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Yongdeng Xu

Personal Details

First Name:Yongdeng
Middle Name:
Last Name:Xu
Suffix:
RePEc Short-ID:pxu72
[This author has chosen not to make the email address public]
Aberconway Building, Colum Drive, CARDIFF, CF10 3EU

Affiliation

Economics Section
Cardiff Business School
Cardiff University

Cardiff, United Kingdom
http://www.cardiff.ac.uk/business-school/research/themes/economics
RePEc:edi:ecscfuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula & Zopounidis, Constantin, 2026. "Enforcing an Admissible Parameter Space for Vector MEM: The Fundamental Role of Matrix Inequality Constraints," Cardiff Economics Working Papers E2026/3, Cardiff University, Cardiff Business School, Economics Section.
  2. Xu, Yongdeng & Lyu, Juyi & Lu, Wenna, 2026. "Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting," Cardiff Economics Working Papers E2026/4, Cardiff University, Cardiff Business School, Economics Section.
  3. Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2025. "Why Applied Macroeconomists Should Not Use Bayesian Estimation of DSGE Models," Cardiff Economics Working Papers E2025/22, Cardiff University, Cardiff Business School, Economics Section.
  4. Xu, Yongdeng & Lyu, Juyi & Mazouz, Khelifa, 2025. "Adaptive-Lasso MGARCH for the Volatility Spillover of Transition Finance," Cardiff Economics Working Papers E2025/19, Cardiff University, Cardiff Business School, Economics Section.
  5. Bauwens, Luc & Xu, Yongdeng, 2025. "The contribution of realized variance–covariance models to the economic value of volatility timing," LIDAM Reprints CORE 3348, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. Minford, Patrick & Xu, Yongdeng, 2025. "Indirect Inference for the Identification of Star Variables in Macroeconomic Models," Cardiff Economics Working Papers E2025/8, Cardiff University, Cardiff Business School, Economics Section.
  7. Minford, Patrick & Xu, Yongdeng, 2024. "Indirect Inference- a methodological essay on its role and applications," Cardiff Economics Working Papers E2024/1, Cardiff University, Cardiff Business School, Economics Section.
  8. Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
  9. Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024. "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Cardiff Economics Working Papers E2024/15, Cardiff University, Cardiff Business School, Economics Section.
  10. Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," Cardiff Economics Working Papers E2023/20, Cardiff University, Cardiff Business School, Economics Section.
  11. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2023. "Asymmetric volatility spillover between crude oil and other asset markets," Cardiff Economics Working Papers E2023/27, Cardiff University, Cardiff Business School, Economics Section.
  12. Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2023. "Indirect Inference and Small Sample Bias - Some Recent Results," Cardiff Economics Working Papers E2023/15, Cardiff University, Cardiff Business School, Economics Section.
  13. Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2022. "Targeting moments for calibration compared with indirect inference," Cardiff Economics Working Papers E2022/12, Cardiff University, Cardiff Business School, Economics Section.
  14. Meenagh, David & Minford, Patrick & Xu, Yongdeng, 2022. "Why does Indirect Inference estimation produce less small sample bias than maximum likelihood? A note," Cardiff Economics Working Papers E2022/10, Cardiff University, Cardiff Business School, Economics Section.
  15. Xu, Yongdeng, 2022. "The Exponential HEAVY Model: An Improved Approach to Volatility Modeling and Forecasting," Cardiff Economics Working Papers E2022/5, Cardiff University, Cardiff Business School, Economics Section.
  16. Lu, Wenna & Copeland, Laurence & Xu, Yongdeng, 2021. "The Pricing of Unexpected Volatility in the Currency Market," Cardiff Economics Working Papers E2021/16, Cardiff University, Cardiff Business School, Economics Section.
  17. Minford, Patrick & Xu, Yongdeng & Dong, Xue, 2021. "Testing competing world trade models against the facts of world trade," Cardiff Economics Working Papers E2021/20, Cardiff University, Cardiff Business School, Economics Section.
  18. Chen, Gang & Dong, Xue & Minford, Patrick & Qiu,Guanhua & Xu, Yongdeng & Xu, Zequn, 2021. "Computable General Equilibrium Models of Trade in the Modern Trade Policy Debate," Cardiff Economics Working Papers E2021/14, Cardiff University, Cardiff Business School, Economics Section.
  19. Bauwens, Luc & Xu, Yongdeng, 2019. "DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations," Cardiff Economics Working Papers E2019/5, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2021.
  20. BAUWENS Luc, & XU Yongdeng,, 2019. "DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations," LIDAM Discussion Papers CORE 2019025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  21. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach," Cardiff Economics Working Papers E2018/6, Cardiff University, Cardiff Business School, Economics Section.
  22. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers E2018/14, Cardiff University, Cardiff Business School, Economics Section.
  23. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "The small sample properties of Indirect Inference in testing and estimating DSGE models," Cardiff Economics Working Papers E2018/7, Cardiff University, Cardiff Business School, Economics Section.
  24. Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017. "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
  25. Minford, Patrick & Xu, Yongdeng, 2017. "Classical or Gravity? Which trade model best matches the UK facts?," Cardiff Economics Working Papers E2017/10, Cardiff University, Cardiff Business School, Economics Section.
  26. Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016. "Comparing different data descriptors in Indirect Inference tests on DSGE models," Cardiff Economics Working Papers E2016/5, Cardiff University, Cardiff Business School, Economics Section.
  27. Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016. "Testing part of a DSGE model by Indirect Inference," Cardiff Economics Working Papers E2016/12, Cardiff University, Cardiff Business School, Economics Section.
  28. Phillip, Garry & Xu, Yongdeng, 2016. "Almost Unbiased Variance Estimation in Simultaneous Equation Models," Cardiff Economics Working Papers E2016/10, Cardiff University, Cardiff Business School, Economics Section.
  29. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016. "What is the truth about DSGE models? Testing by indirect inference," Cardiff Economics Working Papers E2016/14, Cardiff University, Cardiff Business School, Economics Section.
  30. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015. "Testing macro models by indirect inference: a survey for users," Cardiff Economics Working Papers E2015/9, Cardiff University, Cardiff Business School, Economics Section.
  31. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2015. "Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results," Cardiff Economics Working Papers E2015/8, Cardiff University, Cardiff Business School, Economics Section.
  32. Minford, Patrick & Xu, Yongdeng & Zhou, Peng, 2014. "How good are out of sample forecasting Tests on DSGE models?," Cardiff Economics Working Papers E2014/11, Cardiff University, Cardiff Business School, Economics Section.
  33. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
  34. Taylor, Nick & Xu, Yongdeng, 2013. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Cardiff Economics Working Papers E2013/7, Cardiff University, Cardiff Business School, Economics Section.

