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Modeling asymmetric volatility clusters using Copulas and high frequency data
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2010
Persistent link: https://www.econbiz.de/10003975430
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Asymmetric stochastic conditional duration model :a mixture of normals approach
Xu, Dinghai; Knight, John L.; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975376
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An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975377
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The applications of mixtures of normal distributions in empirical finance : a selected survey
Wirjanto, Tony S.; Xu, Dinghai - 2009
Persistent link: https://www.econbiz.de/10003975425
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Extreme return-volume dependence in East-Asian stock markets : a Copula approach
Ning, Cathy Q.; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975380
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An efficient estimation for switching regression models : a Monte Carlo study
Xu, Dinghai - 2009
Persistent link: https://www.econbiz.de/10003975422
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A threshold stochastic volatility model with realized volatility
Xu, Dinghai - 2010
Persistent link: https://www.econbiz.de/10003975444
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Continuous empirical characteristic function estimation of GARCH models
Xu, Dinghai - 2012
Persistent link: https://www.econbiz.de/10009612399
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A study on volatility spurious almost integration effect : a threshold realized GARCH approach
Xu, Dinghai - 2019
Persistent link: https://www.econbiz.de/10012137575
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Canadian stock market volatility under COVID-19
Xu, Dinghai - 2020
Persistent link: https://www.econbiz.de/10012211693