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Modeling asymmetric volatility clusters using copulas and high frequency data

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2009

Persistent link: https://www.econbiz.de/10008758211

GMM estimation of a stochastic volatility model with realized volatility: a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - 2012

Persistent link: https://www.econbiz.de/10009612401

Empirical evidence of the leverage effect in a stochastic volatility model : a realized volatility approach

Xu, Dinghai; Li, Yuying - In: Frontiers of economics in China : selected publications … 7 (2012) 1, pp. 22-43

Persistent link: https://www.econbiz.de/10009681371

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

Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market

Ji, Jingru; Wang, Donghua; Xu, Dinghai - In: Economic modelling 80 (2019), pp. 383-391

Persistent link: https://www.econbiz.de/10012200735

GMM estimation of a realized stochastic volatility model : a Monte Carlo study

Chaussé, Pierre; Xu, Dinghai - In: Econometric reviews 37 (2018) 6/10, pp. 719-743

Persistent link: https://www.econbiz.de/10012040406

Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits

Ji, Jingru; Wang, Donghua; Xu, Dinghai; Xu, Chi - In: Journal of empirical finance 57 (2020), pp. 52-70

Persistent link: https://www.econbiz.de/10012430436

Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market

Ji, Jingru; Wang, Donghua; Xu, Dinghai - 2018

Persistent link: https://www.econbiz.de/10011900811

Inequality in China : An Overview

Knight, John - 2013

This paper provides an overview of research on income inequality in China over the period of economic reform. It presents the results of two main sources of evidence on income inequality and, assisted by various decompositions, explains the reasons income inequality has increased rapidly and the...

Persistent link: https://www.econbiz.de/10011395765

A study on volatility spurious almost integration effect : A threshold realized GARCH approach

Xu, Dinghai - In: International Journal of Finance & Economics 26 (2020) 3, pp. 4104-4126

Persistent link: https://www.econbiz.de/10012406948

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