Dick van Dijk : Citation Profile

Are you Dick van Dijk?

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

28

H index

60

i10 index

3009

Citations

RESEARCH PRODUCTION:

73

Articles

135

Papers

1

Chapters

RESEARCH ACTIVITY:

   23 years (1996 - 2019). See details.
   Cites by year: 130
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 593.    Total self citations: 66 (2.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva27
   Updated: 2020-08-01    RAS profile: 2020-03-12    
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Relations with other researchers

Works with:

van der Wel, Michel (9)

Kole, Erik (4)

Lucas, Andre (3)

Groenen, Patrick (3)

Exterkate, Peter (3)

Ozturk, Sait (3)

Panchenko, Valentyn (2)

Gonzalez, Andres (2)

Teräsvirta, Timo (2)

Çakmaklı, Cem (2)

Yang, Yukai (2)

Paap, Richard (2)

Ferrara, Laurent (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 (52)

GUPTA, RANGAN (46)

Mignon, Valérie (45)

Milas, Costas (38)

Balcilar, Mehmet (38)

McAleer, Michael (32)

JAWADI, Fredj (30)

Miller, Stephen (30)

Medeiros, Marcelo (28)

Guidolin, Massimo (26)

Caporin, Massimiliano (25)

Cites to:

Diebold, Francis (84)

Bollerslev, Tim (61)

Timmermann, Allan (56)

Watson, Mark (47)

Franses, Philip Hans (44)

Engle, Robert (41)

Pesaran, M (40)

Teräsvirta, Timo (36)

Perez Quiros, Gabriel (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 Economic Dynamics and Control3
Journal of Applied Econometrics3
Oxford Bulletin of Economics and Statistics3
Computational Statistics & Data Analysis3
Journal of Empirical Finance3
Applied Financial Economics3
Econometric Reviews2
Journal of Financial Econometrics2
Journal of Forecasting2
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 Institute32
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 (2019 and 2018)

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

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2017Nonlinear models in macroeconometrics. (2017). Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-32.

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

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2019Testing Nonlinearity through a Logistic Smooth Transition AR Model with Logistic Smooth Transition GARCH Errors. (2019). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:03-19.

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2019Measuring Success: Does Predictive Ability of an Asset Price Rest in Memory? Insights from a New Approach. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:11-19.

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2019Insurance Policy Thresholds for Economic Growth in Africa. (2019). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:19/037.

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

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2019Human capital and the FDI-Income inequality nexus in African countries: Panel smooth transition regression approach. (2019). Yeboua, Kouassi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(618):y:2019:i:1(618):p:73-88.

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

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2019Human capital and the FDI-Income inequality nexus in African countries: Panel smooth transition regression approach. (2019). Yeboua, Kouassi. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:1(618):p:73-88.

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2019Non-linear finance-growth nexus for African countries: A panel smooth transition regression approach. (2019). Jobarteh, Mustapha ; Kaya, Huseyin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxvi:y:2019:i:3(620):p:205-222.

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2017The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185.

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

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2018The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, Jean-Paul ; Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976.

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2018How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Chavas, Jean-Paul ; Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557.

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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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2019A regime-switching model for the federal funds rate target. (2019). Sirchenko, Andrei. In: UvA-Econometrics Working Papers. RePEc:ame:wpaper:1901.

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2018Panel Models with Two Threshold Variables: The Case of Financial Constraints. (2018). Ramírez-Rondán, N.R. ; Ramirez-Rondan, N R ; Lamadrid-Contreras, Arturo. In: Working Papers. RePEc:apc:wpaper:128.

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

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

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

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

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

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2018Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process. (2018). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1704.07321.

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2018Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2018). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1706.07375.

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2019Dynamic 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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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715.

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

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2019Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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

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

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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, Rafał ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1805.08653.

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2018A Machine Learning Framework for Stock Selection. (2018). Duan, Xiuwen ; Dong, Tao ; Liu, Mingwen ; Guo, Yifeng ; Fu, Xingyu. In: Papers. RePEc:arx:papers:1806.01743.

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2018A 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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2018Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences. (2018). Vellekoop, Michel ; Gaudenzi, Marcellino. In: Papers. RePEc:arx:papers:1809.11010.

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

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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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2019Multiscale 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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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522.

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2019Mid-price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators. (2019). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1907.09452.

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2019Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107.

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2019Robust tests for ARCH in the presence of the misspecified conditional mean: A comparison of nonparametric approches. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12752.

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2019Change-point Analysis in Financial Networks. (2019). Guhathakurta, Kousik ; Banerjee, Sayantan. In: Papers. RePEc:arx:papers:1911.05952.

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

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

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

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

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

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

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2019Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106.

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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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2019Global Commodity Markets and Rebalancing in China: The Case of Copper. (2019). Sawatzky, Benjamin ; Niquidet, Kurt ; Bailliu, Jeannine ; Mo, Kun ; Bilgin, Doga. In: Discussion Papers. RePEc:bca:bocadp:19-3.

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2018Non-linéarité de la courbe de Phillips : un survol de la littérature. (2018). St-Cyr, Renaud. In: Staff Analytical Notes. RePEc:bca:bocsan:18-3.

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

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

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2019Exploring trend inFLation dynamics in Euro Area countries. (2019). Pacce, Matías ; Correa-Lopez, Monica ; Schlepper, Kathi . In: Working Papers. RePEc:bde:wpaper:1909.

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2019Domestic and global determinants of inflation: evidence from expectile regression. (2019). Delle Monache, Davide ; Busetti, Fabio ; Caivano, Michele. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1225_19.

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2018Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64.

