Department of Economics | University of Waterloo

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Dinghai Xu

Assistant Professor
BA (CTBU - China), MA (Windsor), PhD (Western Ontario)

Office: Hagey Hall 201
Phone: 519-888-4567, ext. 32047
Email: dhxu@uwaterloo.ca

Personal Webpage

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, “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 GARCH Models”,in progress.