Dick van Dijk : Citation Profile


Are you Dick van Dijk?

Erasmus Universiteit Rotterdam
Tinbergen Instituut
Erasmus Universiteit Rotterdam

25

H index

47

i10 index

2109

Citations

RESEARCH PRODUCTION:

66

Articles

131

Papers

RESEARCH ACTIVITY:

   20 years (1996 - 2016). See details.
   Cites by year: 105
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 183.    Total self citations: 55 (2.54 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2017-04-22    RAS profile: 2016-12-05    
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Relations with other researchers


Works with:

van der Wel, Michel (10)

Paap, Richard (4)

Exterkate, Peter (3)

Osborn, Denise (2)

Panchenko, Valentyn (2)

Ozturk, Sait (2)

Çakmaklı, Cem (2)

Taylor, Nick (2)

Bataa, Erdenebat (2)

Frijns, Bart (2)

Groenen, Patrick (2)

Kole, Erik (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:

Mignon, Valérie (37)

GUPTA, RANGAN (36)

Milas, Costas (35)

Osborn, Denise (34)

Balcilar, Mehmet (31)

Miller, Stephen (28)

McAleer, Michael (25)

Caporin, Massimiliano (21)

JAWADI, Fredj (21)

Medeiros, Marcelo (21)

Cavaliere, Giuseppe (20)

Cites to:

Diebold, Francis (88)

Timmermann, Allan (67)

Bollerslev, Tim (61)

Watson, Mark (43)

Pesaran, M (42)

Engle, Robert (39)

Franses, Philip Hans (36)

Teräsvirta, Timo (35)

Andersen, Torben (33)

Perez Quiros, Gabriel (33)

Stock, James (30)

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
Computational Statistics & Data Analysis3
Journal of Empirical Finance3
Journal of Economic Dynamics and Control3
Journal of Applied Econometrics3
Applied Financial Economics3
Oxford Bulletin of Economics and Statistics2
Econometric Reviews2
The Review of Economics and Statistics2
Journal of Banking & Finance2
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
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Post-Print / HAL2
Discussion Papers / School of Economics, The University of New South Wales2

Recent works citing Dick van Dijk (2017 and 2016)


YearTitle of citing document
2016Fixed-b Inference in the Presence of Time-Varying Volatility. (2016). Kruse, Robinson ; Demetrescu, Matei ; Hanck, Christoph . In: CREATES Research Papers. RePEc:aah:create:2016-01.

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2016A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar . In: CREATES Research Papers. RePEc:aah:create:2016-08.

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2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting. (2016). Leschinski, Christian ; Kruse, Robinson ; Will, Michael . In: CREATES Research Papers. RePEc:aah:create:2016-17.

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2016Volume, Volatility and Public News Announcements. (2016). Li, Jia ; Xue, Yuan . In: CREATES Research Papers. RePEc:aah:create:2016-19.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Testing Environmental Kuznets Curve in the Selected Transition Economies with Panel Smooth Transition Regression Analysis. (2016). Zortuk, Mahmut ; Eken, Sinan . In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:43:y:2016:i:18:p:537.

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2016On the Economics of Commodity Price Dynamics and Price Volatility. (2016). Chavas, Jean-Paul ; Li, Jian . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235070.

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

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2016FORECASTING THE YIELD CURVE WITH THE ARBITRAGE-FREE DYNAMIC NELSON-SIEGEL MODEL: BRAZILIAN EVIDENCE. (2016). Santos, Andre ; Moura, Guilherme ; Tourrucoo, Fabricio ; Caldeira, Joo F. In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:028.

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2016Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets. (2016). Cozma, Andrei ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1501.06084.

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2016A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model. (2016). Cozma, Andrei ; Reisinger, Christoph . In: Papers. RePEc:arx:papers:1509.01479.

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2016Robustness of mathematical models and technical analysis strategies. (2016). Bel Hadj Ayed, Ahmed ; Loeper, Gr'Egoire . In: Papers. RePEc:arx:papers:1605.00173.

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2016Forecasting time series with structural breaks with Singular Spectrum Analysis, using a general form of recurrent formula. (2016). Rahmani, Donya ; Ghodsi, Mansi ; Hassani, Hossein ; Heravi, Saeed . In: Papers. RePEc:arx:papers:1605.02188.

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2016Biased Roulette Wheel: A Quantitative Trading Strategy Approach. (2016). Mart, Giancarlo Salirrosas . In: Papers. RePEc:arx:papers:1609.09601.

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2016Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment. (2016). Brigo, Damiano . In: Papers. RePEc:arx:papers:1611.02877.

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2016Empirical analysis of daily cash flow time series and its implications for forecasting. (2016). Salas-Molina, Francisco ; Martin, Francisco J ; Serra, Joan ; Rodr, Juan A. In: Papers. RePEc:arx:papers:1611.04941.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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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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2016Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil. (2016). Accioly, Victor Bello ; de Melo, Beatriz Vaz . In: Brazilian Business Review. RePEc:bbz:fcpbbr:v:13:y:2016:i:2:p1-26.

