Dick van Dijk : Citation Profile

Are you Dick van Dijk?

Erasmus Universiteit Rotterdam (98% share)
Tinbergen Instituut (1% share)
Erasmus Universiteit Rotterdam (1% share)

26

H index

54

i10 index

2421

Citations

RESEARCH PRODUCTION:

66

Articles

131

Papers

RESEARCH ACTIVITY:

   21 years (1996 - 2017). See details.
   Cites by year: 115
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 189.    Total self citations: 62 (2.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2018-04-21    RAS profile: 2018-02-19    
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Relations with other researchers

Works with:

van der Wel, Michel (8)

Groenen, Patrick (3)

Exterkate, Peter (3)

Ozturk, Sait (2)

Osborn, Denise (2)

Paap, Richard (2)

Bataa, Erdenebat (2)

Kole, Erik (2)

Panchenko, Valentyn (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dick van Dijk.

Is cited by:

Osborn, Denise (47)

Mignon, Valérie (40)

GUPTA, RANGAN (39)

Milas, Costas (38)

Balcilar, Mehmet (35)

McAleer, Michael (32)

Miller, Stephen (30)

Medeiros, Marcelo (26)

JAWADI, Fredj (25)

Cavaliere, Giuseppe (23)

Taylor, Robert (23)

Cites to:

Diebold, Francis (88)

Timmermann, Allan (67)

Bollerslev, Tim (61)

Watson, Mark (47)

Pesaran, M (42)

Franses, Philip Hans (41)

Engle, Robert (40)

Perez Quiros, Gabriel (35)

Andersen, Torben (33)

Stock, James (32)

Teräsvirta, Timo (32)

Main data

Where Dick van Dijk has published?

Journals with more than one article published# docs
International Journal of Forecasting12
Journal of Econometrics6
Journal of Business & Economic Statistics4
Journal of Applied Econometrics3
Applied Financial Economics3
Journal of Empirical Finance3
Journal of Economic Dynamics and Control3
Computational Statistics & Data Analysis3
The Review of Economics and Statistics2
Journal of Banking & Finance2
Oxford Bulletin of Economics and Statistics2
Econometric Reviews2
Applied Economics2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute46
Tinbergen Institute Discussion Papers / Tinbergen Institute30
ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam13
Post-Print / HAL3
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Discussion Papers / School of Economics, The University of New South Wales2

Recent works citing Dick van Dijk (2018 and 2017)

YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Delle Monache, Davide ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2017Financial conditions index (FCI), inflation and growth: Some evidence. (2017). Sahoo, Manamani. In: Theoretical and Applied Economics. RePEc:agr:journl:v:3(612):y:2017:i:3(612):p:147-172.

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2017Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers. (2017). Manera, Matteo ; Galeotti, Marzio ; Bastianin, Andrea. In: ET: Economic Theory. RePEc:ags:feemet:253725.

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2018“A regional perspective on the accuracy of machine learning forecasts of tourism demand based on data characteristics”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201802.

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2017Law on the Market? Abnormal Stock Returns and Supreme Court Decision-Making. (2017). Katz, Daniel Martin ; Chen, James Ming ; Soellinger, Tyler ; Bommarito, Michael J. In: Papers. RePEc:arx:papers:1508.05751.

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2017Empirical analysis of daily cash flow time series and its implications for forecasting. (2017). Salas-Molina, Francisco ; Martin, Francisco J ; Serra, Joan ; Rodr, Juan A. In: Papers. RePEc:arx:papers:1611.04941.

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2017Recursive Marginal Quantization of Higher-Order Schemes. (2017). Platen, Eckhard ; McWalter, Thomas ; Rudd, R ; Kienitz, J. In: Papers. RePEc:arx:papers:1701.02681.

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2017Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph . In: Papers. RePEc:arx:papers:1704.06388.

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2017Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process. (2017). Cozma, Andrei ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1704.07321.

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2017Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2017). Cozma, Andrei ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1706.07375.

