Cees Diks : Citation Profile


Are you Cees Diks?

Universiteit van Amsterdam (34% share)
Universiteit van Amsterdam (33% share)
Tinbergen Instituut (33% share)

12

H index

12

i10 index

724

Citations

RESEARCH PRODUCTION:

18

Articles

46

Papers

RESEARCH ACTIVITY:

   22 years (1992 - 2014). See details.
   Cites by year: 32
   Journals where Cees Diks has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 11 (1.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdi108
   Updated: 2020-02-08    RAS profile: 2015-03-01    
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Relations with other researchers


Works with:

Hommes, Cars (3)

Bolt, Wilko (2)

van der Leij, Marco (2)

Demertzis, Maria (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Cees Diks.

Is cited by:

GUPTA, RANGAN (39)

Lach, Łukasz (35)

Hommes, Cars (33)

Gurgul, Henryk (31)

Panchenko, Valentyn (16)

McAleer, Michael (15)

Wong, Wing-Keung (15)

Westerhoff, Frank (15)

Rossi, Barbara (14)

Lean, Hooi Hooi (14)

Balcilar, Mehmet (13)

Cites to:

Hommes, Cars (27)

Brock, William (26)

Lebaron, Blake (18)

Giacomini, Raffaella (14)

Diebold, Francis (14)

Swanson, Norman (14)

Timmermann, Allan (12)

White, Halbert (11)

Shiller, Robert (11)

Corradi, Valentina (10)

Perez Quiros, Gabriel (9)

Main data


Where Cees Diks has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control6
Studies in Nonlinear Dynamics & Econometrics3
Physica A: Statistical Mechanics and its Applications2
Journal of Macroeconomics2

Working Papers Series with more than one paper published# docs
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance27
Working Papers / Warwick Business School, Finance Group3
Computing in Economics and Finance 2003 / Society for Computational Economics2
Discussion Papers / School of Economics, The University of New South Wales2
Computing in Economics and Finance 2004 / Society for Computational Economics2
Computing in Economics and Finance 2005 / Society for Computational Economics2

Recent works citing Cees Diks (2018 and 2017)


YearTitle of citing document
2019Is Education an Investment for the Future? The Impact of the Greek case on Economic Growth. (2019). Siriopoulos, Costas ; Kassapi, Sophia. In: Annals of Social Sciences & Management studies. RePEc:adp:oajasm:v:3:y:2019:i:5:p:116-119.

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2017Linear and Non-linear Relationships Between Shares of the Agrifood Industries of the Warsaw Stock Exchange. Risk Aspect. (2017). Pera, Jacek. In: Problems of World Agriculture / Problemy Rolnictwa Światowego. RePEc:ags:polpwa:266522.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Kononovicius, Aleksejus ; Gontis, Vygintas. In: Papers. RePEc:arx:papers:1712.05121.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa. In: Papers. RePEc:arx:papers:1812.07295.

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2018Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2019Time-dependent lead-lag relationships between the VIX and VIX futures markets. (2019). Shao, Ying-Hui ; Yang, Yan-Hong. In: Papers. RePEc:arx:papers:1910.13729.

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2019Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2017ANIMAL SPIRITS, HETEROGENEOUS EXPECTATIONS, AND THE AMPLIFICATION AND DURATION OF CRISES. (2017). Hommes, Cars ; Brock, William A ; Assenza, Tiziana. In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:1:p:542-564.

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2017TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS. (2017). Westerhoff, Frank ; Franke, Reiner ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1152-1182.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2017Linear and Non-Linear Granger Causality Between Short-Term and Long-Term Interest Rates: A Rolling Window Strategy. (2017). Lavoie, Marc ; Chu, Ba ; Ba M. Chu, ; Rahimi, Azadeh. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:4:p:882-902.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2018DELFI 2.0, DNBs Macroeconomic Policy Model of the Netherlands. (2018). Vermeulen, Robert ; Kearney, Ide ; Berben, Robert-Paul. In: DNB Occasional Studies. RePEc:dnb:dnbocs:1605.

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2017Short- and long-run causality across the implied volatility of crude oil and agricultural commodities. (2017). Roubaud, David ; Bouri, Elie ; Lien, Donald ; Kachacha, Imad . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00098.

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2019Nonlinear causality between crude oil price and exchange rate: A comparative study of China and India - A Reassessment. (2019). Rath, Badri N ; Bal, Debi P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00220.

