19
H index
32
i10 index
1373
Citations
Herman K. van Dijk : Citation Profile
Tinbergen Instituut (95% share) | RESEARCH PRODUCTION: 67 Articles 168 Papers 1 Books EDITOR: RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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44 years (1975 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Herman K. van Dijk. | Is cited by:
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Main data
Where Herman K. van Dijk has published?
Recent works citing Herman K. van Dijk (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 2020 | Measurement Error in a First-order Autoregression. (2020). Franses, Philip Hans. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:1-14. Full description at Econpapers || Download paper |
| 2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper |
| 2020 | Model Averaging and Its Use in Economics. (2020). , Mark. In: Journal of Economic Literature. RePEc:aea:jeclit:v:58:y:2020:i:3:p:644-719. Full description at Econpapers || Download paper |
| 2020 | Measurement Error in a First-order Autoregression. (2020). Franses, Philip Hans. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:1-14. Full description at Econpapers || Download paper |
| 2020 | A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103. Full description at Econpapers || Download paper |
| 2019 | Stochastic model specification in Markov switching vector error correction models. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: Papers. RePEc:arx:papers:1807.00529. Full description at Econpapers || Download paper |
| 2020 | Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662. Full description at Econpapers || Download paper |
| 2019 | Mean-shift least squares model averaging. (2019). Takanashi, Kosaku ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1912.01194. Full description at Econpapers || Download paper |
| 2019 | Triple the gamma -- A unifying shrinkage prior for variance and variable selection in sparse state space and TVP models. (2019). Knaus, Peter ; Fruhwirth-Schnatter, Sylvia ; Cadonna, Annalisa. In: Papers. RePEc:arx:papers:1912.03100. Full description at Econpapers || Download paper |
| 2020 | Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593. Full description at Econpapers || Download paper |
| 2020 | A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110. Full description at Econpapers || Download paper |
| 2019 | Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It and What Have We Learned?. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1081. Full description at Econpapers || Download paper |
| 2019 | Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162. Full description at Econpapers || Download paper |
| 2019 | Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting. (2019). Aastveit, Knut Are ; West, Mike ; Nakajima, Jouchi ; McAlinn, Kenichiro. In: Working Papers. RePEc:bny:wpaper:0073. Full description at Econpapers || Download paper |
| 2019 | Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach. (2019). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Working Papers. RePEc:bny:wpaper:0083. Full description at Econpapers || Download paper |
| 2019 | Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps59. Full description at Econpapers || Download paper |
| 2020 | Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model. (2020). Luginbuhl, Rob. In: CPB Discussion Paper. RePEc:cpb:discus:409.rdf. Full description at Econpapers || Download paper |
| 2020 | Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472. Full description at Econpapers || Download paper |
| 2019 | An Improved Bayesian Unit Root Test in Stochastic Volatility Models. (2019). Yu, Jun ; JunYu, ; Li, Yong. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:liyu. Full description at Econpapers || Download paper |
| 2019 | Detecting turning points in global economic activity. (2019). Seitz, Franz ; Salvador, Ramon Gomez ; Baumann, Ursel. In: Working Paper Series. RePEc:ecb:ecbwps:20192310. Full description at Econpapers || Download paper |
| 2020 | Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378. Full description at Econpapers || Download paper |
| 2020 | Crude Oil Price and Exchange Rate: An Analysis of the Asymmetric Effect and Volatility Using the Non Linear Autoregressive Distributed Lag and General Autoregressive Conditional Heterochedasticity in . (2020). Arsad, La Ode ; Adam, Pasrun ; Rosnawintang, Rosnawintang ; Saranani, Fajar ; Aedy, Hasan ; Saidi, La Ode. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-15. Full description at Econpapers || Download paper |
| 2020 | The Relationship between Electricity Consumption and Economic Growth: Evidence from Azerbaijan. (2020). Hajiyev, Natig Gadim-Ogli ; Seyfullayev, Lgar Zulfigar ; Ahmadov, Fariz Saleh ; Humbatova, Sugra Ingilab. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-01-55. Full description at Econpapers || Download paper |
| 2019 | The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378. Full description at Econpapers || Download paper |
| 2019 | Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68. Full description at Econpapers || Download paper |
| 2020 | Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951. Full description at Econpapers || Download paper |
| 2020 | Sequential Bayesian inference for vector autoregressions with stochastic volatility. (2020). Zito, John ; Bognanni, Mark. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s016518892030021x. Full description at Econpapers || Download paper |
| 2019 | The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439. Full description at Econpapers || Download paper |
| 2020 | Modelling income distribution using the log Student’s t distribution: New evidence for European Union countries. (2020). Prieto-Alaiz, Mercedes ; Garcia-Perez, Carmelo ; Callealta, Francisco Javier. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:512-522. Full description at Econpapers || Download paper |