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2017Dynamic Quantile Function Models. (2017). Ye, Wilson ; Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1707.02587.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2017Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model. (2017). Ma, Jingtang ; Zheng, Harry ; Li, Wenyuan. In: Papers. RePEc:arx:papers:1710.10487.

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2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Ravazzolo, Francesco ; Rossini, Luca ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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2018Dirichlet Forms and Finite Element Methods for the SABR Model. (2018). Horvath, Blanka ; Reichmann, Oleg . In: Papers. RePEc:arx:papers:1801.02719.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, KE. In: Papers. RePEc:arx:papers:1804.02348.

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2017An Analysis of Investment Strategies and Excess Returns in the China (Shanghai) Stock Market. (2017). Chin, Ming-Chin ; Chan, Ya-Chuan. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:1227-1241.

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2017The Effect of Exchange Rate Volatility on Stock Return in Taiwan Around Abenomics. (2017). Chien-Chung, Nieh ; Hsun-Fang, Cho . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:368-380.

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2018Government Size and Economic Growth in Asia - Evidence from China and Japan. (2018). Nguyet, Thi Bich ; Phung, Duc Nam. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:71-89.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2017Assessing the Business Outlook Survey Indicator Using Real-Time Data. (2017). Pichette, Lise ; Robitaille, Marie-Noelle . In: Discussion Papers. RePEc:bca:bocadp:17-5.

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2017Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726.

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

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2018Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors. (2018). Schmidt, Katja ; Faubert, V ; Bereau, S. In: Working papers. RePEc:bfr:banfra:663.

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2018Nonlinear state and shock dependence of exchange rate pass through on prices. (2018). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto. In: BIS Working Papers. RePEc:bis:biswps:690.

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2017Macro-financial linkages: the role of liquidity dependence. (2017). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps24.

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2017Economic Freedom and Income Inequality: Evidence from a Panel of Global Economies— A Linear and a Non-Linear Long-Run Analysis. (2017). Cooray, Arusha ; Apergis, Nicholas. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:1:p:88-105.

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2017Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework. (2017). Leiva-Leon, Danilo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:4:p:513-545.

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2017Testing and explaining economic resilience with an application to Italian regions. (2017). di Caro, Paolo. In: Papers in Regional Science. RePEc:bla:presci:v:96:y:2017:i:1:p:93-113.

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2017Growth Effect of Foreign Direct Investment in Developing Economies: The Role of Institutional Quality. (2017). LEVIEUGE, Gregory ; Jude, Cristina. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:4:p:715-742.

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2017WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan . In: Working Papers. RePEc:bli:wpaper:1704.

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2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0060.

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2017On the Current Account - Biofuels Link in Emerging and Developing Countries: Do Oil Price Fluctuations Matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: Working Papers. RePEc:cii:cepidt:2017-07.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli . In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli . In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2017The Reaction of Stock Market Returns to Unemployment. (2017). Taamouti, Abderrahim ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:24120.

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2017Electricity prices forecasting by averaging dynamic factor models. (2017). Alonso, Andres Modesto ; Garcia-Martos, Carolina ; Bastos, Guadalupe . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24028.

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2017MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrénot, Gilles ; Khayat, Guillaume A ; Dufrenot, Gilles. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12.

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2017On the current account - biofuels link in emerging and developing countries: do oil price fluctuations matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-30.

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2017The effects on economic growth of natural resources in Sub-Saharan Africa: Does the quality of institutions matters?. (2017). TSOPMO, Pierre Christian ; Mondjeli, Itchoko Motande . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00550.

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2017Modeling nonlinear water demand : The case of Tunisia. (2017). Ben Cheikh, Nidhaleddine ; Nguyen, Pascal ; Younes, Ben Zaied ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00022.

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2017Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2017Mind the output gap: the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area. (2017). Semmler, Willi ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172004.

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2018Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136.

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2018Sparse polynomial chaos expansion based on D-MORPH regression. (2018). Cheng, Kai ; Lu, Zhenzhou. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:323:y:2018:i:c:p:17-30.

