Dick van Dijk : Citation Profile

Are you Dick van Dijk?

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

30

H index

64

i10 index

3229

Citations

RESEARCH PRODUCTION:

72

Articles

137

Papers

1

Chapters

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 134
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 244.    Total self citations: 66 (2 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva27
   Updated: 2021-06-19    RAS profile: 2020-12-16    
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Relations with other researchers

Works with:

Kole, Erik (3)

Lucas, Andre (2)

Yang, Yukai (2)

Teräsvirta, Timo (2)

van der Wel, Michel (2)

Gonzalez, Andres (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 (54)

GUPTA, RANGAN (50)

Mignon, Valérie (45)

Balcilar, Mehmet (40)

Milas, Costas (37)

McAleer, Michael (32)

JAWADI, Fredj (31)

Miller, Stephen (30)

Medeiros, Marcelo (28)

Guidolin, Massimo (26)

Ravazzolo, Francesco (25)

Cites to:

Diebold, Francis (84)

Bollerslev, Tim (60)

Timmermann, Allan (56)

Watson, Mark (47)

Franses, Philip Hans (43)

Pesaran, M (40)

Perez Quiros, Gabriel (38)

Engle, Robert (37)

Teräsvirta, Timo (35)

Andersen, Torben (32)

Stock, James (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 Empirical Finance3
Computational Statistics & Data Analysis3
Journal of Applied Econometrics3
Applied Financial Economics3
Journal of Economic Dynamics and Control3
Oxford Bulletin of Economics and Statistics3
Applied Economics2
Econometric Reviews2
Journal of Forecasting2
Journal of Financial Econometrics2
Journal of Banking & Finance2
The Review of Economics and Statistics2

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 Institute33
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 / HAL4
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance3
Discussion Papers / School of Economics, The University of New South Wales2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Dick van Dijk (2021 and 2020)

YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Demetrescu, Matei ; Kruse-Becher, Robinson. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2020Finance, inequality and inclusive education in Sub-Saharan Africa. (2020). Asongu, Simplice ; Acha-Anyi, Paul N ; Nnanna, Joseph. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/050.

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2020Finance, inequality and inclusive education in Sub-Saharan Africa. (2020). Asongu, Simplice ; Acha-Anyi, Paul N ; Nnanna, Joseph. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/050.

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2021The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa. (2021). Asongu, Simplice ; Nting, Rexon T. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/035.

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2020Spatial Integration of Agricultural Commodity Markets – Methodological Problems. (2020). Hamulczuk, Mariusz. In: Problems of Agricultural Economics / Zagadnienia Ekonomiki Rolnej. RePEc:ags:iafepa:311225.

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2020PCA forecast averaging - predicting day-ahead and intraday electricity prices. (2020). Uniejewski, Bartosz ; Serafin, Tomasz ; Maciejowska, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2002.

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2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2021Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2020Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992.

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2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2020Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2020Multiscale Features of Cross Correlation of Price and Trading Volume. (2019). Jafari, Reza G ; Haven, Emmanuel ; Osoolian, Mohammad ; Ardalankia, Jamshid. In: Papers. RePEc:arx:papers:1903.01744.

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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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2020Focused Bayesian Prediction. (2019). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1912.12571.

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2020Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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2020Profit-oriented sales forecasting: a comparison of forecasting techniques from a business perspective. (2020). Lemahieu, Wilfried ; Baesens, Bart ; van den Bossche, Filip ; van Calster, Tine. In: Papers. RePEc:arx:papers:2002.00949.

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2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

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2020Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2020Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model. (2020). Maulana, Heru ; Lord, Gabriel ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2002.10206.

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2020Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation. (2020). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2003.05708.

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2020Robust Product Markovian Quantization. (2020). Platen, Eckhard ; Rudd, Ralph ; Kienitz, Joerg ; McWalter, Thomas A. In: Papers. RePEc:arx:papers:2006.15823.

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2020Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2021Series expansions and direct inversion for the Heston model. (2020). Wiese, Anke ; Shen, Jiaqi ; Simon, . In: Papers. RePEc:arx:papers:2008.08576.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2021Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058.

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2020Optimal probabilistic forecasts: When do they work?. (2020). Loaiza Maya, Rubén ; Frazier, David T ; Loaiza-Maya, Rub'En ; Martin, Gael M ; Hassan, Andr'Es Ram'Irez ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:2009.09592.

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2020Model-driven statistical arbitrage on LETF option markets. (2020). Hardle, Wolfgang Karl ; Nasekin, Sergey. In: Papers. RePEc:arx:papers:2009.09713.

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2020Predicting Disaggregated CPI Inflation Components via Hierarchical Recurrent Neural Networks. (2020). Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Papers. RePEc:arx:papers:2011.07920.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2020Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

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2020Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

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2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

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2021Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2020Institutional ownership, cross‐shareholdings and corporate cash reserves in Japan. (2020). Rahman, Nahid ; Nguyen, Pascal. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:s1:p:1175-1207.

