Dinghai Xu

dhxu@uwaterloo.ca
519-888-4567 x42047
Office: HH 201
Personal website

CV: Dinghai Xu

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

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

Selected publications

• "Canadian Stock Market Volatility under COVID-19", Forthcoming in International Review of Economics & Finance.

• "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, Tony Wirjanto), Applied Economics, Volume, 53 (7), 781 - 804.

• "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach",  International Journal of Finance and Economics, Volume 26 (3), 4104 - 4126.

• "Combining a Self-Exciting Point Process with the Truncated Generalized Pareto Distribution: An Extreme Risk Analysis under Price Limits", (with Donghua Wang, Jingru Ji and Chi Xu), Journal of Empirical Finance, Volume 57, 52 - 70.

• "Modelling Asset Returns under Price Limits with Mixture of Truncated Gaussian Distribution", Applied Economics, Volume 52 (52), 5706 - 5725.

• "Modelling the Spreading Process of Extreme Risks Via a Simple Agent-Based Model: Evidence From the China Stock Market", (with Jingru Ji and Donghua Wang), Economic Modelling, Vol 80, 383-391, 2019.
• "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study", (with Pierre Chausse), Econometric Reviews, Vol 37 (7), 719-743, 2018.
• "Random Matrix Application to Correlations Among Volatility of Assets", (with Ajay Singh), Quantitative Finance, Vol 16 (1), 69--83, 2016.
• "Is Volatility Clustering of Asset Returns Asymmetric?", (with Cathy Ning and Tony Wirjanto), Journal of Banking and Finance, Vol 52, 62--76, 2015.
• "Examining Realized Volatility Regimes under a Threshold Stochastic Volatility Model ", International Journal of Finance & Economics, Vol 17(4). 373--389, 2013.
• "Stochastic Volatility Model under a Discrete Mixture-of-Normal Specification", (with John Knight), Journal of Empirical and Finance, Vol 37, 216--239, 2013.
• "Empirical Evidence of Leverage Effect In A Stochastic Volatility Model: A Realized Volatility Approach ", (with Yuying Li), Invited Contribution, Frontiers of Economics in China, Vol 7 (1), 22 -- 43, 2012.
• "Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach", (with John Knight and Tony Wirjanto), Journal of Financial Econometrics, Vol 9 (3), 469--488, 2011.
• "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters", (with John Knight), Econometric Reviews, Vol 30 (1), 25--50, 2011.
• "An Efficient Estimation on Switching Regression Models: A Monte Carlo Study", Communication in Statistics: Simulation and Computation, Vol 39 (7), 1403--1421, 2010.
• "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volarility", (with Tony Wirjanto), Journal of Derivatives, Vol 18 (1), 39--58, 2010.
• "Modelling Leverage Effect With Copulas and Realized Volatility", (with Cathy Ning and Tony Wirjanto), Finance Research Letters, Vol 5 (4),221--227, 2008.

Working papers

• "Canadian Stock Market Volatility under COVID-19 ", R & R, 2021.
• "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.