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2017Research and application of a hybrid wavelet neural network model with the improved cuckoo search algorithm for electrical power system forecasting. (2017). Xiao, Liye ; Jin, Congjun ; Ma, Jing ; Yu, Mengxia ; Shao, Wei. In: Applied Energy. RePEc:eee:appene:v:198:y:2017:i:c:p:203-222.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2017Managerial innovation incentives, management buyouts, and shareholders intolerance of failure. (2017). Kamoto, Shinsuke . In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:55-74.

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2018The distributional effects of capital account liberalization. (2018). Loungani, Prakash ; Furceri, Davide. In: Journal of Development Economics. RePEc:eee:deveco:v:130:y:2018:i:c:p:127-144.

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2017What is the globalisation of inflation?. (2017). Osborn, Denise ; Bratsiotis, George ; Altansukh, Gantungalag ; Becker, Ralf. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:1-27.

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2017Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy. (2017). Szafranek, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:63:y:2017:i:c:p:334-348.

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2017A conditional autoregressive range model with gamma distribution for financial volatility modelling. (2017). Xie, Haibin ; Wu, Xinyu . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:349-356.

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2018U.S. wage growth and nonlinearities: The roles of inflation and unemployment. (2018). Donayre, Luiggi ; Panovska, Irina . In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:273-292.

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2018Asymmetric effects of government spending shocks during the financial cycle. (2018). Tsintzos, Panagiotis ; Plakandaras, Vasilios ; Pragidis, I C. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:372-387.

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2017Pair trading based on quantile forecasting of smooth transition GARCH models. (2017). Chen, Cathy W. S. ; Lee, Sangyeol ; Sriboonchitta, Songsak ; Wang, Zona . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:38-55.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). Katzke, Nico ; GUPTA, RANGAN ; Balcilar, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:63-72.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Chang, Ya-Ting ; Hsu, Chih-Chiang ; Gau, Yin-Feng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2018A simple test on structural change in long-memory time series. (2018). Wenger, Kai ; Leschinski, Christian ; Sibbertsen, Philipp. In: Economics Letters. RePEc:eee:ecolet:v:163:y:2018:i:c:p:90-94.

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2017Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form. (2017). Taylor, Robert ; Nielsen, Morten ; Cavaliere, Giuseppe ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:165-188.

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2017Tests of equal accuracy for nested models with estimated factors. (2017). McCracken, Michael ; Goncalves, Silvia ; Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:231-252.

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2017Realized stochastic volatility with general asymmetry and long memory. (2017). McAleer, Michael ; Chang, Chia-Lin ; Asai, Manabu. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:2:p:202-212.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017When no news is good news – The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2017Forecasting the term structure of government bond yields in unstable environments. (2017). Korobilis, Dimitris ; Byrne, Joseph ; Cao, Shuo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:209-225.

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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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2017Diversifying away the risk of war and cross-border political crisis. (2017). , Ayman ; Nolte, Sandra ; Wisniewski, Tomasz Piotr . In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:494-510.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Is the recent low oil price attributable to the shale revolution?. (2017). Park, Cheolbeom ; Bataa, Erdenebat. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:72-82.

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2017Hedging local volume risk using forward markets: Nordic case. (2017). Ernstsen, Rune Ramsdal ; Skajaa, Anders ; Tegner, Martin ; Boomsma, Trine Krogh. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:490-514.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017Emerging markets: Is the trend still your friend?. (2017). Conover, Mitchell C ; Szakmary, Andrew C ; Johnson, Robert R ; Jensen, Gerald R. In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:128-148.

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2017Range-based and GARCH volatility estimation: Evidence from the French asset market. (2017). Benlagha, Noureddine ; Chargui, Sana . In: Global Finance Journal. RePEc:eee:glofin:v:32:y:2017:i:c:p:149-165.

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2017Identifying and measuring the contagion channels at work in the European financial crises. (2017). Guidolin, Massimo ; Pedio, Manuela. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:117-134.

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2017Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

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2017Forecasting the Brazilian yield curve using forward-looking variables. (2017). Fernandes, Marcelo ; Chague, Fernando ; Vieira, Fausto . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:121-131.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Does realized volatility help bond yield density prediction?. (2017). Shin, Minchul ; Zhong, Molin. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:373-389.

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2017Structural forecasts for marketing data. (2017). Allenby, Greg M. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:433-441.

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2017Model and survey estimates of the term structure of US macroeconomic uncertainty. (2017). Galvão, Ana ; Clements, Michael ; Galvo, Ana Beatriz. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:591-604.

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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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2017The impact of the European sovereign debt crisis on banks stocks. Some evidence of shift contagion in Europe. (2017). Allegret, Jean-Pierre ; Rharrabti, Houda ; Raymond, Helene. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:24-37.

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2018Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Stan, Raluca ; Kurov, Alexander . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

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2018Detecting money market bubbles. (2018). Platen, Eckhard ; Baldeaux, Jan ; Ignatieva, Katja. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:369-379.

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2017Debt thresholds and real exchange rates: An emerging markets perspective. (2017). Velic, Adnan ; Galstyan, Vahagn. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:452-470.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2018Factors of the term structure of sovereign yield spreads. (2018). Wellmann, Dennis ; Truck, Stefan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2017The impact of latency sensitive trading on high frequency arbitrage opportunities. (2017). Webb, Robert I ; Mollica, Vito ; Zhang, Shunquan ; Frino, Alex. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:91-102.

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2017Log-periodic view on critical dates of the Chinese stock market bubbles. (2017). Li, Chong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:305-311.

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2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective. (2017). Liu, Zhicao ; Ma, Feng ; Ye, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:181-188.

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2018Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China. (2018). Borjigin, Sumuya ; Sun, Leilei ; Yang, Xiaoguang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:107-115.

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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2017The relevance of international spillovers and asymmetric effects in the Taylor rule. (2017). Dreger, Christian ; Beckmann, Joscha ; Belke, Ansgar. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:162-170.

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2017Seasonal anomalies in advanced emerging stock markets. (2017). Docherty, Paul ; Seif, Mostafa ; Shamsuddin, Abul. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:169-181.

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

Works by Dick van Dijk:

