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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
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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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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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Continuous empirical characteristic function estimation of GARCH models
Xu, Dinghai - 2012
Persistent link: https://www.econbiz.de/10009612399
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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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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
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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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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