33
H index
68
i10 index
3853
Citations
Erasmus Universiteit Rotterdam (98% share) | 33 H index 68 i10 index 3853 Citations RESEARCH PRODUCTION: 75 Articles 135 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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2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper | |
2021 | The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa. (2021). Asongu, Simplice ; Nting, Rexon T. In: Research Africa Network Working Papers. RePEc:abh:wpaper:21/035. Full description at Econpapers || Download paper | |
2021 | TESTING THE WEAK FORM EFFICIENCY OF THE FRENCH ETF MARKET WITH LSTAR-ANLSTGARCH APPROACH USING A SEMIPARAMETRIC ESTIMATION. (2021). DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:09-21. Full description at Econpapers || Download paper | |
2021 | The Mobile Phone in Governance for Environmental Sustainability in Sub-Saharan Africa. (2021). Nting, Rexon ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:21/035. Full description at Econpapers || Download paper | |
2021 | Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120. Full description at Econpapers || Download paper | |
2021 | Budget policy, economic cycle and debt in the West African Economic and Monetary Union (WAEMU) countries: Empirical evidence based on a regime change model. (2021). Houngbedji, Sewanoude Honore. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:151-168. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | 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 | |
2022 | 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 | |
2022 | Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248. Full description at Econpapers || Download paper | |
2022 | Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578. Full description at Econpapers || Download paper | |
2022 | Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model. (2020). Maulana, Heru ; Lord, Gabriel ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2002.10206. Full description at Econpapers || Download paper | |
2023 | Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation. (2020). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2003.05708. Full description at Econpapers || Download paper | |
2022 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566. Full description at Econpapers || Download paper | |
2021 | Series expansions and direct inversion for the Heston model. (2020). Wiese, Anke ; Shen, Jiaqi ; Simon, . In: Papers. RePEc:arx:papers:2008.08576. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2022 | Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975. Full description at Econpapers || Download paper | |
2021 | Explicit solution simulation method for the 3/2 model. (2020). MacKay, Anne ; Kouritzin, Michael A ; Ren, Iro. In: Papers. RePEc:arx:papers:2009.09058. Full description at Econpapers || Download paper | |
2023 | Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577. Full description at Econpapers || Download paper | |
2022 | Predicting Disaggregated CPI Inflation Components via Hierarchical Recurrent Neural Networks. (2020). Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Papers. RePEc:arx:papers:2011.07920. Full description at Econpapers || Download paper | |
2021 | Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155. Full description at Econpapers || Download paper | |
2021 | Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223. Full description at Econpapers || Download paper | |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper | |
2021 | Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693. Full description at Econpapers || Download paper | |
2021 | The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266. Full description at Econpapers || Download paper | |
2023 | Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412. Full description at Econpapers || Download paper | |
2022 | Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262. Full description at Econpapers || Download paper | |
2022 | Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151. Full description at Econpapers || Download paper | |
2021 | Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946. Full description at Econpapers || Download paper | |
2021 | Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039. Full description at Econpapers || Download paper | |
2022 | Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. (2021). Tempone, Ra'Ul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2111.01874. Full description at Econpapers || Download paper | |
2023 | An adaptive splitting method for the Cox-Ingersoll-Ross process. (2021). Lord, Gabriel J ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2112.09465. Full description at Econpapers || Download paper | |
2022 | Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2202.02532. Full description at Econpapers || Download paper | |
2022 | Measurability of functionals and of ideal point forecasts. (2022). Fissler, Tobias ; Holzmann, Hajo. In: Papers. RePEc:arx:papers:2203.08635. Full description at Econpapers || Download paper | |
2022 | Pricing commodity index options. (2022). , Carlos ; Carlos , ; Pallavicini, Andrea ; Nastasi, Emanuele ; Manzano, Alberto. In: Papers. RePEc:arx:papers:2208.01289. Full description at Econpapers || Download paper | |
2022 | Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605. Full description at Econpapers || Download paper | |
2023 | Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362. Full description at Econpapers || Download paper | |
2022 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper | |
2023 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
2023 | Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14. Full description at Econpapers || Download paper | |
2022 | Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588. Full description at Econpapers || Download paper | |
2021 | Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable. (2021). Lee, Dongjin. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:212-229. Full description at Econpapers || Download paper | |
2021 | Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493. Full description at Econpapers || Download paper | |
2022 | High?frequency trading: Definition, implications, and controversies. (2022). Hsu, Weihuei ; Young, Martin R ; Zaharudin, Khairul Zharif. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:75-107. Full description at Econpapers || Download paper | |
2021 | Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application. (2021). Carlomagno, Guillermo ; Espasa, Antoni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:641-662. Full description at Econpapers || Download paper | |