| 2019 | Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657. Full description at Econpapers || Download paper |
| 2019 | Bayesian compressed vector autoregressions. (2019). Pettenuzzo, Davide ; Korobilis, Dimitris ; Koop, Gary. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:135-154. Full description at Econpapers || Download paper |
| 2019 | Dynamic Bayesian predictive synthesis in time series forecasting. (2019). West, Mike ; McAlinn, Kenichiro. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:155-169. Full description at Econpapers || Download paper |
| 2019 | Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202. Full description at Econpapers || Download paper |
| 2019 | Sequentially adaptive Bayesian learning algorithms for inference and optimization. (2019). Durham, Garland ; Geweke, John. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:4-25. Full description at Econpapers || Download paper |
| 2019 | Importance sampling from posterior distributions using copula-like approximations. (2019). Tsionas, Mike ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:45-57. Full description at Econpapers || Download paper |
| 2019 | Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115. Full description at Econpapers || Download paper |
| 2019 | Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240. Full description at Econpapers || Download paper |
| 2020 | Partially censored posterior for robust and efficient risk evaluation. (2020). van Dijk, Herman K ; Koopman, Siem Jan ; Hoogerheide, Lennart ; Borowska, Agnieszka. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:335-355. Full description at Econpapers || Download paper |
| 2019 | A Bayesian analysis of linear regression models with highly collinear regressors. (2019). Smith, Ronald ; Pesaran, M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:1-21. Full description at Econpapers || Download paper |
| 2019 | Socioeconomic differences in the associations between diabetes and hospital admission and mortality among older adults in Europe. (2019). Cantarero, David ; Cantarero-Prieto, David ; Rodriguez-Sanchez, Beatriz. In: Economics & Human Biology. RePEc:eee:ehbiol:v:33:y:2019:i:c:p:89-100. Full description at Econpapers || Download paper |
| 2019 | Multi-objective optimization using statistical models. (2019). Tsionas, Mike. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:1:p:364-378. Full description at Econpapers || Download paper |
| 2020 | Management estimation in banking. (2020). Delis, Manthos ; Tsionas, Mike ; Iosifidi, Maria. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:1:p:355-372. Full description at Econpapers || Download paper |
| 2020 | A new hybrid model for forecasting Brent crude oil price. (2020). Ebrahimi, Seyed Babak ; Abdollahi, Hooman. In: Energy. RePEc:eee:energy:v:200:y:2020:i:c:s0360544220306277. Full description at Econpapers || Download paper |
| 2020 | Profitability of momentum strategies in Latin America. (2020). Lizarzaburu, Edmundo ; Cardona, Emilio ; Berggrun, Luis. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301460. Full description at Econpapers || Download paper |
| 2019 | Threshold cointegration in international exchange rates:A Bayesian approach. (2019). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:458-473. Full description at Econpapers || Download paper |
| 2019 | Financial nowcasts and their usefulness in macroeconomic forecasting. (2019). Zaman, Saeed ; Knotek, Edward S. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1708-1724. Full description at Econpapers || Download paper |
| 2019 | Residential investment and recession predictability. (2019). Herstad, Eyo I ; Anundsen, Andre K ; Aastveit, Knut Are. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1790-1799. Full description at Econpapers || Download paper |
| 2019 | Inflation dynamics and adaptive expectations in an estimated DSGE model. (2019). Lansing, Kevin ; Iskrev, Nikolay ; Gelain, Paolo ; Mendicino, Caterina. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:258-277. Full description at Econpapers || Download paper |
| 2020 | Newspapers Content Policy and the Effect of Paywalls on Pageviews. (2020). Song, Reo ; Kim, Youngsoo. In: Journal of Interactive Marketing. RePEc:eee:joinma:v:49:y:2020:i:c:p:54-69. Full description at Econpapers || Download paper |
| 2019 | Econometric model of non-performing loans determinants. (2019). Pavlovic, Dejana ; Sekulic, Dejan ; Cvijanovi, Drago ; Radivojevi, Nikola ; Maksimovi, Goran ; Jovic, Srdjan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:481-488. Full description at Econpapers || Download paper |
| 2019 | Demand stimulation in finished-goods inventory management: Empirical evidence from General Motors dealerships. (2019). Zhao, Yabing ; Chuang, Chia-Hung. In: International Journal of Production Economics. RePEc:eee:proeco:v:208:y:2019:i:c:p:208-220. Full description at Econpapers || Download paper |
| 2019 | Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113. Full description at Econpapers || Download paper |
| 2019 | The role of prices and network effects in the growth of the iPhone platform. (2019). Saenz, Diana ; Muhamedagi, Mensur ; Garcia-Swartz, Daniel D. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:147:y:2019:i:c:p:110-122. Full description at Econpapers || Download paper |
| 2019 | An automated prior robustness analysis in Bayesian model comparison. (2019). Chan, Joshua ; Zhu, Dan ; Jacobi, Liana. In: CAMA Working Papers. RePEc:een:camaaa:2019-45. Full description at Econpapers || Download paper |
| 2019 | Penalized Estimation of Panel Vector Autoregressive Models. (2019). Schnucker, A M. In: Econometric Institute Research Papers. RePEc:ems:eureir:122072. Full description at Econpapers || Download paper |
| 2019 | Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging. (2019). Ogrady, