Associate Professor

Dinghai Xu.dhxu@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

  • Dinghai Xu, John Knight and Tony Wirjanto, “Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach ", Journal of Financial Econometrics. Forthcoming.
  • Dinghai Xu and John Knight, "Stochastic Volatility Model under a Discrete Mixture-of-Normal Specification", Journal of Economics and Finance. Forthcoming.
  • Dinghai Xu and John Knight, “Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters”, Econometric Reviews, 30 (1), 25-50, 2011.
  • Dinghai Xu, “An Efficient Estimation on Switching Regression Models: A Monte Carlo Study," Communication in Statistics: Simulation and Computation, 39(7), 1403-1421, 2010.
  • Dinghai Xu and Tony Wirjanto, “An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volarility", Journal of Derivatives, 18 (1), 39-58, 2010.
  • Cathy Ning, Dinghai Xu and Tony Wirjanto, "Modelling Leverage Effect With Copulas and Realized Volatility", Finance Research Letters, Vol 5 (4), 221-227, 2008.

Working papers

  • Dinghai Xu, "A Threshold Stochastic Volatility Model with Realized Volatility",(2010), Submitted. 
  • Dinghai Xu, Yuying Li, "Empirical Evidence of Leverage Effect In A Stochastic Volatility Model: A Realized Volatility Approach", (2010), Submitted. 
  • Dinghai Xu, Tony Wirjanto, “Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis", (2010), Submitted.
  • Dinghai Xu, Tony Wirjanto, “A Mixture-of-Normals Distribution Modeling Approach in Financial Econometrics: A Selected Review ”, (2010), Submitted.
  • Cathy Ning, Dinghai Xu, Tony Wirjanto, "Modeling Asymmetric  Volatility Clusters using Copulas and High Frequency Data", (2009), Submitted.
  • Dinghai Xu, Tony Wirjanto, “Value at Risk with Bivariate Mixture of Normals Stochastic Volatility Models and Independent Component Analysis”, TD-UW Computational Research Partnership Project, 2008.

Work in progress

  • Pierre Chausse and Dinghai Xu, “Generalized Method of Moments (GMM) Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study”, in progress.
  • Dinghai Xu, "A Double-Threshold Asymmetric Stochastic Volatility Model", in progress.
  • Dinghai Xu, “A Flexible Multivariate Stochastic Volatility Model”, in progress.
  • Dinghai Xu, “Incorporating Realized Volatility into a Mixture Time-Varying Volatility Model”, in progress.
  • Dinghai Xu, “An ISE Approach to Gaussian Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Models”,in progress.
Affiliation: 
University of Waterloo