__________________________________________________________________________________________ 
 Xu,Dinghai (Ph.D, University of Western Ontario, 2007)




 Professor,  Department of Economics, University of Waterloo 

 Affiliate Professor, Master of Quantitative Finance (MQF) Program, Department of Statistics and Acturial Science, University of Waterloo 


 Office: HH 201
 Phone: (519) 888-4567 ext. 32047     Fax: (519) 725-0530
 Email: dhxu@uwaterloo.ca
 Web Page: http://arts.uwaterloo.ca/~dhxu/

Place of Birth: GuiLin

Research Interests:

Financial Econometrics, Quantitative Finance, Econometric Theory, Applied Econometrics

Teaching

  • Graduate Level:
    Econometric Theory I (MA, Ph.D)
    Econometric Theory II (Ph.D)
    Applied Macro-Econometrics (MA, Ph.D)

  • Undergraduate Level:
    Econometric Theory
    Quantitative Finance
    Topics in Econometrics
    Time Series Analysis

    Academic Awards, Fellowships, Grants

  • UW/SSHRC Exchange Grant I: Knowledge Mobilization (2023-2024)

  • National Natural Science Foundation of China (NSF:72171086, Co-Applicant) (2022-2025)
  • International Research Partnership Grant (Research International) (2020-2025)
  • UW/SSHRC Exchange Grant I: Knowledge Mobilization (2019-2020)
  • National Natural Science Foundation of China (NSF, Co-Applicant) (2018-2021)
  • International Research Partnership Grant (IRPG China Program) (2017-2018)
  • UW Professor Outstanding Performance (Teaching, Research and Service) Award (2014-2015)
  • SSHRC - Travel Grant (2010--2011, 2011--2012, 2012-2013, 2013-2014, 2014-2015)
  • Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ) Research Grant(2011-2012)
  • UW Professor Outstanding Performance (Teaching, Research and Service) Award (2010-2011)
  • Econometric Society Conference Fund (2010)
  • SSHRC - UW (2009-2010)
  • New Faculty Supervision Award (2008-2009)
  • SSHRC-UW (2008-2009)
  • TD-UW Computational Finance Research Fund (2007)
  • HSBC-Bank High Frequency Data Analysis Research Fund (2007-2008)
  • UW Starter Fund (2007)
  • CESG-Travel Grant (2007)
  • Ontario Graduate Scholarship (2006-2007, 2007-2008 [declined])
  • The RBC Financial Group Doctoral Scholarship (2006-2007)
  • Summer Paper Prize (UWO) (2005)
  • Special University Scholarship (UWO) (2003-2007)
  • International Graduate Student Scholarship (UWO) (2003-2004)
  • Bursary Tuition Scholarship (Univ. Of Windsor) (2001-2003)

    Publications

  • "Good" and "Bad" Volatilities: A Realized Semivariance GARCH Approach , Forthcoming Applied Economics, 2023+.

  • "Canadian Stock Market Volatility under COVID-19" , International Review of Economics & Finance, Volume 77, Pages 159-169, 2022.

  • "Modelling Asset Returns in the Presence of Price Limits with Markov-Switching Mixture of Truncated Normal GARCH Distribution: Evidence from China", (with Donghua Wang, Jin Ding, Guoqing Chu, Tony Wirjanto), Applied Economics, Volume, 53 (7), 781 - 804. 2022.

  • "Combining a Self-Exciting Point Process with the Truncated Generalized Pareto Distribution: An Extreme Risk Analysis under Price Limits", (with Donghua Wang, Jingru Ji and Chi Xu), Journal of Empirical Finance, Volume 57, Pages 52-70, 2021.

  • "A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach", International Journal of Finance and Economics, Volume 26 (3), 4104 - 4126, 2021. .

  • "Modelling Asset Returns under Price Limits with Mixture of Truncated Gaussian Distribution", Applied Economics, Volume 52 (52), 5706 - 5725, 2020.

  • "Modelling the Spreading Process of Extreme Risks Via a Simple Agent-Based Model: Evidence From the China Stock Market", (with Jingru Ji and Donghua Wang), Economic Modelling, Vol 80, 383-391, 2019.

  • "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study", (with Pierre Chausse), Econometric Reviews, Vol 37 (7), 719-743, 2018.

  • "Random Matrix Application to Correlations Among Volatility of Assets", (with Ajay Singh), Quantitative Finance, Vol 16 (1), 69--83, 2016.

  • "Is Volatility Clustering of Asset Returns Asymmetric?", (with Cathy Ning and Tony Wirjanto), Journal of Banking and Finance, Vol 52, 62--76, 2015.

  • "Examining Realized Volatility Regimes under a Threshold Stochastic Volatility Model ", International Journal of Finance & Economics, Vol 17(4). 373--389, 2013.

  • "Stochastic Volatility Model under a Discrete Mixture-of-Normal Specification", (with John Knight), Journal of Empirical and Finance, Vol 37, 216--239, 2013.

