Dick van Dijk : Citation Profile

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

33

H index

72

i10 index

4190

Citations

RESEARCH PRODUCTION:

80

Articles

142

Papers

3

Chapters

RESEARCH ACTIVITY:

   28 years (1996 - 2024). See details.
   Cites by year: 149
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 127.    Total self citations: 80 (1.87 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2025-03-08    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Kole, Erik (3)

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

Is cited by:

GUPTA, RANGAN (66)

Osborn, Denise (57)

Mignon, Valérie (56)

Balcilar, Mehmet (49)

Kapetanios, George (43)

Milas, Costas (41)

Medeiros, Marcelo (37)

JAWADI, Fredj (34)

Miller, Stephen (31)

Perron, Pierre (29)

Cavaliere, Giuseppe (29)

Cites to:

Diebold, Francis (98)

Bollerslev, Tim (70)

Timmermann, Allan (66)

Watson, Mark (57)

Franses, Philip Hans (49)

Pesaran, Mohammad (47)

Andersen, Torben (40)

Teräsvirta, Timo (39)

Perez Quiros, Gabriel (39)

Engle, Robert (39)

Stock, James (38)

Main data

Production by document typepaperarticlechapter1996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202401020Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250100200300400Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240250500750Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 33Most cited documents12345678910111213141516171819202122232425262728293031323334350250500750Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250302040h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Dick van Dijk has published?

Journals with more than one article published# docs
International Journal of Forecasting13
Journal of Econometrics7
Journal of Business & Economic Statistics4
Oxford Bulletin of Economics and Statistics4
Journal of Empirical Finance3
Journal of Financial Econometrics3
Computational Statistics & Data Analysis3
Journal of Economic Dynamics and Control3
Applied Financial Economics3
Journal of Applied Econometrics3
The Review of Economics and Statistics2
Econometric Reviews2
Journal of Business & Economic Statistics2
Journal of Forecasting2
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 Institute38
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
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics5
Post-Print / HAL4
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Discussion Papers / School of Economics, The University of New South Wales2

Recent works citing Dick van Dijk (2025 and 2024)

Year  ↓Title of citing document  ↓
2024.

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2024Globalization in Lifelong Gender Inclusive Education for Structural Transformation in Africa. (2024). Asongu, Simplice ; Agyemang-Mintah, Peter. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/013.

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2024Zero-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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2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2024Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2024Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864.

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2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2025Kernel Three Pass Regression Filter. (2024). Padha, Daanish ; Jat, Rajveer. In: Papers. RePEc:arx:papers:2405.07292.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2024Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate. (2024). Chen, Haoxian ; Li, Fengpei ; Lam, Henry ; Capponi, Agostino ; Nevmyvaka, Yuriy ; Xu, Gang ; Tan, Xiaowei ; Gupta, Arkin ; Lin, Jiahe. In: Papers. RePEc:arx:papers:2412.11257.

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2024Direct Inversion for the Squared Bessel Process and Applications. (2024). Xu, Yifan ; Wiese, Anke. In: Papers. RePEc:arx:papers:2412.16655.

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2024Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478.

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2024.

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2024Revisiting the resource curse: Does volatility matter?. (2024). Kirat, Yassine. In: Kyklos. RePEc:bla:kyklos:v:77:y:2024:i:4:p:944-976.

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2024.

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2024.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Zoia, Maria Grazia ; Riso, Luigi ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2024The dynamics of international patents production: A panel smooth transition regression approach. (2024). Omri, Sofiene ; Jebeniani, Arbia Jihene ; Trabelsi, Jamel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01026.

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2024Improving probabilistic wind speed forecasting using M-Rice distribution and spatial data integration. (2024). Muzy, Jean-Franois ; Baggio, Roberta. In: Applied Energy. RePEc:eee:appene:v:360:y:2024:i:c:s030626192400223x.

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2024Application-oriented assessment of grid-connected PV-battery system with deep reinforcement learning in buildings considering electricity price dynamics. (2024). Liu, Xiaohua ; Kuang, Zhonghong ; Chen, QI ; Zhang, Tao. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005464.

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2024Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt. (2024). Nguimkeu, Pierre ; Tatoutchoup, Didier ; ben Hmiden, Oussama ; Avele, Donatien. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004121.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376.

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2024Combining probabilistic forecasts of intermittent demand. (2024). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048.

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2024Examining the non-linear effects of monetary policy on carbon emissions. (2024). Chen, LI ; Yang, Cunyi ; Wu, Junwei. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007041.

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2024Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models. (2024). Hasanli, Mubariz. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002184.

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2024Exploring non-linear causal nexus between economic growth and energy consumption across various R&D regimes: Cross-country evidence from a PSTR model. (2024). Heshmati, Almas ; Mamkhezri, Jamal. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002275.

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2024Digitalization as a trigger for a rebound effect of electricity use. (2024). Qin, Xiong-Feng ; Peng, Hua-Rong. In: Energy. RePEc:eee:energy:v:300:y:2024:i:c:s0360544224013586.

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2024The contribution of clean energy consumption and production to sustainable economic development: New insights from the PSTR model. (2024). Jiang, Peng ; Cao, Yun ; Yin, Kedong ; Wang, Yuchen ; Zhang, Qinyi. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031773.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2024Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815.

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2024Competitive dynamics and risk of non-life insurance in Taiwan: An empirical study. (2024). Wang, Mei-Chih ; Chen, Guan-Chih. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000863.

