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Modeling the leverage effect with copulas and realized volatility
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Finance research letters 5 (2008) 4, pp. 221-227
Persistent link: https://www.econbiz.de/10003786354
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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76
Persistent link: https://www.econbiz.de/10011377303
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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. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10008655519
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Asymmetric stochastic conditional duration model a mixture of normal approach
Xu, Dinghai; Knight, John L.; Wirjanto, Tony S. - In: Journal of financial econometrics : official journal of … 9 (2011) 3, pp. 469-488
Persistent link: https://www.econbiz.de/10009407860
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Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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Extreme returnvolume dependence in East-Asian stock markets : a copula approach
Ning, Cathy Q.; Wirjanto, Tony S. - In: Finance research letters 6 (2009) 4, pp. 202-209
Persistent link: https://www.econbiz.de/10003934162
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Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389
Persistent link: https://www.econbiz.de/10009689475
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Modelling asset returns under price limits with mixture of truncated Gaussian distribution
Xu, Dinghai - In: Applied economics 52 (2020) 52, pp. 5706-5725
Persistent link: https://www.econbiz.de/10012307930
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Canadian stock market volatility under COVID-19
Xu, Dinghai - In: International review of economics & finance : IREF 77 (2022), pp. 159-169
Persistent link: https://www.econbiz.de/10013330750
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Dependence structure between the equity market and the foreign exchange market : a copula approach
Ning, Cathy Q. - In: Journal of international money and finance 29 (2010) 5, pp. 743-759
Persistent link: https://www.econbiz.de/10003989912