Dick van Dijk : Citation Profile


Are you Dick van Dijk?

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

33

H index

68

i10 index

3853

Citations

RESEARCH PRODUCTION:

75

Articles

135

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1996 - 2021). See details.
   Cites by year: 154
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 350.    Total self citations: 75 (1.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2023-05-27    RAS profile: 2022-08-25    
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Relations with other researchers


Works with:

Kole, Erik (3)

Lucas, Andre (3)

Gonzalez, Andres (2)

Franses, Philip Hans (2)

Yang, Yukai (2)

Teräsvirta, Timo (2)

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

Is cited by:

GUPTA, RANGAN (66)

Osborn, Denise (60)

Mignon, Valérie (49)

Balcilar, Mehmet (48)

Kapetanios, George (41)

Milas, Costas (40)

Medeiros, Marcelo (34)

Miller, Stephen (31)

JAWADI, Fredj (31)

Ravazzolo, Francesco (29)

Bataa, Erdenebat (29)

Cites to:

Diebold, Francis (93)

Bollerslev, Tim (79)

Timmermann, Allan (63)

Watson, Mark (52)

Franses, Philip Hans (51)

Engle, Robert (48)

Pesaran, Mohammad (45)

Teräsvirta, Timo (41)

Andersen, Torben (40)

Perez Quiros, Gabriel (40)

Stock, James (35)

Main data


Where Dick van Dijk has published?


Journals with more than one article published# docs
International Journal of Forecasting12
Journal of Econometrics6
Journal of Business & Economic Statistics4
Journal of Economic Dynamics and Control3
Computational Statistics & Data Analysis3
Oxford Bulletin of Economics and Statistics3
Journal of Empirical Finance3
Journal of Applied Econometrics3
Journal of Forecasting2
Econometric Reviews2
The Review of Economics and Statistics2
Journal of Banking & Finance2
Journal of Business & Economic Statistics2
Applied Economics2
The Journal of Financial Econometrics2

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 Institute34
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
Discussion Papers / School of Economics, The University of New South Wales2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Dick van Dijk (2022 and 2021)


YearTitle of citing document
2021Is 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.

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2021The 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.

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2021TESTING 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.

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2021The 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.

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2021Time-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.

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2021Budget 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.

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2021.

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

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

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

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2022Zero-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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2022Path-dependent volatility models. (2020). Lacombe, Chloe ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:2001.05248.

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2022Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2022Hybrid, adaptive, and positivity preserving numerical methods for the Cox-Ingersoll-Ross model. (2020). Maulana, Heru ; Lord, Gabriel ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2002.10206.

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2023Numerical smoothing and hierarchical approximations for efficient option pricing and density estimation. (2020). Tempone, Raul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2003.05708.

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2022Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2022Forecasting 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.

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

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2023Sparse 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.

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2022Predicting Disaggregated CPI Inflation Components via Hierarchical Recurrent Neural Networks. (2020). Caspi, Itamar ; Barkan, Oren ; Koenigstein, Noam ; Hammer, Allon. In: Papers. RePEc:arx:papers:2011.07920.

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2021Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

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2021Long-term prediction intervals with many covariates. (2020). Chudy, Marek ; Karmakar, Sayar ; Wu, Wei Biao. In: Papers. RePEc:arx:papers:2012.08223.

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

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

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

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2023Nonparametric 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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2022Variational 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.

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2022Semiparametric Functional Factor Models with Bayesian Rank Selection. (2021). Kowal, Daniel R. In: Papers. RePEc:arx:papers:2108.02151.

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2021Marginals 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.

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2021Stochastic volatility model with range-based correction and leverage. (2021). Kurose, Yuta. In: Papers. RePEc:arx:papers:2110.00039.

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2022Numerical 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.

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2023An adaptive splitting method for the Cox-Ingersoll-Ross process. (2021). Lord, Gabriel J ; Kelly, C'Onall. In: Papers. RePEc:arx:papers:2112.09465.

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2022Adaptive 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.

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2022Measurability of functionals and of ideal point forecasts. (2022). Fissler, Tobias ; Holzmann, Hajo. In: Papers. RePEc:arx:papers:2203.08635.

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2022Pricing commodity index options. (2022). , Carlos ; Carlos , ; Pallavicini, Andrea ; Nastasi, Emanuele ; Manzano, Alberto. In: Papers. RePEc:arx:papers:2208.01289.

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2022Predicting 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.

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2023Score-based calibration testing for multivariate forecast distributions. (2022). Pohle, Marc-Oliver ; Kruger, Fabian ; Knuppel, Malte. In: Papers. RePEc:arx:papers:2211.16362.

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2022Bayesian 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.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Efficient 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.

