Dr Yongdeng Xu

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. 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. 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)

2024

• Guan, B. , Mazouz, K. and Xu, Y. 2024. Asymmetric volatility spillover between crude oil and other asset markets. Energy Economics 130 107305. (10.1016/j.eneco.2024.107305)
• 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)
• 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)
• Xu, Y. et al. 2024. Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. Energy Economics 136 107750. (10.1016/j.eneco.2024.107750)

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 29 (17), pp.2032-1046. (10.1080/1351847X.2023.2190464)
• 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 102940. (10.1016/j.jimonfin.2023.102940)

2021

• Chen, G. et al. 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. et al. 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. , Nick, T. 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)
• 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

• Le, V. P. M. et al. 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. , 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)
• 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)

2015

• 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)
• Minford, P. et al. 2015. Should Britain leave the EU? An economic analysis of a troubled relationship (2nd edition). United Kingdom: Edward Elgar. (10.4337/9781785360336)

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. Econometrics of high frequency data and nonnegative valued financial point processes. PhD Thesis , 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.