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2020A quantile autoregression analysis of price volatility in agricultural markets. (2020). Chavas, Jean-Paul ; Li, Jian. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:2:p:273-289.

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2020Nonlinear relationship between the weather phenomenon El niño and Colombian food prices. (2020). Melo-Velandia, Luis ; Luis Fernando Melo Velandia, ; Abrilsalcedo, Davinson Stev ; Davinson Stev Abril Salcedo, ; Parraamado, Daniel ; Melovelandia, Luis Fernando. In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:64:y:2020:i:4:p:1059-1086.

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2021Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dong Jin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229.

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2020Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series. (2020). Perron, Pierre ; Yu, Xuewen ; Kejriwal, Mohitosh. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:676-690.

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2020Growth decomposition bias when accounting for heterogeneous regimes: Evidence from China. (2020). Lee, Chien-Chiang ; Xu, Ming ; Ma, Shichang ; Liu, Guanchun. In: Review of Development Economics. RePEc:bla:rdevec:v:24:y:2020:i:2:p:691-711.

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2020Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088.

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2020Inferring trade directions in fast markets. (2020). Jurkatis, Simon . In: Bank of England working papers. RePEc:boe:boeewp:0896.

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2021Forecasting CPI Inflation Components with Hierarchical Recurrent Neural Network. (2021). Benchimol, Jonathan ; Koenigstein, Noam ; Hammer, Allon ; Caspi, Itamar ; Barkan, Oren. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2021.06.

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2020Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts. (2020). Gooijer, Jan G. ; Dawit, Zerom ; Jan, De Gooijer. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:12:y:2020:i:1:p:15:n:4.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2020Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis. (2020). Nishimura, Kiyohiko G ; Heckel, Markus. In: CARF F-Series. RePEc:cfi:fseres:cf501.

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2020Stall Speed and Escape Velocity: Empty Metaphors or Empirical Realities?. (2020). Diggle, Paul ; Bartholomew, Luke. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14290.

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2020Infrastructures and the real exchange rate. (2020). Morvillier, Florian. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-26.

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2020Long-term Inflation Expectations and Central Bank Credibility. (2020). Gwak, Bopjun. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00364.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2020Does the Phillips curve help to forecast euro area inflation?. (2020). BOBEICA, Elena ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20202471.

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2021Accessing the Effect of Renewables on the Wholesale Power Market. (2021). Alam, Mohammad Nure. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-42.

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2020Performance of alternative electricity price forecasting methods: Findings from the Greek and Hungarian power exchanges. (2020). Verbič, Miroslav ; Zori, Jelena ; Haluan, Marko. In: Applied Energy. RePEc:eee:appene:v:277:y:2020:i:c:s0306261920311089.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020Indecisive algos: Do limit order revisions increase market load?. (2020). Parikh, Bhavik ; Mishra, Ajay Kumar ; Jurich, Stephen N. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s221463502030335x.

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2020Finance, inequality and inclusive education in Sub-Saharan Africa. (2020). Asongu, Simplice ; Acha-Anyi, Paul N ; Nnanna, Joseph. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:67:y:2020:i:c:p:162-177.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Testing linear relationships between non-constant variances of economic variables. (2020). RAÏSSI, HAMDI ; Raissi, Hamdi ; Hirukawa, Junichi. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:182-189.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). , Jingyu ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen ; Yu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2020Threshold effect of economic openness on bank risk-taking: Evidence from emerging markets. (2020). Mai, Hoai Thi ; Bui, Tung Duy. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:790-803.

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2020Housing market cycles in large urban areas. (2020). Canepa, Alessandra ; Alqaralleh, Huthaifa. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:257-267.

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2021Does the composition of government spending matter for government bond spreads?. (2021). Sawadogo, Pegdewende ; Minea, Alexandru ; Combes, Jean-Louis. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:409-420.

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2021The link between intellectual property rights, innovation, and growth: A meta-analysis. (2021). Sochirca, Elena ; Silva, Diana ; Afonso, Oscar ; Neves, Pedro Cunha. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:196-209.

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2021Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410.

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2021Facing up to the polysemy of purchasing power parity: New international evidence. (2021). Xie, Zixiong ; Hsieh, Chun-Kuei ; Chen, Shyh-Wei. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:247-265.

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2021Public debt and economic growth in developing countries: Nonlinearity and threshold analysis. (2021). Law, Siong Hook ; Kutan, Ali M ; Ng, Chee Hung. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:26-40.

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2021Growth, institutions and oil dependence: A buffered threshold panel approach. (2021). Souam, Saïd ; Khalfi, Abderaouf ; Hamdi, Fayal ; Belarbi, Yacine. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000584.