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2024ESG investing in good and bad times: An international study. (2024). Bilgin, Mehmet Huseyin ; Zaremba, Adam ; Cakici, Nusret ; Chiah, Mardy ; Long, Huaigang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001841.

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024A probabilistic forecast methodology for volatile electricity prices in the Australian National Electricity Market. (2024). Dinh, Nam Trong ; Cornell, Cameron ; Pourmousavi, Ali S. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1421-1437.

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2024Locally tail-scale invariant scoring rules for evaluation of extreme value forecasts. (2024). Rootzen, Holger ; Olafsdottir, Helga Kristin ; Bolin, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1701-1720.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2024Price diffusion across international private commercial real estate markets. (2024). Lizieri, Colin ; van Dijk, Dorinth ; Zhu, Bing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001778.

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2024Private bank deposits and macro/fiscal risk in the euro-area. (2024). Kontonikas, Alexandros ; Gadea, Maria-Dolores ; Arghyrou, Michael G. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001936.

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2024Measuring systemic risk in Asian foreign exchange markets. (2024). Chen, Yanghan ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001220.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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2024The potency of time series outliers in volatile models: An empirical analysis of fintech, and mineral resources. (2024). Maqsood, Arfa ; Yaqoob, Tanzeela. In: Resources Policy. RePEc:eee:jrpoli:v:89:y:2024:i:c:s0301420724000333.

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2024Non-linear relationship between FinTech, natural resources, green innovation and environmental sustainability: Evidence from panel smooth transition regression model. (2024). Mahmoud, Haitham A ; Zhu, Xianglei ; Su, Nan ; Zhe, Dong ; Akhtar, Tazeem. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002691.

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2024Human rights and value of cash: Evidence from Islamic and non-Islamic countries. (2024). Yu, Min-Teh ; Chen, Naiwei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x2400218x.

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2024The effect of human capital on the trade-growth nexus: A dynamic panel threshold analysis. (2024). Gharsallah, Mariem ; Trabelsi, Salwa. In: Research in Economics. RePEc:eee:reecon:v:78:y:2024:i:4:s1090944324000528.

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2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Ma, Feng ; Liu, Jing ; Xu, Yanyan ; Chu, Jielei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

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2024Navigating median and extreme volatility in stock markets: Implications for portfolio strategies. (2024). Naeem, Muhammad Abubakr. In: International Review of Economics & Finance. RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004994.

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2024Less is more: Evidence from firms with low cash and debt. (2024). Yu, Min-Teh ; Chen, Naiwei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000576.

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2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

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2024Investors’ attention and network spillover for commodity market forecasting. (2024). Mattera, Raffaele ; Ficcadenti, Valerio ; Cerqueti, Roy. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:95:y:2024:i:c:s0038012124002222.

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2024Did robots make wages less responsive to unemployment?. (2024). Siwiska-Gorzelak, Joanna ; Brzozowski, Micha. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:209:y:2024:i:c:s0040162524005675.

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2024Exploring non-linear causal nexus between economic growth and energy consumption across various R&D regimes: cross-country evidence from a PSTR model. (2024). Heshmati, Almas ; Mamkhezri, Jamal. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:122698.

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2024Do Long-Term Institutional Shareholders Always Vote in Favour of Board Recommendations? The Moderating Effect of Cash Holdings. (2024). Alomran, Abdulaziz A. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:12:p:534-:d:1528735.

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2024The Spillover Effects of Market Sentiments on Global Stock Market Volatility: A Multi-Country GJR-GARCH-MIDAS Approach. (2024). Jung, Jaewon ; Bai, Sarula ; Li, Shun. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:12:p:569-:d:1546914.

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2024Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality?. (2024). Berry, Brian T ; Branch, Ben S ; Forest, James J. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:5:p:80-:d:1394432.

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2025Crude Oil Price Shocks and Stock Market Volatility: Evidence From China. (2025). Chen, Gao Tian ; Hui, Gao. In: Review of European Studies. RePEc:ibn:resjnl:v:14:y:2025:i:4:p:39.

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2024Into the Unknown: Uncertainty, Foreboding and Financial Markets. (2024). Roy Trivedi, Smita. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09404-z.

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2024Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). Gupta, Rangan ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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

Works by Dick van Dijk:

Year  ↓Title  ↓Type  ↓Cited  ↓
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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This paper has nother version. Agregated cites: 1		paper
2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper26
2016Nonlinear forecasting with many predictors using kernel ridge regression.(2016) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 26		article
2011Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 26		paper
2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
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2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper418
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 418		paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 418		paper
2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
[Citation analysis]		paper26
2011The euro introduction and noneuro currencies.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 26		paper
2000Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper17
2000Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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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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2021Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings In: Journal of Business & Economic Statistics.
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2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings.(2019) In: Tinbergen Institute Discussion Papers.
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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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2022Modeling and estimation of synchronization in size-sorted portfolio returns In: Central Bank Review.
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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.
[Full Text][Citation analysis]		paper1
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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2021Heterogeneity in Manufacturing Growth Risk In: Tinbergen Institute Discussion Papers.
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2024Implicit score-driven filters for time-varying parameter models In: Tinbergen Institute Discussion Papers.
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2023Does economic uncertainty predict real activity in real-time? In: Tinbergen Institute Discussion Papers.
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2023Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models 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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