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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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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2016Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. (2016). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto . In: Borradores de Economia. RePEc:bdr:borrec:930.

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2016Outliers and persistence in threshold autoregressive processes. (2016). Donayre, Luiggi ; Ahmad, Yamin ; Yamin, Ahmad . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:37-56:n:4.

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2016On the impact of dollar movements on oil currencies. (2016). Gomes, Gabriel. In: Working Papers. RePEc:cii:cepidt:2016-11.

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2016Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions. (2016). Jacobs, Jan ; Hecq, Alain ; Stamatogiannis, Michalis P. In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-01.

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2016Nonlinear Pass-Through of Exchange Rate Shocks on Inflation: A Bayesian Smooth Transition VAR Approach. (2016). Rodríguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto . In: BORRADORES DE ECONOMIA. RePEc:col:000094:014299.

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2017The Reaction of Stock Market Returns to Unemployment. (2017). Gonzalo, Jesus ; Taamouti, Abderrahim . 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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2016EDUCATION, INEQUALITY, AND DEVELOPMENT IN A DUAL ECONOMY. (2016). Yuki, Kazuhiro. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:20:y:2016:i:01:p:27-69_00.

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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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2016Attractor misspecification and threshold estimation bias. (2016). Norman, Stephen . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00104.

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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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2016Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio . In: Working Paper Series. RePEc:ecb:ecbwps:20161901.

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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). Gross, Marco ; Semmler, Willi . In: Working Paper Series. RePEc:ecb:ecbwps:20172004.

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2016Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. (2016). Peiro, Amado . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-04-06.

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2016Nonlinear and time-varying growth-tourism causality. (2016). Liu, Shiao-Yen ; Wu, Po-Chin ; Huang, Tsai-Yuan ; Hsiao, Juei-Ming . In: Annals of Tourism Research. RePEc:eee:anture:v:59:y:2016:i:c:p:45-59.

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2016Revisiting useful approaches to data-rich macroeconomic forecasting. (2016). Groen, Jan ; Kapetanios, George . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:221-239.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016Predicting the yield curve using forecast combinations. (2016). Santos, Andre ; Moura, Guilherme ; Caldeira, Joo F. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:79-98.

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2017What is the globalisation of inflation?. (2017). Altansukh, Gantungalag ; Osborn, Denise R ; Bratsiotis, George ; 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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2016The role of savings rate in exchange rate and trade imbalance nexus: Cross-countries evidence. (2016). Chiu, Yi-Bin ; Sun, Chia-Hung D. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:1017-1025.

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2016Reexamining the relationship between inflation and growth: Do institutions matter in developing countries?. (2016). Trupkin, Danilo ; Ibarra, Raul. In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:332-351.

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2016Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined. (2016). Sandberg, Rickard . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713.

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2016Stochastic unit root processes: Maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests. (2016). Yoon, Gawon . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:725-732.

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2016Oil price forecasting using gene expression programming and artificial neural networks. (2016). Mostafa, Mohamed M ; El-Masry, Ahmed A. In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:40-53.

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2016A multiple threshold analysis of the Feds balancing act during the Great Moderation. (2016). Ahmad, Saad . In: Economic Modelling. RePEc:eee:ecmode:v:55:y:2016:i:c:p:343-358.

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2016A high-frequency analysis of the interactions between REIT return and volatility. (2016). Zhou, Jian. In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:102-108.

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2016Stock market liquidity and economic cycles: A non-linear approach. (2016). Switzer, Lorne ; Picard, Alan . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:106-119.

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2016Non-linearities in euro area inflation persistence. (2016). Kanellopoulos, Nikolaos ; Koutroulis, Aristotelis G. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:116-123.

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2016Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models. (2016). Bejaoui, Azza ; Karaa, Adel . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545.

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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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2016Re-examining risk premiums in the Fama–French model: The role of investor sentiment. (2016). Wu, Po-Chin ; Chen, Che-Ying ; Liu, Shiao-Yen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:154-171.

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2016Asymmetric causality in-mean and in-variance among equity markets indexes. (2016). . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:36:y:2016:i:c:p:49-68.

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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). Balcilar, Mehmet ; Gupta, Rangan ; Katzke, Nico . 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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2016Walking on thin ice: Market quality around FOMC announcements. (2016). Rosa, Carlo . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:5-8.

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2016A nonparametric unit root test under nonstationary volatility. (2016). Yigit, Taner ; Erolu, Burak Alparslan ; Yiit, Taner . In: Economics Letters. RePEc:eee:ecolet:v:140:y:2016:i:c:p:6-10.

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2016Does cross-sectional forecast dispersion proxy for macroeconomic uncertainty? New empirical evidence. (2016). Friedrici, Karola ; Baetje, Fabian . In: Economics Letters. RePEc:eee:ecolet:v:143:y:2016:i:c:p:38-43.

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2016A unit root test against globally stationary ESTAR models when local condition is non-stationary. (2016). Hu, Junjuan ; Chen, Zhenlong . In: Economics Letters. RePEc:eee:ecolet:v:146:y:2016:i:c:p:89-94.

