Dinghai Xu

Independent

SCHOLARLY PAPERS

8

DOWNLOADS

11

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Modeling the Leverage Effect with Copulas and Realized Volatility

Finance Research Letters 5 (2008) 221-227
Number of pages: 7 Posted: 31 Mar 2013 Last Revised: 26 Jan 2015
Cathy Ning, Dinghai Xu and Tony S. Wirjanto
Ryerson University, Independent and University of Waterloo - School of Accounting and Finance
Downloads 11 (694,938)

Abstract:

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Leverage effect, Copulas, Tail dependence, Realized volatility, High frequency data

2.

Is Volatility Clustering of Asset Returns Asymmetric?

Journal of Banking and Finance, Vol. 52, 2015
Posted: 26 Jan 2015
Cathy Ning, Dinghai Xu and Tony S. Wirjanto
Ryerson University, Independent and University of Waterloo - School of Accounting and Finance

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Volatility clustering, Univariate time series copulas, Realized kernel volatility, Value-at-Risk

3.

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

Journal of Derivatives (2010), 18, 1, 39-58
Posted: 04 Apr 2013
Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo - School of Accounting and Finance

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Value at Risk, Expected Shortfall, Mixtures of Normal, GARCH, Characteristic Function

4.

Risk Measures under a Stochastic Volatility Model with a Mixture-of-Normal Error Distribution

Posted: 02 Apr 2013
Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo - School of Accounting and Finance

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Value at Risk, Stochastic Volatility, Mixture of Normals, Generalized Method of Moments, Markov Chain Monte Carlo

5.

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution: Theoretical Properties and Monte-Carlo Results

Posted: 02 Apr 2013
Dinghai Xu, John Knight and Tony S. Wirjanto
Independent, University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and University of Waterloo - School of Accounting and Finance

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Stochastic Conditional Duration Model, Autoregressive Conditional Duration Model, Leverage Effect, Discrete Mixtures of Normal, Empirical Characteristic Function

6.

A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics: A Selected Review

Posted: 02 Apr 2013
Tony S. Wirjanto and Dinghai Xu
University of Waterloo - School of Accounting and Finance and Independent

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Mixtures of Normal, Maximum Likelihood, Moment Generating Function, Characteristic Function, Switching Regression Model, (G)ARCH Model, Stochastic Volatility Model, Autoregressive Conditional Duration Model, Stochastic Duration Model, Value at Risk

7.

Computation of Portfolio VaRs with GARCH-Type Volatility

Posted: 02 Apr 2013
Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo - School of Accounting and Finance

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Multivariate Models, Independent Component Analysis, Principal Component Analysis, GARCH, Value at Risk

8.

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

Journal of Financial Econometrics, Vol. 9, No. 3, 469-488, 2011
Posted: 31 Mar 2013
Dinghai Xu, John Knight and Tony S. Wirjanto
Independent, University of Western Ontario, Faculty of Social Science, Deparment of Economics (Deceased) and University of Waterloo - School of Accounting and Finance

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Stochastic Duration Model, Mixture of Normal Distribution, Leverage Effect, Continuous Empirical Characteristic Function