Dinghai Xu

发表

Random matrix application to correlations amongst the volatility of assets

Ajay Singh, Dinghai Xu, 2016 .

Stochastic volatility model under a discrete mixture-of-normal specification

J. Knight, Dinghai Xu, 2013 .

Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters

Dinghai Xu, John Knight, J. Knight, 2010 .

2 CECF Estimator and Its Asymptotic Properties 2 . 1 Closed Form Objective Distance Measure

J. Knight, Dinghai Xu, 2007 .

GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study

P. Chaussé, Dinghai Xu, 2012 .

Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China

T. Wirjanto, Dinghai Xu, Donghua Wang, 2020 .

Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market

Dinghai Xu, Donghua Wang, Jingru Ji, 2019, Economic Modelling.

A Threshold Stochastic Volatility Model with Realized Volatility

Dinghai Xu, 2010 .

Modelling asset returns under price limits with mixture of truncated Gaussian distribution

Dinghai Xu, 2020 .

Stochastic volatility model under a discrete mixture-of-normal specification

J. Knight, Dinghai Xu, 2011, Journal of Economics and Finance.

Examining realized volatility regimes under a threshold stochastic volatility model

Dinghai Xu, 2012 .

An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying Volatility

T. Wirjanto, Dinghai Xu, 2010, The Journal of Derivatives.

An Efficient Estimation for Switching Regression Models: A Monte Carlo Study

Dinghai Xu, Dinghai Xu, 2009, Commun. Stat. Simul. Comput..

A study on volatility spurious almost integration effect: A threshold realized GARCH approach

Dinghai Xu, 2020 .

The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey

Dinghai Xu, Dinghai Xu, 2009 .

Asymmetric Stochastic Conditional Duration Model — A Mixture-of-Normal Approach

Tony S. Wirjanto, Dinghai Xu, John Knight, 2011 .

Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Yuying Li, Dinghai Xu, 2012 .

Continuous Empirical Characteristic Function Estimation of GARCH Models

Dinghai Xu, 2012 .

Canadian stock market volatility under COVID-19

Dinghai Xu, 2020, International Review of Economics & Finance.

Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits

Dinghai Xu, Donghua Wang, Jingru Ji, 2020 .

International Review of Economics and Finance

Ling Feng, Ching-Yi Lin, Ching-Yi Lin, 2013 .

Is Volatility Clustering of Asset Returns Asymmetric

Tony S. Wirjanto, Dinghai Xu, T. Wirjanto, 2015 .

GMM estimation of a realized stochastic volatility model: A Monte Carlo study

P. Chaussé, Dinghai Xu, 2018 .

Random Matrix Application to Correlations Among Volatility of Assets

Ajay Singh, Dinghai Xu, 2013, 1310.1601.