Access Statistics for Xu, Dinghai

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach 1 2 33 33 3 4 29 29
A Threshold Stochastic Volatility Model with Realized Volatility 0 0 0 62 0 2 3 159
An Efficient Estimation for Switching Regression Models: A Monte Carlo Study 0 0 0 51 0 3 5 125
An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volatility 0 0 2 129 0 0 9 398
Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach" 0 0 1 68 1 1 3 173
Canadian Stock Market Volatility under COVID-19 7 12 51 51 10 26 77 77
Continuous Empirical Characteristic Function Estimation of GARCH Models 0 0 2 40 0 2 7 61
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 0 0 115 0 1 3 286
Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach 0 0 2 64 1 3 7 218
GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study 0 0 1 64 1 3 7 200
Is Volatility Clustering of Asset Returns Asymmetric? 0 0 2 15 0 4 9 68
Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data 0 0 0 38 0 2 3 111
Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data 0 0 0 147 0 2 4 363
Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market 0 1 7 30 0 2 30 61
Random Matrix Application to Correlations Among Volatility of Assets 0 0 0 68 0 1 4 49
The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey 2 3 8 230 2 9 36 738
Total Working Papers 10 18 109 1,205 18 65 236 3,116


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach 0 0 0 15 0 0 2 73
Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits 0 0 0 0 0 1 4 4
Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters 0 1 1 28 0 1 3 127
GMM estimation of a realized stochastic volatility model: A Monte Carlo study 0 0 1 2 1 1 6 16
Is volatility clustering of asset returns asymmetric? 0 0 1 11 0 0 4 60
Modeling the leverage effect with copulas and realized volatility 0 0 0 57 0 1 7 162
Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market 0 0 1 3 0 1 6 12
Random matrix application to correlations amongst the volatility of assets 0 0 0 3 0 0 2 12
Select Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach 0 0 0 3 0 2 5 37
Stochastic volatility model under a discrete mixture-of-normal specification 0 0 0 17 0 0 3 60
Total Journal Articles 0 1 4 139 1 7 42 563


Statistics updated 2020-11-03