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2016Dynamic panels with threshold effect and endogeneity. (2016). shin, yongcheol ; Seo, Myunghwan . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:169-186.

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

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2016Growth and convergence of the OECD countries: A multi-sector production-frontier approach. (2016). Walheer, Barnabé. In: European Journal of Operational Research. RePEc:eee:ejores:v:252:y:2016:i:2:p:665-675.

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2016On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:1-13.

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2016Stochastic correlation and risk premia in term structure models. (2016). Chiarella, Carl ; To, Thuy-Duong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:59-78.

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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). Fernandez-Perez, Adrian ; Tourani-Rad, Alireza ; Frijns, Bart . In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199.

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2016Psychological barriers in oil futures markets. (2016). Dowling, Michael ; Lucey, Brian M ; Cummins, Mark . In: Energy Economics. RePEc:eee:eneeco:v:53:y:2016:i:c:p:293-304.

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2016Changes in the global oil market. (2016). Osborn, Denise ; Bataa, Erdenebat ; Izzeldin, Marwan . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:161-176.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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2016Deep belief network based electricity load forecasting: An analysis of Macedonian case. (2016). Filiposka, Sonja ; Dedinec, Aleksandra ; Kocarev, Ljupco . In: Energy. RePEc:eee:energy:v:115:y:2016:i:p3:p:1688-1700.

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2016Improving short term load forecast accuracy via combining sister forecasts. (2016). Weron, Rafał ; Nowotarski, Jakub ; Hong, Tao ; Liu, Bidong . In: Energy. RePEc:eee:energy:v:98:y:2016:i:c:p:40-49.

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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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2016Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models. (2016). Ben Cheikh, Nidhaleddine ; ben Hmiden, Oussama . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:273-278.

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2016Assessing the credit risk of money market funds during the eurozone crisis. (2016). Gallagher, Emily ; Collins, Sean . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:150-165.

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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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2016On the time scale behavior of equity-commodity links: Implications for portfolio management. (2016). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Sjo, BO. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:41:y:2016:i:c:p:30-46.

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2016Forecasting global recessions in a GVAR model of actual and expected output. (2016). Lee, Kevin ; Shields, Kalvinder ; Garratt, Anthony . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:374-390.

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2016A hybrid model for GEFCom2014 probabilistic electricity price forecasting. (2016). Nowotarski, Jakub ; Maciejowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:1051-1056.

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2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Fernandez-Rodriguez, Fernando . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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2016Time varying biases and the state of the economy. (2016). Hsu, Shih-Hsun ; Xie, Zixiong . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:716-725.

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2016Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging. (2016). Weron, Rafał ; Nowotarski, Jakub ; Maciejowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:957-965.

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2016Modeling the impact of forecast-based regime switches on US inflation. (2016). Bel, Koen ; Paap, Richard . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1306-1316.

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2017Forecasting the Brazilian yield curve using forward-looking variables. (2017). Chague, Fernando ; Vieira, Fausto ; Fernandes, Marcelo . 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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2016Fragility, stress, and market returns. (2016). Pukthuanthong, Kuntara ; Berger, Dave . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:62:y:2016:i:c:p:152-163.

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2016Forecasting realized volatility in a changing world: A dynamic model averaging approach. (2016). Wang, Yudong ; Wu, Chongfeng ; Wei, YU ; Ma, Feng . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:136-149.

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2016Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

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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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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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2016Why are initial estimates of productivity growth so unreliable?. (2016). van Norden, Simon ; Jacobs, Jan. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pb:p:200-213.

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2016Nonlinearities in the U.S. wage Phillips curve. (2016). Donayre, Luiggi ; Panovska, Irina . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:19-43.

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2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

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2016Volatility transmission among Latin American stock markets under structural breaks. (2016). Aydemir, Resul ; Gulolu, Bulent ; Kaya, Pinar . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:462:y:2016:i:c:p:330-340.

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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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2016Measuring business cycles with structural breaks and outliers: Applications to international data. (2016). Perron, Pierre ; Wada, Tatsuma . In: Research in Economics. RePEc:eee:reecon:v:70:y:2016:i:2:p:281-303.

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2016Hydroelectricity consumption and economic growth nexus: Evidence from a panel of ten largest hydroelectricity consumers. (2016). GUPTA, RANGAN ; Chang, Tsangyao ; Apergis, Nicholas ; Ziramba, Emmanuel . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:62:y:2016:i:c:p:318-325.

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2016Incremental information of stock indicators. (2016). Vortelinos, Dimitrios I. In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:79-97.

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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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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 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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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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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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2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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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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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: 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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2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
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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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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.
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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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2005A unified approach to nonlinearity, structural change and outliers.(2005) In: Econometric Institute Research Papers.
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2010Twenty years of cointegration In: Journal of Econometrics.
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2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
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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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2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
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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 reexamination.(2004) In: Textos para discussão.
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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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2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
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1999A Multivariate STAR Analysis of the Relationship Between Money and Output.(1999) In: Working Papers.
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