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Modeling Asymmetric Volatility...
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Xu, Dinghai
14
Wirjanto, Tony S.
8
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3
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3
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2
Li, Yuying
2
Rice, Gregory
2
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2
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ECONIS (ZBW)
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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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2
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
Saved in:
3
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
Saved in:
4
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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5
Canadian stock market volatility under COVID-19
Xu, Dinghai
-
2020
Persistent link: https://www.econbiz.de/10012211693
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6
Continuous empirical characteristic function estimation of GARCH models
Xu, Dinghai
-
2012
Persistent link: https://www.econbiz.de/10009612399
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7
A study on volatility spurious almost integration effect : a threshold realized GARCH approach
Xu, Dinghai
-
2019
Persistent link: https://www.econbiz.de/10012137575
Saved in:
8
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
Saved in:
9
"Good" and "bad" volatilities : a realized semivariance GARCH approach
Xu, Dinghai
- In:
Applied economics
56
(
2024
)
51
,
pp. 6391-6411
Persistent link: https://www.econbiz.de/10015073572
Saved in:
10
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
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