![Yongdeng Xu](https://profiles-cardiff.imgix.net/attachments/1451?w=200&h=200&auto=format&crop=faces&fit=crop&q=90")
Dr Yongdeng Xu
- Available for postgraduate supervision
Teams and roles for Yongdeng Xu
Senior Lecturer in Economics
Overview
Research interests:
- Financial Econometrics (multivariate GARCH, volatility modelling and forecasting)
- Macro Econometrics (testing of DSGE models)
- Econometric Theory (Weak IV and Bias correction)
Publication
2025
- Bauwens, L. and Xu, Y. 2025. The contribution of realized variance–covariance models to the economic value of volatility timing. International Journal of Forecasting 41(3), pp. 1165-1183. (10.1016/j.ijforecast.2024.11.010)
- Xu, Y. 2025. The exponential HEAVY Model: An improved approach to volatility modeling and forecasting. Review of Quantitative Finance and Accounting 65, pp. 727-748. (10.1007/s11156-024-01358-1)
- Xu, Y. 2025. Extended multivariate EGARCH model: A model for zero‐return and negative spillovers. Journal of Forecasting 44(4), pp. 1266-1279. (10.1002/for.3243)
2024
- Xu, Y., Guan, B., Lu, W. and Heravi, S. 2024. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. Energy Economics 136, article number: 107750. (10.1016/j.eneco.2024.107750)
- Meenagh, D., Minford, A. and Xu, Y. 2024. Indirect inference and small sample bias — Some recent results. Open Economies Review 35, pp. 245-259. (10.1007/s11079-023-09731-8)
- Minford, A. and Xu, Y. 2024. Indirect Inference- a methodological essay on its role and applications. Theoretical Economics Letters 14, pp. 536-542. (10.4236/tel.2024.142028)
- 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 16(1), pp. 1-27. (10.1515/jtse-2022-0018)
2023
- 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)
- 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)
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. The dynamics of trading duration, volume and price volatility: a vector MEM model. Working paper. Cardiff: Cardiff University.
- Xu, Y. 2013. Weak exogeneity in the financial point processes. Working paper. Cardiff: Cardiff University.
- Xu, Y. 2013. Econometrics of high frequency data and nonnegative valued financial point processes. PhD Thesis, Cardiff University.
Articles
- Bauwens, L. and Xu, Y. 2025. The contribution of realized variance–covariance models to the economic value of volatility timing. International Journal of Forecasting 41(3), pp. 1165-1183. (10.1016/j.ijforecast.2024.11.010)
- Xu, Y. 2025. The exponential HEAVY Model: An improved approach to volatility modeling and forecasting. Review of Quantitative Finance and Accounting 65, pp. 727-748. (10.1007/s11156-024-01358-1)
- Xu, Y. 2025. Extended multivariate EGARCH model: A model for zero‐return and negative spillovers. Journal of Forecasting 44(4), pp. 1266-1279. (10.1002/for.3243)
- Xu, Y., Guan, B., Lu, W. and Heravi, S. 2024. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. Energy Economics 136, article number: 107750. (10.1016/j.eneco.2024.107750)
- Meenagh, D., Minford, A. and Xu, Y. 2024. Indirect inference and small sample bias — Some recent results. Open Economies Review 35, pp. 245-259. (10.1007/s11079-023-09731-8)
- Minford, A. and Xu, Y. 2024. Indirect Inference- a methodological essay on its role and applications. Theoretical Economics Letters 14, pp. 536-542. (10.4236/tel.2024.142028)
- 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 16(1), pp. 1-27. (10.1515/jtse-2022-0018)
- 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)
- 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. The dynamics of trading duration, volume and price volatility: a vector MEM model. Working paper. Cardiff: Cardiff University.
- Xu, Y. 2013. Weak exogeneity in the financial point processes. 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. The dynamics of trading duration, volume and price volatility: a vector MEM model. Working paper. Cardiff: Cardiff University.
- Xu, Y. 2013. Weak exogeneity in the financial point processes. Working paper. Cardiff: Cardiff University.
Research
Research Interests
- Financial Econometrics (multivariate GARCH, volatility modelling and forecasting)
- Macro Econometrics (testing of DSGE models),
- Econometric Theory (Weak IV and Bias correction).
Research Grants
- 2025-2027, Bootstrap-Based Inference for Weak Instruments in IV Regression in Finance, £10,000, British Academy/Leverhulme Small Research Grants, grant number: SRG25\25122, £10,000, Individual PI
- 2021-2024, The Mechanisms and Impacts of Corporate Financialization on the Transmission of Monetary Credit Channels, with Dr Bei Gao (XJTU), ¥200,000 (£2,3500), funded by The National Social Science Fund of China, grant number: 21BJY231.
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
Contact Details
[email protected]
+44 29225 10881
Aberconway Building, Room Room Q26, Colum Road, Cathays, Cardiff, CF10 3EU
+44 29225 10881
Aberconway Building, Room Room Q26, Colum Road, Cathays, Cardiff, CF10 3EU