2021 | Modelling of Economic and Financial Conditions for Real?Time Prediction of Recessions. (2021). Çakmaklı, Cem ; Altug, Sumru ; Ircani, Hamza Dem. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:3:p:663-685. Full description at Econpapers || Download paper | |
2021 | A Re?Examination of Inflation Persistence Dynamics in OECD Countries: A New Approach. (2021). Rodrigues, Paulo ; Nicolau, Jo o ; Zsurkis, Gabriel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:935-959. Full description at Econpapers || Download paper | |
2022 | Real Exchange Rates and Fundamentals in a new Markov?STAR Model. (2022). Sibbertsen, Philipp ; Ma, Jun ; Flock, Teresa ; Bertram, Philip . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:356-379. Full description at Econpapers || Download paper | |
2022 | Debt Intolerance: Threshold Level and Composition. (2022). Matsuoka, Hideaki. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:4:p:894-932. Full description at Econpapers || Download paper | |
2021 | Testing the asymmetric effects of exchange rate pass?through in BRICS countries: Does the state of the economy matter?. (2021). Wohar, Mark ; USMAN, OJONUGWA ; Roubaud, David ; Balcilar, Mehmet. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:1:p:188-233. Full description at Econpapers || Download paper | |
2022 | Threshold effects of openness on real and nominal effective exchange rates in emerging and developing economies. (2022). Saha, Sujata ; Keefe, Helena Glebocki. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:5:p:1386-1408. Full description at Econpapers || Download paper | |
2021 | Forecasting CPI Inflation Components with Hierarchical Recurrent Neural Network. (2021). Benchimol, Jonathan ; Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2021.06. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper | |
2021 | Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133. Full description at Econpapers || Download paper | |
2022 | Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5. Full description at Econpapers || Download paper | |
2021 | Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828. Full description at Econpapers || Download paper | |
2021 | The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Poza, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8976. Full description at Econpapers || Download paper | |
2021 | Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression. (2021). Zhang, Yunyi ; Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9395. Full description at Econpapers || Download paper | |
2021 | Risk modeling with option-implied correlations and score-driven dynamics. (2021). Herrera, Rodrigo ; Pia, Marco. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:932. Full description at Econpapers || Download paper | |
2021 | Forecasting financial markets with semantic network analysis in the COVID—19 crisis. (2021). Violante, Francesco ; Ravazzolo, Francesco ; Grassi, Stefano ; Colladon, Andrea Fronzetti. In: Working Papers. RePEc:crs:wpaper:2021-06. Full description at Econpapers || Download paper | |
2021 | Price diffusion across international private commercial real estate markets. (2021). Lizieri, Colin ; van Dijk, Dorinth ; Zhu, Bing. In: Working Papers. RePEc:dnb:dnbwpp:732. Full description at Econpapers || Download paper | |
2021 | Urbanization, Governance and Informal Economy: an African Tale. (2021). Ndoya, Hermann ; Dongmo, Aristophane Djeufack. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00876. Full description at Econpapers || Download paper | |
2021 | Dynamic clustering of multivariate panel data. (2021). Lucas, Andre ; Joao, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Working Paper Series. RePEc:ecb:ecbwps:20212577. Full description at Econpapers || Download paper | |
2021 | Accessing the Effect of Renewables on the Wholesale Power Market. (2021). Alam, Mohammad Nure. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-42. Full description at Econpapers || Download paper | |
2023 | DeÂ…cit sustainability and the Fiscal Theory of the Price Level: the case of Italy, 1861-2020. (2023). Esteve, Vicente ; Daz-Roldn, Silviano Carmen ; Congregado, Emilio. In: Working Papers. RePEc:eec:wpaper:2301. Full description at Econpapers || Download paper | |
2021 | When lightning strikes twice: The tragedy-induced demise and attempted corporate resuscitation of Malaysia airlines. (2021). Corbet, Shaen ; O'Connell, John F ; Lucey, Brian ; Efthymiou, Marina. In: Annals of Tourism Research. RePEc:eee:anture:v:87:y:2021:i:c:s016073832030253x. Full description at Econpapers || Download paper | |
2021 | Visitor arrivals forecasts amid COVID-19: A perspective from the Europe team. (2021). Blake, Adam ; Giannoni, Sauveur ; Ramos, Vicente ; Vici, Laura ; Liu, Anyu. In: Annals of Tourism Research. RePEc:eee:anture:v:88:y:2021:i:c:s016073832100044x. Full description at Econpapers || Download paper | |
2022 | StreaMRAK a streaming multi-resolution adaptive kernel algorithm. (2022). Cloninger, Alexander ; Freund, Yoav ; Naumova, Valeriya ; Kereta, Eljko ; Oslandsbotn, Andreas. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:426:y:2022:i:c:s0096300322001965. Full description at Econpapers || Download paper | |
2023 | CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834. Full description at Econpapers || Download paper | |
2021 | Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567. Full description at Econpapers || Download paper | |
2021 | An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439. Full description at Econpapers || Download paper | |
2021 | Stakeholder orientation and the value of cash holdings: Evidence from a natural experiment. (2021). Park, Jong Chool ; Doukas, John A ; Chowdhury, Rajib. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001504. Full description at Econpapers || Download paper | |
2022 | A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x. Full description at Econpapers || Download paper | |
2022 | Multi-layered rational inattention and time-varying volatility. (2022). Hobler, Stephan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200077x. Full description at Econpapers || Download paper | |
2022 | Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment. (2022). Tian, Xiao Jason ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001415. Full description at Econpapers || Download paper | |
2022 | Smooth Transition Simultaneous Equation Models. (2022). Krishnakumar, Jaya ; Kadilli, Anjeza. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002494. Full description at Econpapers || Download paper | |
2021 | Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413. Full description at Econpapers || Download paper | |
2021 | Investigating the asymmetric impact of oil prices on GCC stock markets. (2021). Rault, Christophe ; Ben Cheikh, Nidhaleddine ; Kanaan, Oussama ; ben Naceur, Sami ; Bennaceur, Sami . In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001784. Full description at Econpapers || Download paper | |
