![Yongdeng Xu](https://profiles-cardiff.imgix.net/attachments/1451?w=200&h=200&auto=format&crop=faces&fit=crop&q=90")
Dr Yongdeng Xu
Lecturer in Economics
- XuY16@cardiff.ac.uk
- +44 29225 10881
- Aberconway Building, Room Room Q26, Colum Road, Cathays, Cardiff, CF10 3EU
- Available for postgraduate supervision
Overview
Research interests:
- Financial Econometrics (multivariate GARCH, volatility modelling and forecasting)
- Macro Econometrics (testing of DSGE models)
- Econometric Theory (bias and bias correction in simultaneous equation models)
Publication
2023
- 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)
- Lu, W., Xu, Y. and Copeland, L. 2023. The pricing of unexpected volatility in the currency market. European Journal of Finance (10.1080/1351847X.2023.2190464)
2021
- 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)
2019
- 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)
2018
- 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)
2017
- 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)
2016
- 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)
2015
- 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)
- 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)
2014
- 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.
2013
- 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.
- Xu, Y. 2013. Econometrics of high frequency data and nonnegative valued financial point processes. PhD Thesis, Cardiff University.
Erthyglau
- 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)
- Lu, W., Xu, Y. and Copeland, L. 2023. The pricing of unexpected volatility in the currency market. European Journal of Finance (10.1080/1351847X.2023.2190464)
- 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)
Gosodiad
- Xu, Y. 2013. Econometrics of high frequency data and nonnegative valued financial point processes. PhD Thesis, Cardiff University.
Llyfrau
- 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)
Monograffau
- 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.
- 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.
Research
My research interests are Financial Econometrics (multivariate GARCH, volatility modelling and forecasting), Macro Econometrics (testing of DSGE models), Theoretical Econometrics (bias and bias correction in simultaneous equation models).
Working Papers
- Matrix Inequality Constraints for Vector Asymmetric Power GARCH/HEAVY Models and MEM with spillovers: some New Mixture Formulations (with M.Karanasos), 2017, under review.
- “Almost Unbiased Variance Estimation in Simultaneous Equation Models” (with Phillips, G.D.A), 2016, under review.
- "What is the truth about DSGE models? Testing by indirect inference"(with Meenagh, D, Minford, P and Wickens, M), 2016, Working paper. Cardiff: Cardiff University
- Comparing different data descriptors in Indirect Inference tests on DSGE models (with Meenagh, D, Minford, P and Wickens, M), 2017, Working paper. Cardiff: Cardiff University.
- "The Lognormal Autoregressive Conditional Duration (LNACD) model and a comparison with an alternative ACD models", Working paper, Cardiff: Cardiff University.
Book Chapters
- "Should Britain Leave the EU?" (with Patrick Minford, Sakshi Gupta, Vo P.M. Le and Vidya Mahambare), 2015. Edward Elgar Publishing, number 16679.
Teaching
Teaching commitments
- Econometrics (Year 3)
- Macroeconometric Practice (PhD)
Biography
Qualifications
- PhD Economics (Cardiff University) 2013
- MSc Finance and Econometrics (University of York) with distinction 2007
- BSc Finance Information Engineering (Xi'an Jiaotong University) with 1st Class honours 2006
Honours and awards
- Cardiff Business School PhD Scholarship 2008-2012
Supervisions
I am interested in supervising PhD students in the areas of:
- Financial Econometrics (multivariate GARCH, volatility modelling and forecasting)
- Testing and Estimation of macro/trade model by Indirect Inference
- Macro-Finance