| Is volatility clustering of asset returns asymmetric? C Ning, D Xu, TS Wirjanto Journal of Banking & Finance 52, 62-76, 2015 | 70 | 2015 |
| An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility D Xu, TS Wirjanto Journal of Derivatives 18 (1), 39, 2010 | 29 | 2010 |
| Continuous empirical characteristic function estimation of mixtures of normal parameters D Xu, J Knight Econometric Reviews 30 (1), 25-50, 2010 | 28 | 2010 |
| Asymmetric stochastic conditional duration model—A mixture-of-normal approach D Xu, J Knight, TS Wirjanto Journal of Financial Econometrics 9 (3), 469-488, 2011 | 23 | 2011 |
| Canadian stock market volatility under COVID-19 D Xu International Review of Economics & Finance 77, 159-169, 2022 | 21 | 2022 |
| The applications of mixtures of normal distributions in empirical finance: A selected survey TS Wirjanto, D Xu University of Waterloo, Department of Economics, 2009 | 21 | 2009 |
| Modeling the leverage effect with copulas and realized volatility C Ning, D Xu, TS Wirjanto Finance Research Letters 5 (4), 221-227, 2008 | 16 | 2008 |
| Combining a self-exciting point process with the truncated generalized Pareto distribution: An extreme risk analysis under price limits J Ji, D Wang, D Xu, C Xu Journal of Empirical Finance 57, 52-70, 2020 | 15 | 2020 |
| Examining realized volatility regimes under a threshold stochastic volatility model D Xu International Journal of Finance & Economics 17 (4), 373-389, 2012 | 12 | 2012 |
| Random matrix application to correlations amongst the volatility of assets A Singh, D Xu Quantitative Finance 16 (1), 69-83, 2016 | 11 | 2016 |
| GMM estimation of a realized stochastic volatility model: A Monte Carlo study P Chaussé, D Xu Econometric Reviews 37 (7), 719-743, 2018 | 10 | 2018 |
| Asset returns, volatility and Value-at-Risk. D Xu Library and Archives Canada= Bibliothèque et Archives Canada, Ottawa, 2008 | 10 | 2008 |
| Modeling asymmetric volatility clusters using copulas and high frequency data CQ Ning, D Xu, TS Wirjanto University of Waterloo, Department of Economics, 2010 | 8 | 2010 |
| Empirical evidence of the leverage effect in a stochastic volatility model: a realized volatility approach D Xu, Y Li Frontiers of Economics in China 7 (1), 22-43, 2012 | 7 | 2012 |
| Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market J Ji, D Wang, D Xu Economic Modelling 80, 383-391, 2019 | 6 | 2019 |
| A threshold stochastic volatility model with realized volatility D Xu University of Waterloo, Department of Economics, 2010 | 6 | 2010 |
| Stochastic volatility model under a discrete mixture-of-normal specification D Xu, J Knight Journal of Economics and Finance 37, 216-239, 2013 | 5 | 2013 |
| Computation of portfolio VaRs with GARCH models using independent component analysis D Xu, TS Wirjanto Working paper, University of Waterloo, 2009 | 4 | 2009 |
| Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution: evidence from China D Wang, J Ding, G Chu, D Xu, TS Wirjanto Applied Economics 53 (7), 781-804, 2021 | 3 | 2021 |
| The applications of mixtures of normal distributions in empirical finance: A selected survey D Xu University of Waterloo, Department of Economics Working Papers, 2009 | 3 | 2009 |