2021 | Asymmetric effects of monetary policy and output shocks on the real estate market in China. (2021). Pan, Fanghui ; Zhang, Xiaoyu. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321001899. Full description at Econpapers || Download paper | |
2021 | Non-linear analysis of effects of energy consumption on economic growth in China: Role of real exchange rate. (2021). Chen, Tianyu ; Zhang, Hongda ; Yu, Huan ; Wang, Yajie. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002121. Full description at Econpapers || Download paper | |
2022 | Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881. Full description at Econpapers || Download paper | |
2022 | FDI, corruption and financial development around the world: A panel non-linear approach. (2022). Matei, Iuliana ; Sattar, Abdul ; Krifa-Schneider, Hadjila. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000554. Full description at Econpapers || Download paper | |
2022 | On the behavior of Okuns law across business cycles. (2022). Donayre, Luiggi. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001043. Full description at Econpapers || Download paper | |
2023 | Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972. Full description at Econpapers || Download paper | |
2021 | Does the composition of government spending matter for government bond spreads?. (2021). Sawadogo, Pegdewende ; Minea, Alexandru ; Combes, Jean-Louis. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:409-420. Full description at Econpapers || Download paper | |
2021 | The link between intellectual property rights, innovation, and growth: A meta-analysis. (2021). Sochirca, Elena ; Silva, Diana ; Afonso, Oscar ; Neves, Pedro Cunha. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:196-209. Full description at Econpapers || Download paper | |
2021 | Correlation regimes in international equity and bond returns. (2021). Martinez, Oscar ; Aslanidis, Nektarios. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:397-410. Full description at Econpapers || Download paper | |
2021 | Facing up to the polysemy of purchasing power parity: New international evidence. (2021). Chen, Shyh-Wei ; Xie, Zixiong ; Hsieh, Chun-Kuei . In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:247-265. Full description at Econpapers || Download paper | |
2021 | Public debt and economic growth in developing countries: Nonlinearity and threshold analysis. (2021). Law, Siong Hook ; Kutan, Ali M ; Ng, Chee Hung. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:26-40. Full description at Econpapers || Download paper | |
2021 | Growth, institutions and oil dependence: A buffered threshold panel approach. (2021). Souam, Saïd ; Belarbi, Yacine ; Khalfi, Abderaouf ; Hamdi, Fayal. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000584. Full description at Econpapers || Download paper | |
2021 | The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121. Full description at Econpapers || Download paper | |
2022 | Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. (2022). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002229. Full description at Econpapers || Download paper | |
2022 | Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249. Full description at Econpapers || Download paper | |
2022 | Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559. Full description at Econpapers || Download paper | |
2022 | Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model. (2022). Ma, Yong ; Du, Wanying ; Wang, Yunyuan ; Liu, Xiaojun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001176. Full description at Econpapers || Download paper | |
2023 | Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723. Full description at Econpapers || Download paper | |
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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: 7 | paper | |
2009 | Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 17 |
2007 | Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper. [Full Text][Citation analysis] | paper | 20 |
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: 20 | paper | |
2006 | Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis In: EconoQuantum, Revista de Economia y Finanzas. [Full Text][Citation analysis] | article | 0 |
2004 | Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics. [Full Text][Citation analysis] | article | 18 |
2006 | A simple test for PPP among traded goods In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
2011 | The euro introduction and noneuro currencies In: Applied Financial Economics. [Full Text][Citation analysis] | article | 22 |
2012 | Structural differences in economic growth: an endogenous clustering approach In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
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 | 53 |
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: 53 | paper | |
2018 | New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 28 |
2021 | Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1 |
2019 | Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings.(2019) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2010 | A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance. [Full Text][Citation analysis] | article | 96 |
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: 96 | paper | |
1998 | Short Patches of Outliers, ARCH and Volatility Modeling In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
1999 | SETS, Arbitrage Activity, and Stock Price Dynamics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
2004 | Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2004 | Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 65 |
2008 | Structural Differences in Economic Growth In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
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 | 14 |
2011 | An Alternative Bayesian Approach to Structural Breaks in Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2011 | Forecasting Volatility with Copula-Based Time Series Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
2012 | High-Frequency Technical Trading: The Importance of Speed In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2012 | Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 27 |
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 | 4 |
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 | Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Heterogeneity in Manufacturing Growth Risk 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 | 35 |
2016 | Market Set?up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal. [Full Text][Citation analysis] | article | 2 |
2019 | Combining expert?adjusted forecasts In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
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