YearTitleTypeCited
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
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2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
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2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers.
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2016Nonlinear forecasting with many predictors using kernel ridge regression.(2016) In: International Journal of Forecasting.
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2011Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers.
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2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
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2000Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers.
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2000Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2000Asymmetric and common absorption of shocks in nonlinear autoregressive models.(2000) In: Econometric Institute Research Papers.
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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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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute 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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2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
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2008Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers.
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1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
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1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
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2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
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2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
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2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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2009Do Leading Indicators Lead Peaks More Than Troughs? In: Journal of Business & Economic Statistics.
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2007Do leading indicators lead peaks more than troughs?.(2007) In: Econometric Institute Research Papers.
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2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2014Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation In: Oxford Bulletin of Economics and Statistics.
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2008Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation.(2008) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
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2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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2001MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP In: Macroeconomic Dynamics.
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2002Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series In: Royal Economic Society Annual Conference 2002.
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2001Short-term volatility versus long-term growth: evidence in US macroeconomic time series.(2001) In: Econometric Institute Research Papers.
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2001Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2001Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: The School of Economics Discussion Paper Series.
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2004Forecasting US Inflation Using Model Averaging In: Econometric Society 2004 Australasian Meetings.
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2004A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production In: Econometric Society 2004 Australasian Meetings.
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2003A multi-level panel smooth transition autoregression for US sectoral production.(2003) In: Econometric Institute Research Papers.
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2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
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2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 27		paper
2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
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2007Forecast comparison of principal component regression and principal covariate regression In: Computational Statistics & Data Analysis.
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2005Forecast comparison of principal component regression and principal covariate regression.(2005) In: Econometric Institute Research Papers.
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2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
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2005Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method In: Journal of Development Economics.
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2013Measuring and predicting heterogeneous recessions In: Journal of Economic Dynamics and Control.
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2012Measuring and Predicting Heterogeneous Recessions.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2011Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers.
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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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2013Forecasting volatility with the realized range in the presence of noise and non-trading In: The North American Journal of Economics and Finance.
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2012Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management.
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2005Testing for causality in variance in the presence of breaks In: Economics Letters.
[Full Text][Citation analysis]		article25
2004Testing for causality in variance in the presence of breaks.(2004) In: Econometric Institute Research Papers.
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2004Testing for causality in variance in the presence of breaks.(2004) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2002A nonlinear long memory model, with an application to US unemployment In: Journal of Econometrics.
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2007A unified approach to nonlinearity, structural change, and outliers In: Journal of Econometrics.
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2005A unified approach to nonlinearity, structural change and outliers.(2005) In: Econometric Institute Research Papers.
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2007Measuring volatility with the realized range In: Journal of Econometrics.
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2006Measuring volatility with the realized range.(2006) In: Econometric Institute Research Papers.
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2010Twenty years of cointegration In: Journal of Econometrics.
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2010Cointegration in a historical perspective In: Journal of Econometrics.
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2009Cointegration in a historical perspective.(2009) In: Econometric Institute Research Papers.
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2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
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2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
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2005The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? In: Emerging Markets Review.
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2005The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?.(2005) In: ERIM Report Series Research in Management.
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2003Stock selection strategies in emerging markets In: Journal of Empirical Finance.
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2001Stock Selection Strategies in Emerging Markets.(2001) In: Tinbergen Institute Discussion Papers.
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2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
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2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
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2015Forecasting day-ahead electricity prices: Utilizing hourly prices In: Energy Economics.
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2013Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices.(2013) In: Tinbergen Institute Discussion Papers.
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2005The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting.
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2001The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.(2001) In: Econometric Institute Research Papers.
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2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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2005Reply In: International Journal of Forecasting.
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2005Forecasting aggregates using panels of nonlinear time series In: International Journal of Forecasting.
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2004Forecasting aggregates using panels of nonlinear time series.(2004) In: Econometric Institute Research Papers.
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2006Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages. In: International Journal of Forecasting.
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2008Macroeconomic forecasting with matched principal components In: International Journal of Forecasting.
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2009Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting.
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2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting.
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2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison In: International Journal of Forecasting.
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2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison.(2011) In: International Journal of Forecasting.
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2016Getting the most out of macroeconomic information for predicting excess stock returns In: International Journal of Forecasting.