Articles

  1. Yongdeng Xu & Juyi Lyu & Wenna Lu, 2026. "Adaptive LASSO-MGARCH for Multivariate Volatility Forecasting," Mathematics, MDPI, vol. 14(6), pages 1-14, March.
  2. Yongdeng Xu, 2025. "The exponential HEAVY model: an improved approach to volatility modeling and forecasting," Review of Quantitative Finance and Accounting, Springer, vol. 65(2), pages 727-748, August.
  3. Bauwens, Luc & Xu, Yongdeng, 2025. "The contribution of realized variance–covariance models to the economic value of volatility timing," International Journal of Forecasting, Elsevier, vol. 41(3), pages 1165-1183.
  4. Yongdeng Xu, 2025. "Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1266-1279, July.
  5. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2025. "Corrigendum to “Asymmetric volatility Spillover effects between Crude Oil and other financial markets” [Energy Economics Volume 130, February 2024, 107305]," Energy Economics, Elsevier, vol. 144(C).
  6. Xu, Yongdeng & Guan, Bo & Lu, Wenna & Heravi, Saeed, 2024. "Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets," Energy Economics, Elsevier, vol. 136(C).
  7. David Meenagh & Patrick Minford & Yongdeng Xu, 2024. "Indirect Inference and Small Sample Bias — Some Recent Results," Open Economies Review, Springer, vol. 35(2), pages 245-259, April.
  8. Xu Yongdeng, 2024. "Quasi Maximum Likelihood Estimation of Vector Multiplicative Error Model using the ECCC-GARCH Representation," Journal of Time Series Econometrics, De Gruyter, vol. 16(1), pages 1-27.
  9. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2024. "Asymmetric volatility spillover between crude oil and other asset markets," Energy Economics, Elsevier, vol. 130(C).
  10. Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
  11. Minford, Patrick & Xu, Yongdeng & Dong, Xue, 2023. "Testing competing world trade models against the facts of world trade," Journal of International Money and Finance, Elsevier, vol. 138(C).
  12. Wenna Lu & Laurence Copeland & Yongdeng Xu, 2023. "The pricing of unexpected volatility in the currency market," The European Journal of Finance, Taylor & Francis Journals, vol. 29(17), pages 2032-2046, November.
  13. Gang Chen & Xue Dong & Patrick Minford & Guanhua Qiu & Yongdeng Xu & Zequn Xu, 2022. "Computable General Equilibrium Models of Trade in the Modern Trade Policy Debate," Open Economies Review, Springer, vol. 33(2), pages 271-309, April.
  14. David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu, 2019. "Testing DSGE Models by Indirect Inference: a Survey of Recent Findings," Open Economies Review, Springer, vol. 30(3), pages 593-620, July.
  15. Patrick Minford & Michael Wickens & Yongdeng Xu, 2019. "Testing Part of a DSGE Model by Indirect Inference," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(1), pages 178-194, February.
  16. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 208-220.
  17. Patrick Minford & Yongdeng Xu, 2018. "Classical or Gravity? Which Trade Model Best Matches the UK Facts?," Open Economies Review, Springer, vol. 29(3), pages 579-611, July.
  18. Kul B. Luintel & Yongdeng Xu, 2017. "Testing weak exogeneity in multiplicative error models," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1617-1630, October.
  19. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
  20. Vo Le & David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu, 2016. "Testing Macro Models by Indirect Inference: A Survey for Users," Open Economies Review, Springer, vol. 27(1), pages 1-38, February.
  21. Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2016. "Comparing different data descriptors in Indirect Inference tests on DSGE models," Economics Letters, Elsevier, vol. 145(C), pages 157-161.
  22. Patrick Minford & Yongdeng Xu & Peng Zhou, 2015. "How Good are Out of Sample Forecasting Tests on DSGE Models?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 333-351, November.