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2019Contemporaneous Causal Orderings of CSI300 and Futures Prices through Directed Acyclic Graphs. (2019). Xu, Xiaojie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00237.

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2017Tourism and Economic Growth in Jordan: Evidence from Linear and Nonlinear Frameworks. (2017). , Buthaina ; Daoud, Hussam-Eldin . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-28.

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2017The Lead Lag Relationship Between Spot and Futures Markets in the Energy Sector. (2017). Chen, Jengchung Victor ; Ha, Quang-An ; Prince, Yolanda Gabriela. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-04-04.

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2019Determination of Causality in Prices of Crude Oil. (2019). Ahmed, Farhan ; Aqil, Muhammad ; Kashif, Muhammad ; Sarwat, Salman. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-37.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2019Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects. (2019). Hommes, Cars ; Vroegop, Joris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:314-333.

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2019Income inequality, consumption, credit and credit risk in a data-driven agent-based model. (2019). Papadopoulos, Georgios. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:104:y:2019:i:c:p:39-73.

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2019When speculators meet suppliers: Positive versus negative feedback in experimental housing markets. (2019). Hommes, Cars ; Bao, Te. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:9.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70.

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2018Carl’s nonlinear cobweb. (2018). Hommes, Cars. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:7-20.

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2017Speculative behavior in a housing market: Boom and bust. (2017). Zheng, Min ; Wang, Shouyang. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:50-64.

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2017Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81.

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2019Oil price and Gulf Corporation Council stock indices: New evidence from time-varying copula models. (2019). Vosgha, Hamed ; Fenech, Jean-Pierre. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:81-91.

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2019Exchange rates and fundamentals: A bootstrap panel data analysis. (2019). Chen, Shyh-Wei ; Xie, Zixiong. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:209-224.

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2019Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method. (2019). Wu, Junjie ; Tang, Wenjin ; Bu, Hui . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:181-204.

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2017Herding behavior, market sentiment and volatility: Will the bubble resume?. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Lucey, Brian ; Jlassi, Mouna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:107-131.

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2018OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach. (2018). GUPTA, RANGAN ; Yoon, Seong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:206-214.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data. (2019). GUPTA, RANGAN ; Wohar, Mark E ; Volkman, David A ; Risse, Marian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:391-405.

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2019Assessing risk contagion among the Brent crude oil market, London gold market and stock markets: Evidence based on a new wavelet decomposition approach. (2019). Su, Xianfang ; Jiang, Yong ; Kuang, Yuanpei ; Lin, Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940819300968.

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2019Does twitter predict Bitcoin?. (2019). Shen, Dehua ; Wang, Pengfei ; Urquhart, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:118-122.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2018Geopolitical risks and stock market dynamics of the BRICS. (2018). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bonato, Matteo. In: Economic Systems. RePEc:eee:ecosys:v:42:y:2018:i:2:p:295-306.

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2019Monetary policy under behavioral expectations: Theory and experiment. (2019). Weber, Matthias ; Hommes, Cars ; Massaro, Domenico. In: European Economic Review. RePEc:eee:eecrev:v:118:y:2019:i:c:p:193-212.

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2018Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

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2017Wavelet-based test of co-movement and causality between oil and renewable energy stock prices. (2017). Ugolini, Andrea ; Reboredo, Juan ; Rivera-Castro, Miguel A. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:241-252.

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2017Joint price and volumetric risk in wind power trading: A copula approach. (2017). Pircalabu, A ; Hog, E ; Jung, J ; Hvolby, T. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:139-154.

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2017The CO2–growth nexus revisited: A nonparametric analysis for the G7 economies over nearly two centuries. (2017). Shahbaz, Muhammad ; Papavassiliou, Vassilios ; Hammoudeh, Shawkat ; Shafiullah, Muhammad. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:183-193.

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2017The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective. (2017). Ji, Qiang ; Geng, Jiang-Bo ; Fan, Ying. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:98-110.

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2018Date stamping historical periods of oil price explosivity: 1876–2014. (2018). GUPTA, RANGAN ; Caspi, Itamar ; Katzke, Nico . In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:582-587.

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2018Oil returns and volatility: The role of mergers and acquisitions. (2018). Tiwari, Aviral ; GUPTA, RANGAN ; Demirer, Riza ; Bos, Martijn. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:62-69.

