28
H index
56
i10 index
2803
Citations
Erasmus Universiteit Rotterdam (98% share) | 28 H index 56 i10 index 2803 Citations RESEARCH PRODUCTION: 73 Articles 136 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Dick van Dijk. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2017 | Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16. Full description at Econpapers || Download paper | |
2017 | Nonlinear models in macroeconometrics. (2017). Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-32. Full description at Econpapers || Download paper | |
2018 | Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13. Full description at Econpapers || Download paper | |
2018 | Models 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. Full description at Econpapers || Download paper | |
2019 | Testing 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. Full description at Econpapers || Download paper | |
2019 | Human 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. Full description at Econpapers || Download paper | |
2017 | Financial 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. Full description at Econpapers || Download paper | |
2019 | Human 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. Full description at Econpapers || Download paper | |
2017 | The 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. Full description at Econpapers || Download paper | |
2017 | Statistical 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. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2018 | How 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. Full description at Econpapers || Download paper | |
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. Full description at Econpapers || Download paper | |
2017 | Law 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. Full description at Econpapers || Download paper | |
2017 | Empirical 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. Full description at Econpapers || Download paper | |
2017 | Recursive Marginal Quantization of Higher-Order Schemes. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, J ; Rudd, R. In: Papers. RePEc:arx:papers:1701.02681. Full description at Econpapers || Download paper | |
2017 | Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1704.06388. Full description at Econpapers || Download paper | |
2018 | Strong 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. Full description at Econpapers || Download paper | |
2018 | Strong 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. Full description at Econpapers || Download paper | |
2019 | Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587. Full description at Econpapers || Download paper | |
2017 | Bayesian 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. Full description at Econpapers || Download paper | |
2018 | Multi-scale analysis of lead-lag relationships in high-frequency financial markets. (2018). Koike, Yuta ; Hayashi, Takaki. In: Papers. RePEc:arx:papers:1708.03992. Full description at Econpapers || Download paper | |
2017 | Dual 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. Full description at Econpapers || Download paper | |
2019 | Comparing 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. Full description at Econpapers || Download paper | |
2018 | Dirichlet Forms and Finite Element Methods for the SABR Model. (2018). Reichmann, Oleg ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1801.02719. Full description at Econpapers || Download paper | |
2018 | Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348. Full description at Econpapers || Download paper | |
2018 | Day-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. Full description at Econpapers || Download paper | |
2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper | |
2018 | A Machine Learning Framework for Stock Selection. (2018). Duan, Xiuwen ; Dong, Tao ; Liu, Mingwen ; Guo, Yifeng ; Fu, Xingyu. In: Papers. RePEc:arx:papers:1806.01743. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | Exact Solutions for Optimal Investment Strategies and Indifference Prices under Non-Differentiable Preferences. (2018). Vellekoop, Michel ; Gaudenzi, Marcellino. In: Papers. RePEc:arx:papers:1809.11010. Full description at Econpapers || Download paper | |
2018 | A new time-varying model for forecasting long-memory series. (2018). Grigoletto, Matteo ; Bisaglia, Luisa. In: Papers. RePEc:arx:papers:1812.07295. Full description at Econpapers || Download paper | |
2018 | Zero-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. Full description at Econpapers || Download paper | |
2019 | Multiscale 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. Full description at Econpapers || Download paper | |
2019 | Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089. Full description at Econpapers || Download paper | |
2019 | Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961. Full description at Econpapers || Download paper | |
2019 | A Vine-copula extension for the HAR model. (2019). Magris, Martin. In: Papers. RePEc:arx:papers:1907.08522. Full description at Econpapers || Download paper | |
2019 | Mid-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. Full description at Econpapers || Download paper | |
2019 | Testing for time-varying properties under misspecified conditional mean and variance. (2019). Ota, Yasushi ; Maki, Daiki . In: Papers. RePEc:arx:papers:1907.12107. Full description at Econpapers || Download paper | |
2019 | Robust 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. Full description at Econpapers || Download paper | |
2019 | Change-point Analysis in Financial Networks. (2019). Guhathakurta, Kousik ; Banerjee, Sayantan . In: Papers. RePEc:arx:papers:1911.05952. Full description at Econpapers || Download paper | |
2017 | An 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. Full description at Econpapers || Download paper | |
2017 | The 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. Full description at Econpapers || Download paper | |
2018 | Government 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. Full description at Econpapers || Download paper | |
2017 | On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636. Full description at Econpapers || Download paper | |