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2020Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests. (2020). Shahbaz, Muhammad ; Khraief, Naceur ; Heshmati, Almas ; Azam, Muhammad. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301050.

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2020Valuation effects of capital inflows: Evidence from emerging market economies. (2020). Park, Hail ; Le, Dieu Thanh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300798.

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2020Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets. (2020). Kang, Sang Hoon ; Ali, Alanoud ; Ur, Mobeen ; Hammoudeh, Shawkat ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819301615.

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2020Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators. (2020). Yang, Jimmy J ; Liu, Hung-Chun ; Hung, Jui-Cheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300620.

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2020Evaluating the sustainability of Italian public finances. (2020). Postigliola, Michele ; Piergallini, Alessandro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300772.

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2020Identification of triggers of U.S. yield curve movements. (2020). Kučera, Adam ; Kuera, Adam. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301789.

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2020Identification of business cycles and the Great Moderation in the post-war U.S. economy. (2020). Jiang, YU. In: Economics Letters. RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300732.

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2020Response surface estimates of the LM unit root tests. (2020). Lee, Junsoo ; Nazlioglu, Saban. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301099.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2020Panel threshold regressions with latent group structures. (2020). Su, Liangjun ; Wang, Wendun ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:451-481.

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2020Partially censored posterior for robust and efficient risk evaluation. (2020). Hoogerheide, Lennart ; Borowska, Agnieszka ; van Dijk, Herman K ; Koopman, Siem Jan. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:335-355.

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2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

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2020Asymptotic theory for time series with changing mean and variance. (2020). Robinson, Peter M ; Giraitis, Liudas ; Dalla, Violetta. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:281-313.

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2021The implied arbitrage mechanism in financial markets. (2021). Liu, Qingfu ; Chng, Michael T ; Chen, Shiyi. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:468-483.

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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2020Impact of Islamic banking development and major macroeconomic variables on economic growth for Islamic countries: Evidence from panel smooth transition models. (2020). Tiwari, Aviral ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Hammoudeh, Shawkat. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:1:s0939362518301742.

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2021Indifference pricing of insurance-linked securities in a multi-period model. (2021). Yuan, Zhongyi ; Tang, Qihe ; Liu, Haibo. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:793-805.

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2021Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations. (2021). Nguyen, Duy ; Kirkby, Lars J ; Cui, Zhenyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1046-1062.

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2021A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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2021Modeling the cross-section of stock returns using sensible models in a model pool. (2021). Zhou, Qing ; Liao, Yin ; Chiang, I-Hsuan Ethan ; I-Hsuan Ethan Chiang, . In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:56-73.

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2021Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Managing volumetric risk of long-term power purchase agreements. (2020). Hansen, Rasmus Thrane ; Tranberg, BO ; Catania, Leopoldo. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303627.

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2020Coordinating technological progress and environmental regulation in CO2 mitigation: The optimal levels for OECD countries & emerging economies. (2020). Wei, Weixian ; Wang, Huiqing. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319302993.

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2020Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction. (2020). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320303017.

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2020The income inequality and carbon emissions trade-off revisited. (2020). Rojas-Vallejos, Jorge ; Lastuka, Amy. In: Energy Policy. RePEc:eee:enepol:v:139:y:2020:i:c:s0301421520300616.

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2020Variable renewable energy technologies in the Turkish electricity market: Quantile regression analysis of the merit-order effect. (2020). ŞİRİN, Selahattin ; Yilmaz, Berna N ; Sirin, Selahattin Murat . In: Energy Policy. RePEc:eee:enepol:v:144:y:2020:i:c:s0301421520303906.

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2020Monetary policy and commodity markets: Unconventional versus conventional impact and the role of economic uncertainty. (2020). Cooray, Arusha ; Chatziantoniou, Ioannis ; Apergis, Nicholas. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301800.

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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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2016Dynamic Factor Models for the Volatility Surface.(2016) In: Advances in Econometrics.
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2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
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2017Panel Smooth Transition Regression Models.(2017) 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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2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
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2011The euro introduction and noneuro currencies.(2011) In: Applied Financial Economics.
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2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion 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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2013Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: European Financial Management.
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2008Corporate Governance and the Value of Excess Cash Holdings of Large European Firms.(2008) In: ERIM Report Series Research in Management.
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2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* In: Oxford Bulletin of Economics and Statistics.
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2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy.(2003) In: Econometric Institute Research Papers.
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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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2007Instability and nonlinearity in the euro area Phillips curve In: Working Paper Series.
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2009Instability and Nonlinearity in the Euro-Area Phillips Curve.(2009) In: International Journal of Central Banking.
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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: 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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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.
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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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2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
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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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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: 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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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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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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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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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers.
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2009Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* In: Journal of Financial Econometrics.
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2007Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers.
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2004Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics.
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2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews.
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2006Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers.
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