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2021.

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

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2022Beating 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.

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2021Bootstrap 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.

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2021Nonlinear 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.

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2022High?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.

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2021Discovering 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.

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2021Modelling 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.

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2021A 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.

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2022Real 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.

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2022Debt 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.

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2021Testing 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.

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2022Threshold 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.

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2021Forecasting 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.

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2021.

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2023Realized 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.

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2021Score-driven time series models. (2021). Harvey, Andrew. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2133.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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

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2021The 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.

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2021Tackling 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.

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2021Risk 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.

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2021Forecasting 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.

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2021Price diffusion across international private commercial real estate markets. (2021). Lizieri, Colin ; van Dijk, Dorinth ; Zhu, Bing. In: Working Papers. RePEc:dnb:dnbwpp:732.

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2021Urbanization, Governance and Informal Economy: an African Tale. (2021). Ndoya, Hermann ; Dongmo, Aristophane Djeufack. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-00876.

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2021Dynamic clustering of multivariate panel data. (2021). Lucas, Andre ; Joao, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Working Paper Series. RePEc:ecb:ecbwps:20212577.

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

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2023DeÂ…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.

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2021When 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.

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2021Visitor 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.

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2022StreaMRAK 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.

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2023CVA 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.

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

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2021An 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.

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2021Stakeholder 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.

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2022A 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.

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2022Multi-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.

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2022Does 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.

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2022Smooth 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.

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2021Volatility 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.

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2021Investigating 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.

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2021Asymmetric 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.

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2021Non-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.

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2022Asymmetric 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.

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2022FDI, 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.

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2022On the behavior of Okuns law across business cycles. (2022). Donayre, Luiggi. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001043.

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2023Are 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.

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

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

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

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

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

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

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2021The 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.

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2022Contagion 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.

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2022Evolving 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.

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2022Time-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.

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2022Economic 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.

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2023Building 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.

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

Works by Dick van Dijk:


YearTitleTypeCited
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
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2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
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2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers.
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2011Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers.
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2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
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2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
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2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
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2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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2000Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers.
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2000Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2000Asymmetric and common absorption of shocks in nonlinear autoregressive models.(2000) In: Econometric Institute Research Papers.
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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
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2008Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers.
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1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
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2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
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2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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2013Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: European Financial Management.
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2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2014Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation In: Oxford Bulletin of Economics and Statistics.
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2008Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation.(2008) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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2001MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP In: Macroeconomic Dynamics.
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2007Instability and nonlinearity in the euro area Phillips curve In: Working Paper Series.
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2009Instability and Nonlinearity in the Euro-Area Phillips Curve.(2009) In: International Journal of Central Banking.
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2001Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2004Forecasting US Inflation Using Model Averaging In: Econometric Society 2004 Australasian Meetings.
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2004A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production In: Econometric Society 2004 Australasian Meetings.
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2003A multi-level panel smooth transition autoregression for US sectoral production.(2003) In: Econometric Institute Research Papers.
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2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
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2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
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2007Forecast comparison of principal component regression and principal covariate regression In: Computational Statistics & Data Analysis.
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2005Forecast comparison of principal component regression and principal covariate regression.(2005) In: Econometric Institute Research Papers.
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2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
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2005Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method In: Journal of Development Economics.
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2013Measuring and predicting heterogeneous recessions In: Journal of Economic Dynamics and Control.
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2012Measuring and Predicting Heterogeneous Recessions.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2011Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers.
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2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
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2013Forecasting volatility with the realized range in the presence of noise and non-trading In: The North American Journal of Economics and Finance.
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2012Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management.
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2005Testing for causality in variance in the presence of breaks In: Economics Letters.
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2004Testing for causality in variance in the presence of breaks.(2004) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2002A nonlinear long memory model, with an application to US unemployment In: Journal of Econometrics.
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2009Cointegration in a historical perspective.(2009) In: Econometric Institute Research Papers.
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2005The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?.(2005) In: ERIM Report Series Research in Management.
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2003Stock selection strategies in emerging markets In: Journal of Empirical Finance.
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2001Stock Selection Strategies in Emerging Markets.(2001) In: Tinbergen Institute Discussion Papers.
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2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
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2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
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2015Forecasting day-ahead electricity prices: Utilizing hourly prices In: Energy Economics.
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2013Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices.(2013) In: Tinbergen Institute Discussion Papers.
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2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
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2005The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting.
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2001The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.(2001) In: Econometric Institute Research Papers.
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2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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2004Forecasting aggregates using panels of nonlinear time series.(2004) In: Econometric Institute Research Papers.
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2008Macroeconomic forecasting with matched principal components In: International Journal of Forecasting.
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2009Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting.
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