2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
2019 | Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19106. Full description at Econpapers || Download paper | |
2017 | Assessing the Business Outlook Survey Indicator Using Real-Time Data. (2017). Pichette, Lise ; Robitaille, Marie-Noelle. In: Discussion Papers. RePEc:bca:bocadp:17-5. Full description at Econpapers || Download paper | |
2019 | Global 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. Full description at Econpapers || Download paper | |
2018 | Non-linéarité de la courbe de Phillips : un survol de la littérature. (2018). St-Cyr, Renaud. In: Staff Analytical Notes. RePEc:bca:bocsan:18-3. Full description at Econpapers || Download paper | |
2017 | Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726. Full description at Econpapers || Download paper | |
2017 | Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751. Full description at Econpapers || Download paper | |
2019 | Exploring trend inFLation dynamics in Euro Area countries. (2019). Pacce, MatÃas ; Correa-Lopez, Monica ; Schlepper, Kathi . In: Working Papers. RePEc:bde:wpaper:1909. Full description at Econpapers || Download paper | |
2018 | Non-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. Full description at Econpapers || Download paper | |
2018 | Explaining 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. Full description at Econpapers || Download paper | |
2018 | Nonlinear state and shock dependence of exchange rate pass through on prices. (2018). RodrÃguez N., Norberto ; Rincon-Castro, Hernan ; Rodriguez-Nio, Norberto. In: BIS Working Papers. RePEc:bis:biswps:690. Full description at Econpapers || Download paper | |
2018 | Macro-financial linkages: the role of liquidity dependence. (2018). Seleznev, Sergei ; Ponomarenko, Alexey ; Rozhkova, Anna. In: BIS Working Papers. RePEc:bis:biswps:716. Full description at Econpapers || Download paper | |
2017 | Macro-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. Full description at Econpapers || Download paper | |
2018 | TRADER 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. Full description at Econpapers || Download paper | |
2017 | Extreme 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. Full description at Econpapers || Download paper | |
2017 | A 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. Full description at Econpapers || Download paper | |
2018 | FACTOR 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. Full description at Econpapers || Download paper | |
2018 | Unit 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. Full description at Econpapers || Download paper | |
2017 | Economic 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. Full description at Econpapers || Download paper | |
2017 | Measuring 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. Full description at Econpapers || Download paper | |
2017 | Testing 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. Full description at Econpapers || Download paper | |
2017 | Growth 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. Full description at Econpapers || Download paper | |
2017 | WHEN ARE WAVELETS USEFUL FORECASTERS?. (2017). Yazgan, Ege ; Gencay, Ramazan. In: Working Papers. RePEc:bli:wpaper:1704. Full description at Econpapers || Download paper | |
2018 | Comparing 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. Full description at Econpapers || Download paper | |
2018 | Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach. (2018). Kim, Jaebeom ; Larcher, Kevin. In: Working Papers. RePEc:bok:wpaper:1812. Full description at Econpapers || Download paper | |
2017 | Forecasting 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. Full description at Econpapers || Download paper | |
2018 | Forecasting 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. Full description at Econpapers || Download paper | |
2018 | Pricing 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. Full description at Econpapers || Download paper | |
2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, MarÃa ; Arghyrou, Michael. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2019/6. Full description at Econpapers || Download paper | |
2018 | Oil 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. Full description at Econpapers || Download paper | |
2018 | Energy 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. Full description at Econpapers || Download paper | |
2019 | Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, MarÃa ; Arghyrou, Michael. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7532. Full description at Econpapers || Download paper | |
2017 | On the Current Account - Biofuels Link in Emerging and Developing Countries: Do Oil Price Fluctuations Matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: Working Papers. RePEc:cii:cepidt:2017-07. Full description at Econpapers || Download paper | |
2018 | Non-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:col:000107:016935. Full description at Econpapers || Download paper | |
2017 | Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117. Full description at Econpapers || Download paper | |
2018 | Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118. Full description at Econpapers || Download paper | |
2018 | Gold Price and Exchange Rates: A Panel Smooth Transition Regression Model for the G7 Countries. (2018). Koukouritakis, Minoas ; Giannellis, Nikolaos. In: Working Papers. RePEc:crt:wpaper:1806. Full description at Econpapers || Download paper | |
2017 | The Reaction of Stock Market Returns to Unemployment. (2017). Taamouti, Abderrahim ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:24120. Full description at Econpapers || Download paper | |
2017 | Electricity prices forecasting by averaging dynamic factor models. (2017). Garcia-Martos, Carolina ; Bastos, Guadalupe ; Alonso, Andres Modesto . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24028. Full description at Econpapers || Download paper | |
2017 | MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrénot, Gilles ; Khayat, Guillaume A ; Dufrenot, Gilles. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00. Full description at Econpapers || Download paper | |
2017 | Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672. Full description at Econpapers || Download paper | |
