Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585
2024.
Quasi Maximum Likelihood estimation of vector Multiplicative Error Model using the ECCC-GARCH representation.
Journal of Time Series Econometrics
10.1515/jtse-2022-0018
Item availability restricted. |
Minford, Anthony ORCID: https://orcid.org/0000-0003-2499-935X, Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 and Xue, Dong
2023.
Testing competing world trade models against the facts of world trade.
Journal of International Money and Finance
138
, 102940.
10.1016/j.jimonfin.2023.102940
Item availability restricted. |
Lu, Wenna, Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 and Copeland, Laurence
2023.
The pricing of unexpected volatility in the currency market.
European Journal of Finance
29
(17)
, pp. 2032-1046.
10.1080/1351847X.2023.2190464
Item availability restricted. |
Bauwens, Luc and Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2023. DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. International Journal of Forecasting 39 (2) , pp. 938-955. 10.1016/j.ijforecast.2022.03.005 |
Chen, Gang, Xue, Dong, Minford, Patrick ORCID: https://orcid.org/0000-0003-2499-935X, Qu, Guanhua, Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 and Xu, Zequn ORCID: https://orcid.org/0000-0001-8275-1585 2021. Computable general equilibrium models of trade in the modern trade policy debate. Open Economies Review 33 , pp. 171-309. 10.1007/s11079-021-09631-9 |
Minford, Patrick ORCID: https://orcid.org/0000-0003-2499-935X, Wickens, Michael ORCID: https://orcid.org/0000-0002-6862-0674 and Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2019. Testing part of a DSGE model by indirect inference. Oxford Bulletin of Economics and Statistics 81 (1) , pp. 178-194. 10.1111/obes.12253 |
Minford, Anthony ORCID: https://orcid.org/0000-0003-2499-935X and Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2018. Classical or gravity? which trade model best matches the UK facts? Open Economies Review 29 (3) , pp. 579-611. 10.1007/s11079-017-9470-z |
Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585, Taylor, Nick and Lu, Wenna 2018. Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. International Review of Financial Analysis 56 , pp. 208-220. 10.1016/j.irfa.2018.01.011 |
Luintel, Kul B. ORCID: https://orcid.org/0000-0001-7430-3926 and Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2017. Testing weak exogeneity in multiplicative error models. Quantitative Finance 17 (10) , pp. 1617-1630. 10.1080/14697688.2016.1274045 |
Taylor, N. and Xu, Y. ORCID: https://orcid.org/0000-0001-8275-1585 2016. The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. Quantitative Finance 17 (7) , pp. 1021-1035. 10.1080/14697688.2016.1260756 |
Minford, Patrick ORCID: https://orcid.org/0000-0003-2499-935X, Gupta, Sakshi, Le, Vo Phuong Mai ORCID: https://orcid.org/0000-0003-3374-9694, Mahambare, Vidya and Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2015. Should Britain leave the EU? An economic analysis of a troubled relationship (2nd edition). United Kingdom: Edward Elgar. 10.4337/9781785360336 |
Minford, Anthony Patrick Leslie ORCID: https://orcid.org/0000-0003-2499-935X, Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 and Zhou, Peng ORCID: https://orcid.org/0000-0002-4310-9474 2014. How good are out of sample forecasting tests on DSGE models? [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University. |
Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2013. Weak exogeneity in the financial point processes. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University. |
Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585 2013. The dynamics of trading duration, volume and price volatility: a vector MEM model. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University. |
Xu, Yongdeng ORCID: https://orcid.org/0000-0001-8275-1585
2013.
Econometrics of high frequency data and nonnegative valued financial point processes.
PhD Thesis,
Cardiff University.
Item availability restricted. |