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

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

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2018Macro-financial linkages: the role of liquidity dependence. (2018). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: BIS Working Papers. RePEc:bis:biswps:716.

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

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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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2019Does Intra‐regional Trade Matter in Regional Stock Markets? New Evidence from the Asia‐Pacific Region. (2019). Kim, Young Min ; Choi, Moon Jung. In: Asian Economic Journal. RePEc:bla:asiaec:v:33:y:2019:i:3:p:253-280.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2019REGIME DEPENDENT EFFECT OF OUTPUT GROWTH ON OUTPUT GROWTH UNCERTAINTY: EVIDENCE FROM OECD COUNTRIES. (2019). Sarkar, Nityananda ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:257-282.

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2019EFFECT OF OIL PRICES ON STOCK MARKETS: EVIDENCE FROM NEW GENERATION OF STAR MODEL. (2019). Abdelsalam, Mamdouh ; Abdelmoula, Mamdouh ; Harb, Nermeen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:71:y:2019:i:3:p:466-482.

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2017Extreme Returns in the European financial crisis. (2017). Chouliaras, Andreas ; Grammatikos, Theoharry. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:4:p:728-760.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

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

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

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

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

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

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2019Did foreign exchange holding influence growth performance during the global financial crisis?. (2019). Allegret, Jean-Pierre. In: The World Economy. RePEc:bla:worlde:v:42:y:2019:i:3:p:680-710.

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

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

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

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2017Solvency and wholesale funding cost interactions at UK banks. (2017). Hacioglu Hoke, Sinem ; Panagiotopoulos, Apostolos ; Dent, Kieran . In: Bank of England working papers. RePEc:boe:boeewp:0681.

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2017Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models. (2017). Hacioglu Hoke, Sinem ; Kapetanios, George. In: Bank of England working papers. RePEc:boe:boeewp:0683.

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2018Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach. (2018). Kim, Jaebeom ; Larcher, Kevin. In: Working Papers. RePEc:bok:wpaper:1812.

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2017Forecasting in the presence of in and out of sample breaks. (2017). Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2017-004.

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2018Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014.

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2018Pricing barrier options in the Heston model using the Heath–Platen estimator. (2018). Sema, Coskun ; Ralf, Korn. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:24:y:2018:i:1:p:29-41:n:4.

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2019Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6.

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2018Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models. (2018). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Ben Naceur, Sami ; Kanaan, Oussama ; Bennaceur, Sami . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7072.

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2018Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy. (2018). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7279.

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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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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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2002 Can 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: 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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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: The School of Economics Discussion Paper Series.
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2002A simple test for PPP among traded goods In: Econometric Institute Research Papers.
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2006A simple test for PPP among traded goods.(2006) In: Applied Financial Economics.
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2005Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers.
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2006Improved Construction of diffusion indexes for macroeconomic forecasting In: Econometric Institute Research Papers.
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2006Bayesian Model Averaging in the Presence of Structural Breaks In: Econometric Institute Research Papers.
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2006Time series forecasting by principal covariate regression. In: Econometric Institute Research Papers.
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2007When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? In: ERIM Report Series Research in Management.
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2013When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2013) In: Review of Finance.
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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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2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
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2007Good News is No News In: ERIM Inaugural Address Series Research in Management.
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2009Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective In: International Journal of Corporate Governance.
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2005On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics.
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2005A multi-level panel STAR model for US manufacturing sectors In: Journal of Applied Econometrics.
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2003On SETAR non-linearity and forecasting In: Journal of Forecasting.
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2009Structural Breaks in the International Transmission of Inflation In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2009Changes in International Business Cycle Affiliations In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2009Changes in International Business Cycle Affiliations.(2009) In: The School of Economics Discussion Paper Series.
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2003Predicting Growth Cycle Regimes for European Countries In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2011Forecasting with Leading Indicators by means of the Principal Covariate Index In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
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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 In: MPRA Paper.
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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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2006Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis In: EconoQuantum, Revista de Economia y Negocios.
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2004Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics.
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1998Short Patches of Outliers, ARCH and Volatility Modeling.(1998) In: Tinbergen Institute Discussion Papers.
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2011The euro introduction and noneuro currencies 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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2012Structural differences in economic growth: an endogenous clustering approach In: Applied 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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2018New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics.
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2010A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance.
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2007A Comparison of Biased Simulation Schemes for Stochastic Volatility Models.(2007) In: Tinbergen Institute Discussion Papers.
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1999SETS, Arbitrage Activity, and Stock Price Dynamics In: Tinbergen Institute Discussion Papers.
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2004Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience In: Tinbergen Institute Discussion Papers.
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2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers.
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2008Structural Differences in Economic Growth In: Tinbergen Institute Discussion Papers.
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2010Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility In: Tinbergen Institute Discussion Papers.
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2011Modeling and Estimation of Synchronization in Multistate Markov-Switching Models In: Tinbergen Institute Discussion Papers.
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2011An Alternative Bayesian Approach to Structural Breaks in Time Series Models In: Tinbergen Institute Discussion Papers.
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2011Forecasting Volatility with Copula-Based Time Series Models In: Tinbergen Institute Discussion Papers.
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2012High-Frequency Technical Trading: The Importance of Speed In: Tinbergen Institute Discussion Papers.
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2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
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2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
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2013Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers.
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2015New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers.
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2014Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers.
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2015Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers.
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2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings In: Tinbergen Institute Discussion Papers.
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2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error In: Tinbergen Institute Discussion Papers.
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2013Structural Breaks in the International Dynamics of Inflation In: The Review of Economics and Statistics.
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2016Market Set‐up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal.
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2019Combining expert‐adjusted forecasts In: Journal of Forecasting.
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