2017 | Inflation Targeting and the Forward Bias Puzzle in Emerging Countries. (2017). Kempf, Hubert ; Coulibaly, Dramane. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-12. Full description at Econpapers || Download paper | |
2017 | On the current account - biofuels link in emerging and developing countries: do oil price fluctuations matter?. (2017). Paris, Anthony ; Mignon, Valérie ; HACHE, Emmanuel ; Gomes, Gabriel. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-30. Full description at Econpapers || Download paper | |
2017 | The effects on economic growth of natural resources in Sub-Saharan Africa: Does the quality of institutions matters?. (2017). TSOPMO, Pierre Christian ; Mondjeli, Itchoko Motande . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00550. Full description at Econpapers || Download paper | |
2017 | Modeling nonlinear water demand : The case of Tunisia. (2017). Ben Cheikh, Nidhaleddine ; Nguyen, Pascal ; Younes, Ben Zaied ; ben Zaied, Younes . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00022. Full description at Econpapers || Download paper | |
2017 | Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach. (2017). Dahiru, Bala A ; Nwonyuku, Kalu N ; Jim, Pam W. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00029. Full description at Econpapers || Download paper | |
2019 | The governance threshold effect on the relationship between public education financing and income inequality. (2019). Trabelsi, Salwa. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00763. Full description at Econpapers || Download paper | |
2017 | A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446. Full description at Econpapers || Download paper | |
2017 | Mind the output gap: the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area. (2017). Semmler, Willi ; Gross, Marco. In: Working Paper Series. RePEc:ecb:ecbwps:20172004. Full description at Econpapers || Download paper | |
2018 | Dealing with endogeneity in threshold models using copulas: an illustration to the foreign trade multiplier. (2018). Tzavalis, Elias ; McAdam, Peter ; Christopoulos, Dimitris. In: Working Paper Series. RePEc:ecb:ecbwps:20182136. Full description at Econpapers || Download paper | |
2019 | Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250. Full description at Econpapers || Download paper | |
2018 | An Analysis of Gold Futures as an Alternative Asset: Evidence from India. (2018). Jaiswal, Ritika ; Uchil, Rashmi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-06-21. Full description at Econpapers || Download paper | |
2019 | The Impact of Oil Prices on Stocks Markets: New Evidence During and After the Arab Spring in Gulf Cooperation Council Economies. (2019). El-Chaarani, Hani. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-27. Full description at Econpapers || Download paper | |
2018 | Asymmetric monetary and exchange-rate policies in Latin American countries that use inflation targeting. (2018). Libman, Emiliano . In: Revista CEPAL. RePEc:ecr:col070:44318. Full description at Econpapers || Download paper | |
2017 | The effect of the US subprime crisis on Canadian banks. (2017). Bandyopadhyay, Satiprasad ; Kennedy, Duane ; Jha, Ranjini. In: Advances in accounting. RePEc:eee:advacc:v:36:y:2017:i:c:p:58-74. Full description at Econpapers || Download paper | |
2018 | Sparse polynomial chaos expansion based on D-MORPH regression. (2018). Cheng, Kai ; Lu, Zhenzhou. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:323:y:2018:i:c:p:17-30. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2012 | On the Effects of Private Information on Volatility In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | Nonlinear forecasting with many predictors using kernel ridge regression.(2016) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2011 | Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2015 | Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Dynamic Factor Models for the Volatility Surface.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | chapter | |
2017 | Panel Smooth Transition Regression Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 212 |
2017 | Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 212 | paper | |
2005 | Panel Smooth Transition Regression Models.(2005) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 212 | paper | |
2000 | Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 13 |
2000 | Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2000 | Asymmetric and common absorption of shocks in nonlinear autoregressive models.(2000) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2008 | Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 5 |
2008 | Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2008 | Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2008 | Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 17 |
2010 | Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | article | |
2010 | Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2008 | Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2008 | Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
1999 | Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 51 |
1996 | Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 51 | paper | |
2003 | Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 89 |
2000 | Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] This paper has another version. Agregated cites: 89 | paper | |
2006 | Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 48 |
2001 | Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 48 | paper | |
2009 | Do Leading Indicators Lead Peaks More Than Troughs? In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 15 |
2007 | Do leading indicators lead peaks more than troughs?.(2007) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2013 | Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: European Financial Management. [Full Text][Citation analysis] | article | 1 |
2008 | Corporate Governance and the Value of Excess Cash Holdings of Large European Firms.(2008) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2002 | Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 6 |
2003 | Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 19 |
