![Yongdeng Xu](https://profiles-cardiff.imgix.net/attachments/1451?w=200&h=200&auto=format&crop=faces&fit=crop&q=90")
Dr Yongdeng Xu
Senior Lecturer in Economics
- 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
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 (10.1016/j.ijforecast.2024.11.010)
2024
- Xu, Y. 2024. Extended multivariate EGARCH model: A model for zero‐return and negative spillovers. Journal of Forecasting (10.1002/for.3243)
- Xu, Y. 2024. The exponential HEAVY Model: An improved approach to volatility modeling and forecasting. Review of Quantitative Finance and Accounting (10.1007/s11156-024-01358-1)
- 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 (10.1016/j.ijforecast.2024.11.010)
- Xu, Y. 2024. Extended multivariate EGARCH model: A model for zero‐return and negative spillovers. Journal of Forecasting (10.1002/for.3243)
- Xu, Y. 2024. The exponential HEAVY Model: An improved approach to volatility modeling and forecasting. Review of Quantitative Finance and Accounting (10.1007/s11156-024-01358-1)
- 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
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).
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
XuY16@cardiff.ac.uk
+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