  • "Empirical Evidence of Leverage Effect In A Stochastic Volatility Model: A Realized Volatility Approach ", (with Yuying Li), Invited Contribution, Frontiers of Economics in China, Vol 7 (1), 22 -- 43, 2012.

  • "Asymmetric Stochastic Conditional Duration Model -- A Mixture-of-Normal Approach", (with John Knight and Tony Wirjanto), Journal of Financial Econometrics, Vol 9 (3), 469--488, 2011.

  • "Continuous Empirical Characteristic Function Estimation of Mixtures of Normal Parameters", (with John Knight), Econometric Reviews, Vol 30 (1), 25--50, 2011.

  • "An Efficient Estimation on Switching Regression Models: A Monte Carlo Study", Communication in Statistics: Simulation and Computation, Vol 39 (7), 1403--1421, 2010.

  • "An Empirical Characteristic Function Approach to VaR under a Mixture of Normal Distribution with Time-Varying Volarility", (with Tony Wirjanto), Journal of Derivatives, Vol 18 (1), 39--58, 2010.

  • "Modelling Leverage Effect With Copulas and Realized Volatility", (with Cathy Ning and Tony Wirjanto), Finance Research Letters, Vol 5 (4),221--227, 2008.

    Working Papers:

  • "Modelling Stylized Features of Stock Returns with a Vine Copula", (with Cathy Ning and Wanling Huang), R & R, 2020.

  • "On Persistence of Implied Volatility: Evidence from SP500", (with Ajay Singh), 2018.

  • "Truncated/Censored financial modelling: Applications to stock markets with price limits", (with Lisa Lin), 2017.

  • "An ISE Approach to Gaussian GARCH Models", 2017..

  • "A Mixture-of-Normals Distribution Modeling Approach in Financial Econometrics: A Selected Review", (with Tony Wirjanto), 2015.

  • "Computation of Portfolio VaRs with GARCH Models Using Independent Component Analysis", (with Tony Wirjanto), 2012.

  • "Value at Risk with Bivariate Mixture of Normals Stochastic Volatility Models and Independent Component Analysis", (with Tony Wirjanto), TD-UW Computational Research Partnership Project, 2008.

    Conferences, Lectures and Seminar/WorkShop Presentations


  • Department of Economics, Dalhousie University, Halifax, Canada Oct. 2019
  • School of Busniess, East China University of Science and Technology, Shanghai, China Jul. 2019
  • Econometric Society China Meeting, JiNan Univesity, GuangZhou, China Jun. 2019
  • Department of Economics, Ohio State University, Columbus, USA Oct. 2018
  • East China University of Science and Technology, Shanghai, China Jul. 2018
  • Econometric Society Asia Meeting, Sogang University, Seoul, Korea Jun. 2018
  • Econometric Society China Meeting, Fudan University, Shanghai, China Jun. 2018
  • School of Busniess, East China University of Science and Technology, Shanghai, China May. 2018
  • XY Investments, Shanghai, China Aug. 2017
  • WenLan Research Workshop, ZhongNan University of Economics and Law, Wuhan, China Jul. 2017
  • Shanghai Technology University, Shanghai, China Jul. 2017
  • Financial Econometrics Lecture Series, East China University of Science and Technology, Shanghai, China Jul. 2017
  • 2017 Summer International Econometrics Workshop, Southwestern University of Finance and Economics, ChengDu, China Jun. 2017
  • Econometric Society China Meeting, WuHan University, Wuhan, China Jun. 2017
  • Econometric Society Asia Meeting, The Chinese University of HongKong, HongKong, China Jun. 2017
  • The 3rd Financial Econometrics and Risk Management Conference, London, Canada Apr. 2017
  • Western Economics 50th Anniversary Conference, University of Western Ontario, London, Canada Oct. 2016
  • University of Guelph, Guelph, ON, Canada Apr. 2016
  • Canadian Econometrics Study Group, University of Guelph, Guelph, ON, Canada Sept. 2015
  • East China University of Science and Technology, Shanghai, China Jul. 2015
  • Chinese Economists Society China Conference, Chongqing University, Chongqing, China Jun. 2015
  • Chinese University of Geoscience Beijing, Beijing, China May. 2015
  • Beijing Institute of Technology, Beijing, China May. 2015
  • Chinese Economists Society China Conference, JiNan University, Guangzhou, China Jun. 2014
  • Brock University, St Catharines, ON, Canada, Nov. 2013
  • Chinese Economists Society China Conference, ChengDu, China Jun. 2013
  • Chinese Economists Society China Conference, HeNan University, Kaifeng, China Jun. 2012
  • Carleton University, Ottawa, Canada, Mar. 2012
  • University of Western Ontario, London, Canada, Feb. 2012
  • Canadian Econometrics Study Group, Toronto, Canada, Oct. 2011
  • Econometric Society Australasian Meeting, University of Adelaide, Australia, Jul. 2011
  • Chinese Economists Society China Conference, University of International Business and Economics, Beijing, China, Jun. 2011
  • University of Toronto, Toronto, Canada, Nov. 2010
  • Econometric Society World Congress, Shanghai, China, Aug. 2010
  • Chinese Economists Society China Conference, WISE, Xiamen University, China Jun. 2010
  • International Symposium on Financial Engineering and Risk Management (FERM), National TaiWan University, TaiWan, China, Jun. 2010
  • University of Guelph, Guelph, Canada, Oct. 2009
  • Far East and South Asia Meeting of the Econometric Society, University of Tokyo, Japan, Aug. 2009
  • Southwestern University of Finance and Economics, ChengDu, China, Jul. 2009
  • Chinese Economists Society China Conference, GuangXi University, Nanning, China, Jun. 2009
  • 11th Annual Financial Econometrics Conference, Waterloo, Canada, Mar. 2009
  • 10th Annual Financial Econometrics Conference, Waterloo, Canada, Mar. 2008
  • Canadian Econometrics Study Group, McGill University, Montreal, Canada, Sept. 2007
  • Canadian Economics Association, Dalhousie University, Halifax, Canada, Jun. 2007
  • York University, Toronto, Canada, Feb. 2007
  • Trent University, Peterborough, Canada, Feb. 2007
  • University of Waterloo, Waterloo, Canada, Jan. 2007
  • Ryerson University, Toronto, Canada, Dec. 2006
  • Canadian Econometrics Study Group, Brock University, Niagara Falls, Canada, Oct. 2006
  • Far Eastern Meeting of the Econometric Society, Tsinghua University, China, Jul. 2006
  • Econometrics Workshop, U.W.O., London, Canada, Mar. 2005