2003 | Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy.(2003) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2014 | Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 19 |
2008 | Identifying 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
2010 | Term structure forecasting using macro factors and forecast combination In: Working Paper. [Full Text][Citation analysis] | paper | 13 |
2010 | Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2001 | MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 26 |
2007 | Instability and nonlinearity in the euro area Phillips curve In: Working Paper Series. [Full Text][Citation analysis] | paper | 47 |
2009 | Instability and Nonlinearity in the Euro-Area Phillips Curve.(2009) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 47 | article | |
2002 | Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series In: Royal Economic Society Annual Conference 2002. [Full Text][Citation analysis] | paper | 12 |
2001 | Short-term volatility versus long-term growth: evidence in US macroeconomic time series.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2001 | Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2001 | Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: The School of Economics Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2004 | Forecasting US Inflation Using Model Averaging In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 0 |
2004 | A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production In: Econometric Society 2004 Australasian Meetings. [Citation analysis] | paper | 3 |
2003 | A multi-level panel smooth transition autoregression for US sectoral production.(2003) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2003 | The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal. [Full Text][Citation analysis] | article | 28 |
2001 | The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2002 | The 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2006 | Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
2007 | Forecast comparison of principal component regression and principal covariate regression In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 9 |
2005 | Forecast comparison of principal component regression and principal covariate regression.(2005) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2007 | Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 17 |
2005 | Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method In: Journal of Development Economics. [Full Text][Citation analysis] | article | 44 |
2013 | Measuring and predicting heterogeneous recessions In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 4 |
2012 | Measuring and Predicting Heterogeneous Recessions.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2011 | Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2014 | Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
2013 | Forecasting volatility with the realized range in the presence of noise and non-trading In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
2012 | Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2005 | Testing for causality in variance in the presence of breaks In: Economics Letters. [Full Text][Citation analysis] | article | 31 |
2004 | Testing for causality in variance in the presence of breaks.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2004 | Testing for causality in variance in the presence of breaks.(2004) In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
2002 | A nonlinear long memory model, with an application to US unemployment In: Journal of Econometrics. [Full Text][Citation analysis] | article | 55 |
2007 | A unified approach to nonlinearity, structural change, and outliers In: Journal of Econometrics. [Full Text][Citation analysis] | article | 62 |
2005 | A unified approach to nonlinearity, structural change and outliers.(2005) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 62 | paper | |
2007 | Measuring volatility with the realized range In: Journal of Econometrics. [Full Text][Citation analysis] | article | 115 |
2006 | Measuring volatility with the realized range.(2006) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 115 | paper | |
2010 | Twenty years of cointegration In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2010 | Cointegration in a historical perspective In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2009 | Cointegration in a historical perspective.(2009) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2011 | Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
2011 | Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
2005 | The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? In: Emerging Markets Review. [Full Text][Citation analysis] | article | 9 |
2005 | The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?.(2005) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
2003 | Stock selection strategies in emerging markets In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 39 |
2001 | Stock Selection Strategies in Emerging Markets.(2001) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | paper | |
2014 | Order flow and volatility: An empirical investigation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
2014 | Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 9 |
2015 | Forecasting day-ahead electricity prices: Utilizing hourly prices In: Energy Economics. [Full Text][Citation analysis] | article | 36 |
2013 | Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices.(2013) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | paper | |
2017 | Intraday price discovery in fragmented markets In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 8 |
2005 | The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 28 |
2001 | The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.(2001) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | paper | |
2005 | Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 72 |
2004 | Linear 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. [Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2004 | Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | paper | |
2005 | Reply In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2005 | Forecasting aggregates using panels of nonlinear time series In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 11 |