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2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
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2008Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management.
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2014Speed, algorithmic trading, and market quality around macroeconomic news announcements In: Journal of Banking & Finance.
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2012Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements.(2012) In: Tinbergen Institute Discussion Papers.
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2009The economic value of fundamental and technical information in emerging currency markets In: Journal of International Money and Finance.
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2007The Economic Value of Fundamental and Technical Information in Emerging Currency Markets.(2007) In: ERIM Report Series Research in Management.
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2013Bayesian forecasting of federal funds target rate decisions In: Journal of Macroeconomics.
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2011Bayesian Forecasting of Federal Funds Target Rate Decisions.(2011) In: Tinbergen Institute Discussion Papers.
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2009Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana In: El Trimestre Económico.
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2007Evaluating real-time forecasts in real-time In: Econometric Institute Research Papers.
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2008Range-based covariance estimation using high-frequency data: The realized co-range In: Econometric Institute Research Papers.
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2007Modeling regional house prices In: Econometric Institute Research Papers.
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2011Modelling regional house prices.(2011) In: Applied Economics.
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1996Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers.
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1999Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics.
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1997Modelling Multiple Regimes in the Business Cycle In: Econometric Institute Research Papers.
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1997Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks In: Econometric Institute Research Papers.
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1997Do We Often Find ARCH Because Of Neglected Outliers? In: Econometric Institute Research Papers.
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1997Nonlinear Error-Correction Models for Interest Rates in The Netherlands In: Econometric Institute Research Papers.
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1998Modeling asymmetric volatility in weekly Dutch temperature data In: Econometric Institute Research Papers.
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1998Nonlinearities and outliers: robust specification of STAR models In: Econometric Institute Research Papers.
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1998Forecasting volatility with switching persistence GARCH models In: Econometric Institute Research Papers.
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1998Does the absence of cointegration explain the typical findings in long horizon regressions? In: Econometric Institute Research Papers.
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1999Unit root tests and assymmetric adjustment In: Econometric Institute Research Papers.
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1999Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers.
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1999Outlier detection in the GARCH (1,1) model In: Econometric Institute Research Papers.
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1999A multivariate STAR analysis of the relationship between money and output In: Econometric Institute Research Papers.
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2000A Multivariate STAR Analysis of the Relationship Between Money and Output.(2000) In: Working Papers.
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1999A Multivariate STAR Analysis of the Relationship Between Money and Output.(1999) In: Working Papers.
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2004Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers.
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2000Seasonal smooth transition autoregression In: Econometric Institute Research Papers.
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2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
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2001Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
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2000A nonlinear long memory model for US unemployment In: Econometric Institute Research Papers.
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2003Does Africa grow slower than Asia and Latin America? In: Econometric Institute Research Papers.
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2009Macroeconomic forecasting with real-time data: an empirical comparison In: Econometric Institute Research Papers.
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2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy In: Econometric Institute Research Papers.
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2003Forecasting industrial production with linear, nonlinear, and structural change models In: Econometric Institute Research Papers.
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2010Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model In: Econometric Institute Research Papers.
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2013Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model.(2013) In: Journal of Forecasting.
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2010Financial Development and Convergence Clubs In: Econometric Institute Research Papers.
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2002Changes in variability of the business cycle in the G7 countries In: Econometric Institute Research Papers.
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2002Changes in Variability of the Business Cycle in the G7 Countries.(2002) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2002Changes in variability of the business cycle in the G7 countries.(2002) In: The School of Economics Discussion Paper Series.
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2002A simple test for PPP among traded goods In: Econometric Institute Research Papers.
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2006A simple test for PPP among traded goods.(2006) In: Applied Financial Economics.
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2005Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers.
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2006Improved Construction of diffusion indexes for macroeconomic forecasting In: Econometric Institute Research Papers.
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2006Bayesian Model Averaging in the Presence of Structural Breaks In: Econometric Institute Research Papers.
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2006Time series forecasting by principal covariate regression. In: Econometric Institute Research Papers.
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2007When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? In: ERIM Report Series Research in Management.
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2013When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2013) In: Review of Finance.
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2009When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2009) In: Working Papers.
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2007The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations In: ERIM Report Series Research in Management.
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2007A Recommitment Strategy for Long Term Private Equity Fund Investors In: ERIM Report Series Research in Management.
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2008The Inefficient Use of Macroeconomic Information in Analysts Earnings Forecasts in Emerging Markets In: ERIM Report Series Research in Management.
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2008Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: ERIM Report Series Research in Management.
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2009Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management.
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2010Corporate Governance and the Cost of Debt of Large European Firms In: ERIM Report Series Research in Management.
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2012Realized mixed-frequency factor models for vast dimensional covariance estimation In: ERIM Report Series Research in Management.
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2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
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2007Good News is No News In: ERIM Inaugural Address Series Research in Management.
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2017Panel Smooth Transition Regression Models In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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2009Instability and Nonlinearity in the Euro-Area Phillips Curve In: International Journal of Central Banking.
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2005On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics.
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2005A multi-level panel STAR model for US manufacturing sectors In: Journal of Applied Econometrics.
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2003On SETAR non-linearity and forecasting In: Journal of Forecasting.
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2009Structural Breaks in the International Transmission of Inflation In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2009Changes in International Business Cycle Affiliations In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2009Changes in International Business Cycle Affiliations.(2009) In: The School of Economics Discussion Paper Series.
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