2010-05-15. Author is listed
  5. NEP-ORE: Operations Research (5) 2009-01-03 2009-05-23 2009-10-10 2010-05-15 2012-09-03. Author is listed
  6. NEP-RMG: Risk Management (2) 2009-01-03 2013-10-11

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