2004 | Forecasting aggregates using panels of nonlinear time series.(2004) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2006 | Paul 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. [Full Text][Citation analysis] | article | 0 |
2008 | Macroeconomic forecasting with matched principal components In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2009 | Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
2009 | Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 75 |
2011 | Real-time macroeconomic forecasting with leading indicators: An empirical comparison In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 12 |
2011 | Real-time macroeconomic forecasting with leading indicators: An empirical comparison.(2011) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2016 | Getting the most out of macroeconomic information for predicting excess stock returns In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 6 |
2009 | Contagion as a domino effect in global stock markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 73 |
2008 | Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 73 | paper | |
2014 | Speed, algorithmic trading, and market quality around macroeconomic news announcements In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 23 |
2012 | Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2009 | The economic value of fundamental and technical information in emerging currency markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 34 |
2007 | The Economic Value of Fundamental and Technical Information in Emerging Currency Markets.(2007) In: ERIM Report Series Research in Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2013 | Bayesian forecasting of federal funds target rate decisions In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 1 |
2011 | Bayesian Forecasting of Federal Funds Target Rate Decisions.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana In: El Trimestre Económico. [Full Text][Citation analysis] | article | 0 |
2007 | Evaluating real-time forecasts in real-time In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
2008 | Range-based covariance estimation using high-frequency data: The realized co-range In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | Modeling regional house prices In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | Modelling regional house prices.(2011) In: Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
1996 | Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 71 |
1999 | Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | article | |
1997 | Modelling Multiple Regimes in the Business Cycle In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 64 |
1997 | Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
1997 | Do We Often Find ARCH Because Of Neglected Outliers? In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
1997 | Nonlinear Error-Correction Models for Interest Rates in The Netherlands In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 6 |
1998 | Modeling asymmetric volatility in weekly Dutch temperature data In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
1998 | Nonlinearities and outliers: robust specification of STAR models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 2 |
1998 | Forecasting volatility with switching persistence GARCH models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 6 |
1998 | Does the absence of cointegration explain the typical findings in long horizon regressions? In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 41 |
1999 | Unit root tests and assymmetric adjustment In: Econometric Institute Research Papers. [Citation analysis] | paper | 0 |
1999 | Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers. [Citation analysis] | paper | 2 |
1999 | Outlier detection in the GARCH (1,1) model In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | A multivariate STAR analysis of the relationship between money and output In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 20 |
2000 | A Multivariate STAR Analysis of the Relationship Between Money and Output.(2000) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
1999 | A Multivariate STAR Analysis of the Relationship Between Money and Output.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2004 | Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 15 |
2000 | Seasonal smooth transition autoregression In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 8 |
2000 | Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 488 |
2002 | SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 488 | article | |
2001 | Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 488 | paper | |
2000 | A nonlinear long memory model for US unemployment In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
2003 | Does Africa grow slower than Asia and Latin America? In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
2009 | Macroeconomic forecasting with real-time data: an empirical comparison In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | Forecasting industrial production with linear, nonlinear, and structural change models In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 13 |
2010 | Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 19 |
2013 | Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model.(2013) In: Journal of Forecasting. [Citation analysis] This paper has another version. Agregated cites: 19 | article | |
2010 | Financial Development and Convergence Clubs In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Changes in variability of the business cycle in the G7 countries In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 17 |
2002 | Changes in Variability of the Business Cycle in the G7 Countries.(2002) In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2002 | Changes in variability of the business cycle in the G7 countries.(2002) In: The School of Economics Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2002 | A simple test for PPP among traded goods In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
2006 | A simple test for PPP among traded goods.(2006) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2005 | Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
