Dr Yongdeng Xu

Articles

• Guan, B., Mazouz, K. and Xu, Y. 2024. Asymmetric volatility spillover between crude oil and other asset markets. Energy Economics 130, article number: 107305. (10.1016/j.eneco.2024.107305)
• Xu, Y. 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)
• Minford, A. and Xu, Y. 2024. Indirect Inference- a methodological essay on its role and applications. Theoretical Economics Letters
• Minford, A., Xu, Y. and Xue, D. 2023. Testing competing world trade models against the facts of world trade. Journal of International Money and Finance 138, article number: 102940. (10.1016/j.jimonfin.2023.102940)
• Lu, W., Xu, Y. and Copeland, L. 2023. The pricing of unexpected volatility in the currency market. European Journal of Finance 29(17), pp. 2032-1046. (10.1080/1351847X.2023.2190464)
• Meenagh, D., Minford, A. and Xu, Y. 2023. Indirect inference and small sample bias — Some recent results. Open Economies Review (10.1007/s11079-023-09731-8)
• Bauwens, L. and Xu, Y. 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, G., Xue, D., Minford, P., Qu, G., Xu, Y. and Xu, Z. 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)
• Meenagh, D., Minford, P., Wickens, M. and Xu, Y. 2019. Testing DSGE models by indirect inference: a survey of recent findings. Open Economies Review 30(3), pp. 593-620. (10.1007/s11079-019-09526-w)
• Minford, P., Wickens, M. and Xu, Y. 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, A. and Xu, Y. 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, Y., Taylor, N. and Lu, W. 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, K. B. and Xu, Y. 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. 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, A., Wickens, M. and Xu, Y. 2016. Comparing different data descriptors in Indirect Inference tests on DSGE models. Economics Letters 145, pp. 157-161. (10.1016/j.econlet.2016.06.016)
• Le, V. P. M., Meenagh, D., Minford, A. P. L., Wickens, M. and Xu, Y. 2016. Testing macro models by indirect inference: a survey for users. Open Economies Review 27(1), pp. 1-38. (10.1007/s11079-015-9377-5)
• Minford, A. P. L., Xu, Y. and Zhou, P. 2015. How good are out of sample forecasting tests on DSGE models?. Italian Economic Journal 1(3), pp. 333-351. (10.1007/s40797-015-0020-9)

Books

• Minford, P., Gupta, S., Le, V. P. M., Mahambare, V. and Xu, Y. 2015. Should Britain leave the EU? An economic analysis of a troubled relationship (2nd edition). United Kingdom: Edward Elgar. (10.4337/9781785360336)

Monographs

• Minford, A. P. L., Xu, Y. and Zhou, P. 2014. How good are out of sample forecasting tests on DSGE models?. Working paper. Cardiff: Cardiff University.
• Xu, Y. 2013. Weak exogeneity in the financial point processes. Working paper. Cardiff: Cardiff University.
• Xu, Y. 2013. The dynamics of trading duration, volume and price volatility: a vector MEM model. Working paper. Cardiff: Cardiff University.

Thesis

• Xu, Y. 2013. Econometrics of high frequency data and nonnegative valued financial point processes. PhD Thesis, Cardiff University.

• Minford, A. and Xu, Y. 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, Y., Taylor, N. and Lu, W. 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, K. B. and Xu, Y. 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. 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, A., Wickens, M. and Xu, Y. 2016. Comparing different data descriptors in Indirect Inference tests on DSGE models. Economics Letters 145, pp. 157-161. (10.1016/j.econlet.2016.06.016)
• Le, V. P. M., Meenagh, D., Minford, A. P. L., Wickens, M. and Xu, Y. 2016. Testing macro models by indirect inference: a survey for users. Open Economies Review 27(1), pp. 1-38. (10.1007/s11079-015-9377-5)
• Minford, A. P. L., Xu, Y. and Zhou, P. 2015. How good are out of sample forecasting tests on DSGE models?. Italian Economic Journal 1(3), pp. 333-351. (10.1007/s40797-015-0020-9)
• Xu, Y. 2013. Weak exogeneity in the financial point processes. Working paper. Cardiff: Cardiff University.
• Xu, Y. 2013. The dynamics of trading duration, volume and price volatility: a vector MEM model. Working paper. Cardiff: Cardiff University.