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2018Connectedness network and dependence structure mechanism in green investments. (2018). Lundgren, Amanda Ivarsson ; Kang, Sang Hoon ; Uddin, Gazi Salah ; Milicevic, Adriana. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:145-153.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2019The effects of oil price shocks on Asian exchange rates: Evidence from quantile regression analysis. (2019). Nusair, Salah ; Olson, Dennis. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:44-63.

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2019Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:615-628.

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2019Modelling systemic risk and dependence structure between the prices of crude oil and exchange rates in BRICS economies: Evidence using quantile coherency and NGCoVaR approaches. (2019). Tiwari, Aviral ; Bachmeier, Lance ; Alqahtani, Faisal ; Trabelsi, Nader. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1011-1028.

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2019Crude oil price shocks and hedging performance: A comparison of volatility models. (2019). Cho, Hoon ; Chun, Dohyun ; Kim, Jihun. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1132-1147.

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2019Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Alqahtani, Faisal ; Trabelsi, Nader. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:445-466.

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2017Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016. (2017). Wei, Yi-Ming ; Chevallier, Julien ; Han, Dong ; Zhu, Bangzhu. In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:309-322.

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2019Is energy security a driver for economic growth? Evidence from a global sample. (2019). LE, Thai-Ha ; Canh, Nguyen ; Nguyen, Canh Phuc. In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:436-451.

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2019Renewable and non-renewable electricity consumption, environmental degradation and economic development: Evidence from Mediterranean countries. (2019). Zrelli, Maha Harbaoui ; Belaid, Fateh. In: Energy Policy. RePEc:eee:enepol:v:133:y:2019:i:c:s0301421519305166.

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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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2017The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia. (2017). Repha, Isaac Yak ; Wesseh, Presley K ; Wang, Zhen ; Gbatu, Abimelech Paye. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:975-990.

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2019Regime differences and industry heterogeneity of the volatility transmission from the energy price to the PPI. (2019). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:900-916.

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2019Multiparameter probability distributions for at-site frequency analysis of annual maximum wind speed with L-Moments for parameter estimation. (2019). Chen, LU ; Yan, Ting ; Fawad, Muhammad ; Singh, Vijay P ; Huang, Kangdi. In: Energy. RePEc:eee:energy:v:181:y:2019:i:c:p:724-737.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2018Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach. (2018). Dash, Saumya Ranjan ; Maitra, Debasish. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:32-39.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2018How sensitive is corporate debt to swings in commodity prices?. (2018). Donders, Pablo ; Wagner, Rodrigo ; Jara, Mauricio. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:237-258.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018The dynamics of volatility connectedness in international real estate investment trusts. (2018). Liow, Kim Hiang ; Huang, Yuting. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:195-210.

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2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

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2018Are macroeconomic density forecasts informative?. (2018). Clements, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:181-198.

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2019Euro area real-time density forecasting with financial or labor market frictions. (2019). Warne, Anders ; McAdam, Peter. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:580-600.

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2019Text-based crude oil price forecasting: A deep learning approach. (2019). Wang, Shouyang ; Shang, Wei ; Li, Xuerong. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1548-1560.

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2019Learning, heterogeneity, and complexity in the New Keynesian model. (2019). Levine, Paul ; Hommes, Cars ; Jump, Robert Calvert. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:166:y:2019:i:c:p:446-470.

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2018Revisiting the bi-directional causality between debt and growth: Evidence from linear and nonlinear tests. (2018). Trachanas, Emmanouil ; Luo, Yun ; de Vita, Glauco. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:55-74.

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2018Currency downside risk, liquidity, and financial stability. (2018). Chulia, Helena ; Uribe, Jorge M ; Fernandez, Julian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:89:y:2018:i:c:p:83-102.

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2018On the spot-futures relationship in crude-refined petroleum prices: New evidence from an ARDL bounds testing approach. (2018). Arfaoui, Mongi. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:11:y:2018:i:c:p:48-58.

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2017Causality analysis of the Canadian city house price indices: A cross-sample validation approach. (2017). Panagiotidis, Theodore ; Kyriazakou, Eleni . In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:16:y:2017:i:c:p:42-52.

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2017Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. (2017). Roubaud, David ; Bouri, Elie ; Biswal, P C ; Jain, Anshul . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:201-206.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2019Nonlinear relationships amongst the implied volatilities of crude oil and precious metals. (2019). Bouri, Elie ; Dutta, Anupam ; Roubaud, David. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:473-478.