2006 | Improved Construction of diffusion indexes for macroeconomic forecasting In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2006 | Bayesian Model Averaging in the Presence of Structural Breaks In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 13 |
2006 | Time series forecasting by principal covariate regression. In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
2007 | When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 5 |
2013 | When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2013) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2009 | When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2007 | The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 3 |
2007 | A Recommitment Strategy for Long Term Private Equity Fund Investors In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
2008 | The Inefficient Use of Macroeconomic Information in Analysts Earnings Forecasts in Emerging Markets In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
2009 | Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 7 |
2010 | Corporate Governance and the Cost of Debt of Large European Firms In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
2012 | Realized mixed-frequency factor models for vast dimensional covariance estimation In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 4 |
2013 | How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management. [Full Text][Citation analysis] | paper | 7 |
2007 | Good News is No News In: ERIM Inaugural Address Series Research in Management. [Full Text][Citation analysis] | paper | 0 |
2014 | Forecasting business cycles In: Post-Print. [Citation analysis] | paper | 0 |
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2009 | Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective In: International Journal of Corporate Governance. [Full Text][Citation analysis] | article | 1 |
2005 | On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 6 |
2005 | A multi-level panel STAR model for US manufacturing sectors In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 45 |
2003 | On SETAR non-linearity and forecasting In: Journal of Forecasting. [Full Text][Citation analysis] | article | 31 |
2009 | Structural Breaks in the International Transmission of Inflation In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | paper | 1 |
2009 | Changes in International Business Cycle Affiliations In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | Changes in International Business Cycle Affiliations.(2009) In: The School of Economics Discussion Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2003 | Testing for Volatility Changes in US Macroeconomic Time Series In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | paper | 118 |
2004 | Testing for Volatility Changes in U.S. Macroeconomic Time Series.(2004) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 118 | article | |
2003 | Predicting Growth Cycle Regimes for European Countries In: Centre for Growth and Business Cycle Research Discussion Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers. [Full Text][Citation analysis] | paper | 1 |
2011 | Forecasting with Leading Indicators by means of the Principal Covariate Index In: OECD Journal: Journal of Business Cycle Measurement and Analysis. [Full Text][Citation analysis] | article | 1 |
2017 | Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 2 |
2017 | Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2009 | Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 10 |
2007 | Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper. [Full Text][Citation analysis] | paper | 18 |
2007 | Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2006 | Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis In: EconoQuantum, Revista de Economia y Negocios. [Full Text][Citation analysis] | article | 0 |
2004 | Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics. [Full Text][Citation analysis] | article | 17 |
1998 | Short Patches of Outliers, ARCH and Volatility Modeling.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2011 | The euro introduction and noneuro currencies In: Applied Financial Economics. [Full Text][Citation analysis] | article | 24 |
2006 | The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2012 | Structural differences in economic growth: an endogenous clustering approach In: Applied Economics. [Full Text][Citation analysis] | article | 3 |
2008 | Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews. [Full Text][Citation analysis] | article | 37 |
2006 | Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
2018 | New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
2010 | A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance. [Full Text][Citation analysis] | article | 66 |
2007 | A Comparison of Biased Simulation Schemes for Stochastic Volatility Models.(2007) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
1999 | SETS, Arbitrage Activity, and Stock Price Dynamics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 25 |
2004 | Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2008 | Structural Differences in Economic Growth In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2010 | Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2011 | Modeling and Estimation of Synchronization in Multistate Markov-Switching Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
2011 | An Alternative Bayesian Approach to Structural Breaks in Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | Forecasting Volatility with Copula-Based Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | High-Frequency Technical Trading: The Importance of Speed In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2012 | Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
2013 | Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2014 | Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Structural Breaks in the International Dynamics of Inflation In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 24 |
2016 | Market Set‐up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal. [Full Text][Citation analysis] | article | 0 |
2019 | Combining expert‐adjusted forecasts In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
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