Dinghai Xu

Professor
Dinghai, Xu

dhxu@uwaterloo.ca
519-888-4567 x42047
Office: HH 201

CV: Dinghai Xu

BA (CTBU - China); MA (Windsor); PhD (Western Ontario)

Areas of specialization: Financial econometrics; Empirical finance; Applied econometrics

Selected publications

  • , Forthcoming in International Review of Economics & Finance.

  • (with Donghua Wang, Jin Ding, Guoqing Chu, Tony Wirjanto), Applied Economics, Volume, 53 (7), 781 - 804.

  • "",  International Journal of Finance and Economics, Volume 26 (3), 4104 - 4126.

  •  (with Donghua Wang, Jingru Ji and Chi Xu), Journal of Empirical Finance, Volume 57, 52 - 70.

  •  Applied Economics, Volume 52 (52), 5706 - 5725.

  •  (with Jingru Ji and Donghua Wang), Economic Modelling, Vol 80, 383-391, 2019.
  •  (with Pierre Chausse), Econometric Reviews, Vol 37 (7), 719-743, 2018.
  • , (with Ajay Singh), Quantitative Finance, Vol 16 (1), 69--83, 2016.
  • , (with Cathy Ning and Tony Wirjanto), Journal of Banking and Finance, Vol 52, 62--76, 2015.
  • , International Journal of Finance & Economics, Vol 17(4). 373--389, 2013.
  • , (with John Knight), Journal of Empirical and Finance, Vol 37, 216--239, 2013.
  • , (with Yuying Li), Invited Contribution, Frontiers of Economics in China, Vol 7 (1), 22 -- 43, 2012.
  • , (with John Knight and Tony Wirjanto), Journal of Financial Econometrics, Vol 9 (3), 469--488, 2011.
  • , (with John Knight), Econometric Reviews, Vol 30 (1), 25--50, 2011.
  • , Communication in Statistics: Simulation and Computation, Vol 39 (7), 1403--1421, 2010.
  • , (with Tony Wirjanto), Journal of Derivatives, Vol 18 (1), 39--58, 2010.
  • , (with Cathy Ning and Tony Wirjanto), Finance Research Letters, Vol 5 (4),221--227, 2008.

Working papers

  • "Canadian Stock Market Volatility under COVID-19 ", R & R, 2021.
  • "Modelling Stylized Features of Stock Returns with a Vine Copula", (with Cathy Ning and Wanling Huang), R & R , 2020.
  • "On Persistence of Implied Volatility: Evidence from SP500", (with Ajay Singh), 2018.
  • "Truncated/Censored financial modelling: Applications to stock markets with price limits", (with Lisa Lin), 2017.
  • "An ISE Approach to Gaussian GARCH Models", 2017..
  • "A Mixture-of-Normals Distribution Modeling Approach in Financial Econometrics: A Selected Review", (with Tony Wirjanto), 2015.
  • "Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis", (with Tony Wirjanto), 2012.
  • "Value at Risk with Bivariate Mixture of Normals Stochastic Volatility Models and Independent Component Analysis", (with Tony Wirjanto), TD-UW Computational Research Partnership Project, 2008.