    PhD Students Supervision

  • Ph.D Supervision -- Xiaoyan (Lisa) Lin (2015, Senior Analyst, Ernst & Young, Toronto), JingRu Ji (2019, ECUST)
  • Ph.D Committee-- Shan Chen (2008); JingYe Shi (2011); Abdullah Almansour (2012), Yichun Huang (in progress)
  • Ph.D External Examiner -- Matthew Charles Till (UW-Statistics, 2011); Jing Wu (Western-Economics, 2012); Pujun Liu (Western-Economics,2012); Hui Hudson Zhao (UW-Statistics, 2013); Zhiyue Huang (UW-Statistics, 2015); Vahed Maroufy (UW-Statistics, 2016); Raymond Ren (Guelph-Economics, 2016); Chunlin Wang(UW-Statistics, 2017), Galyna Grikiv (Western-Economics, 2018).

    Professional Affiliations and Academic Service

  • Visiting Professor at East China University of Science and Technology (Jul. 2019 -- Sept. 2019)
  • Associate Chair of Graduate Studies, Department of Economics, UWaterloo (2018 -- 2019)
  • Visiting Professor at East China University of Science and Technology (Jul. 2018 -- Sept. 2018)
  • Visiting Professor at Chinese University of HongKong (Jan. 2018 -- June. 2018)
  • 2+2 Program Academic Advisor (Waterloo) (2014--present)
  • 2+2 Program Admission Committee (2014-- present)
  • Visiting Professor at East China University of Science and Technology (Jun. 2017 -- Dec. 2017 )
  • MA,PhD Admission Committee (2008, 2009, 2010, 2011, 2012, 2013, 2014, 2016, 2017)
  • MQF Program Affiliate Faculty (2014-- Present )
  • Annual Performance Review Committee (Waterloo) (2013--2015)
  • Undergraduate Committee (Waterloo) (2014--2015)
  • Visiting Professor at Southwestern University of Finance and Economics (Jun. 2010 -- Dec. 2010 )
  • Research Associate -- IQFI/WatRISQ Centre (2007-- Present )
  • Refereeing for Journal of Econometrics, Journal of Computational Finance, Journal of Financial Econometrics, computational statistics and data analysis, Econometric Reviews, Applied Mathematics and Computation, Journal of Applied Statistics, Economics Bulletin, Asia-Pacific Financial Markets, Journal of Economics and Finance, Bulletin of Economic Research, Empirical Economics.
  • Refereeing for SSHRC and NSERC (2013, 2014)
  • Department Advisory Committee on Appointments [Hiring] (Waterloo) (2009--2010, 2011--2012 )
  • Graduate Committee (Waterloo) (2007--2011, 2012--2013)
  • Seminar Committee (Waterloo) (2012--2013)
  • Ph.D Comprehensive Exam Chair/Committee -- Econometrics (Waterloo) (2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014, 2015)
  • Member of the Econometric Society
  • Member of Canadian Econometric Study Group
  • Member of Chinese Economist Society
  • Member of Canadian Economic Association
  • Member of American Economic Association
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