Books

  1. Patrick Minford & Sakshi Gupta & Vo P.M. Le & Vidya Mahambare & Yongdeng Xu, 2015. "Should Britain Leave the EU?," Books, Edward Elgar Publishing, number 16679.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 36 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (24) 2013-05-05 2013-05-05 2014-08-09 2015-08-19 2015-08-30 2016-05-14 2016-11-20 2016-12-18 2017-01-01 2017-02-19 2017-11-12 2018-07-09 2019-02-25 2020-01-20 2022-03-28 2022-06-20 2022-07-25 2023-06-12 2023-08-14 2024-02-05 2025-01-13 2025-11-24 2026-07-13 2026-07-20. Author is listed
  2. NEP-DGE: Dynamic General Equilibrium (14) 2014-08-09 2014-12-29 2015-08-19 2015-08-30 2016-05-14 2016-12-18 2017-01-01 2017-02-19 2017-02-19 2017-02-19 2018-03-19 2018-07-09 2022-07-25 2025-11-24. Author is listed
  3. NEP-ETS: Econometric Time Series (12) 2013-05-05 2013-05-05 2014-08-09 2018-03-19 2019-02-25 2022-03-28 2022-06-20 2023-08-14 2025-01-13 2025-11-24 2026-07-13 2026-07-20. Author is listed
  4. NEP-MAC: Macroeconomics (12) 2014-08-09 2014-12-29 2015-08-19 2015-08-30 2015-08-30 2016-05-14 2016-12-18 2017-01-01 2017-02-19 2018-03-19 2018-07-09 2022-07-25. Author is listed
  5. NEP-RMG: Risk Management (6) 2016-11-20 2022-03-28 2023-08-14 2023-12-04 2024-08-12 2025-01-13. Author is listed
  6. NEP-FOR: Forecasting (5) 2014-08-09 2014-12-29 2015-08-30 2019-02-25 2026-07-20. Author is listed
  7. NEP-INT: International Trade (5) 2013-05-05 2017-09-10 2018-02-12 2021-07-12 2021-08-23. Author is listed
  8. NEP-CWA: Central and Western Asia (2) 2021-07-12 2022-03-28
  9. NEP-ENE: Energy Economics (2) 2024-08-12 2026-07-20
  10. NEP-GER: German Papers (2) 2015-08-30 2015-08-30
  11. NEP-ORE: Operations Research (2) 2021-07-12 2021-07-12
  12. NEP-CMP: Computational Economics (1) 2021-08-23
  13. NEP-FMK: Financial Markets (1) 2021-07-12
  14. NEP-ISF: Islamic Finance (1) 2021-08-23
  15. NEP-KNM: Knowledge Management and Knowledge Economy (1) 2018-07-09
  16. NEP-MST: Market Microstructure (1) 2013-05-05

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