Associate Professor

Dinghai Xudhxu@uwaterloo.ca
519-888-4567 x32047
Office: HH 201
Personal website

BA (CTBU - China); MA (Windsor); PhD (Western Ontario)

Areas of specialization: Financial econometrics; Empirical finance; Applied econometrics

Selected publications

Working papers

  • "Canadian Stock Market Volatility under COVID-19 ", under review, 2020.
  • "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach", R & R, 2020.
  • "Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China", (with Donghua Wang, Jin Ding, Guoqing Chu, TonyWirjanto), R & R , 2020.
  • "Modelling Stylized Features of Stock Returns with a Vine Copula", (with Cathy Ning and Wanling Huang), R & R , 2020.
  • "On Persistence of Implied Volatility: Evidence from SP500", (with Ajay Singh), 2018.
  • "Truncated/Censored financial modelling: Applications to stock markets with price limits", (with Lisa Lin), 2017.
  • "An ISE Approach to Gaussian GARCH Models", 2017..
  • "A Mixture-of-Normals Distribution Modeling Approach in Financial Econometrics: A Selected Review", (with Tony Wirjanto), 2015.
  • "Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis", (with Tony Wirjanto), 2012.
  • "Value at Risk with Bivariate Mixture of Normals Stochastic Volatility Models and Independent Component Analysis", (with Tony Wirjanto), TD-UW Computational Research Partnership Project, 2008.
Affiliation: 
University of Waterloo