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2019Does internet search interest for gold move the gold spot, stock and exchange rate markets? A study from India. (2019). Biswal, Pratap Chandra ; Jain, Anshul . In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:501-507.

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2019Determining the predictive power between cryptocurrencies and real time commodity futures: Evidence from quantile causality tests. (2019). Apergis, Nicholas ; Ur, Mobeen. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:603-616.

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2019Public and private investment in the hydrocarbon-based rentier economies: A case study for the GCC countries. (2019). Asutay, Mehmet ; Akkas, Erhan ; Ari, Ibrahim ; Ko, Muammer. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:165-175.

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2019A quantile regression analysis of flights-to-safety with implied volatilities. (2019). Troster, Victor ; Bouri, Elie ; Roubaud, David. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:482-495.

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2019The dynamic causality between gold and silver prices in India: Evidence using time-varying and non-linear approaches. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Pradhan, Ashis ; Mishra, Bibhuti Ranjan. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:66-76.

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2019Co-movement between oil, gas, coal, and iron ore prices, the Australian dollar, and the Chinese RMB exchange rates: A copula approach. (2019). Wang, Junhao ; Ma, Yiqun . In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:36.

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2017Role of index futures on Chinas stock markets: Evidence from price discovery and volatility spillover. (2017). Yang, Dongxiao ; Miao, Hong ; Ramchander, Sanjay ; Wang, Tianyang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:13-26.

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2017Dynamic effects of memory in a cobweb model with competing technologies. (2017). Naimzada, Ahmad ; Agliari, Anna ; Pecora, Nicolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:340-350.

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2017Dynamic relationship between Japanese Yen exchange rates and market anxiety: A new perspective based on MF-DCCA. (2017). Lu, Xinsheng ; Ge, Jintian ; Sun, Xinxin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:474:y:2017:i:c:p:144-161.

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2017Multiscale Shannon entropy and its application in the stock market. (2017). Gu, Rongbao . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:484:y:2017:i:c:p:215-224.

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2018A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test. (2018). Faria, S H ; Neumann, M B ; Polanco-Martinez, J M ; Fernandez-Macho, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1211-1227.

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2018The lead-lag relationships between spot and futures prices of natural gas. (2018). Zhang, Yahui ; Liu, LI. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:203-211.

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2018The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1075-1083.

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2018Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data. (2018). Kanda, Patrick ; GUPTA, RANGAN ; Burke, Michael. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1060-1080.

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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469.

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2019Time-varying lead–lag structure between the crude oil spot and futures markets. (2019). Yang, Yan-Hong ; Shao, Ying-Hui ; Stanley, Eugene H. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:723-733.

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2019The linear and nonlinear lead–lag relationship among three SSE 50 Index markets: The index futures, 50ETF spot and options markets. (2019). Li, Long ; Bao, SI ; Jiang, Tao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:878-893.

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2020Nonlinear dependence and information spillover between electricity and fuel source markets: New evidence from a multi-scale analysis. (2020). Geng, Jiang-Bo ; Ji, Qiang ; Xia, Tongshui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119313299.

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2019Oil price fluctuations and exchange rate dynamics in the MENA region: Evidence from non-causality-in-variance and asymmetric non-causality tests. (2019). Rault, Christophe ; Amor, Thouraya Hadj ; Nouira, Ridha. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:73:y:2019:i:c:p:159-171.

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More than 100 citations found, this list is not complete...

Works by Cees Diks:


YearTitleTypeCited
2001A nonparametric bootstrap test for nonlinear Granger causality In: CeNDEF Workshop Papers, January 2001.
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paper0
2000Redundancies in the Earths climatological time series In: CeNDEF Working Papers.
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2000Dimension estimations, stock returns and volatility clustering In: CeNDEF Working Papers.
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2001Tests for serial independence and linearity based on correlation integrals In: CeNDEF Working Papers.
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2002Tests for Serial Independence and Linearity Based on Correlation Integrals.(2002) In: Studies in Nonlinear Dynamics & Econometrics.
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2002Location of investors and capitical flight In: CeNDEF Working Papers.
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2002Detecting serial dependence in tail events: A test dual to BDS test In: CeNDEF Working Papers.
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2003Detecting serial dependence in tail events: a test dual to the BDS test.(2003) In: Economics Letters.
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2002Continuous Beliefs Dynamics In: CeNDEF Working Papers.
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2003Heterogeneity as a natural source of randomness In: CeNDEF Working Papers.
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2003Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS In: CeNDEF Working Papers.
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2005Herding, a-synchronous updating and heterogeneity in memory in a CBS.(2005) In: Journal of Economic Dynamics and Control.
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2004A note on the Hiemstra-Jones test for Granger non-causality In: CeNDEF Working Papers.
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2005A Note on the Hiemstra-Jones Test for Granger Non-causality.(2005) In: Studies in Nonlinear Dynamics & Econometrics.
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2004A new statistic and practical guidelines for nonparametric Granger causality testing In: CeNDEF Working Papers.
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2006A new statistic and practical guidelines for nonparametric Granger causality testing.(2006) In: Journal of Economic Dynamics and Control.
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2005Equivalence and bifurcations of finite order stochastic processes In: CeNDEF Working Papers.
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2005Nonparametric Tests for Serial Independence Based on Quadratic Forms In: CeNDEF Working Papers.
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2006A weak bifurcation theory for discrete time stochastic dynamical systems In: CeNDEF Working Papers.
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2006Informational differences and learning in an asset market with boundedly rational agents In: CeNDEF Working Papers.
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2008Informational differences and learning in an asset market with boundedly rational agents.(2008) In: Journal of Economic Dynamics and Control.
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2006Rank-based entropy tests for serial independence In: CeNDEF Working Papers.
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2008Rank-based Entropy Tests for Serial Independence.(2008) In: Studies in Nonlinear Dynamics & Econometrics.
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2006E&F Chaos: a user friendly software package for nonlinear economic dynamics In: CeNDEF Working Papers.
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2008E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics.(2008) In: Computational Economics.
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2007The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing In: CeNDEF Working Papers.
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2008The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing.(2008) In: Journal of Macroeconomics.
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2007The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality In: CeNDEF Working Papers.
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2008The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality.(2008) In: Energy Economics.
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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
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2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
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2009Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns In: CeNDEF Working Papers.
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2012Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns.(2012) In: Central European Journal of Economic Modelling and Econometrics.
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2011Phenomenological and ratio bifurcations of a class of discrete time stochastic processes In: CeNDEF Working Papers.
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2011Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices In: CeNDEF Working Papers.
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2011Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices.(2011) In: DNB Working Papers.
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2013Nonlinear Granger Causality: Guidelines for Multivariate Analysis In: CeNDEF Working Papers.
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2013Partial Symbolic Transfer Entropy In: CeNDEF Working Papers.
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1999Consistent Testing for Serial Independence In: CeNDEF Working Papers.
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1999Dynamical Behavior of Agent Models In: CeNDEF Working Papers.
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2014Identifying booms and busts in house prices under heterogeneous expectations In: DNB Working Papers.
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2014Identifying Booms and Busts in House Prices under Heterogeneous Expectations.(2014) In: European Economy - Economic Papers 2008 - 2015.
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2006Computing in economics and finance In: Journal of Economic Dynamics and Control.
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2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
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2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
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2006Comments on Global sunspots in OLG models In: Journal of Macroeconomics.
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1992Quasicrystalline polymers In: Physica A: Statistical Mechanics and its Applications.
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2013More memory under evolutionary learning may lead to chaos In: Physica A: Statistical Mechanics and its Applications.
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2011Likelihood-based scoring rules for comparing density forecasts in tails In: Post-Print.
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2005The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks In: IMF Working Papers.
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2001Asset pricing with a continuum of belief types In: Computing in Economics and Finance 2001.
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2002Endogenous Noise from Continuous Choice In: Computing in Economics and Finance 2002.
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2003The correlation dimension of returns with stochastic volatility In: Computing in Economics and Finance 2003.
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2003Conditional distribution resampling for time series In: Computing in Economics and Finance 2003.
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2004Modified Hiemstra-Jones Test for Granger Non-causality In: Computing in Economics and Finance 2004.
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2004Testing multivariate hypotheses with positive definite bilinear forms In: Computing in Economics and Finance 2004.
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2005Test for serial independence based on quadratic forms In: Computing in Economics and Finance 2005.
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2005Financial markets with heterogeneous agents as nonlinear news filters In: Computing in Economics and Finance 2005.
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2005Equivalence and bifurcations of finite order stochastic processes In: Working Papers.
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2006A weak bifucation theory for discrete time stochastic dynamical systems In: Working Papers.
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2007Informational differences and learning in an asset market with boundedly rational agents In: Working Papers.
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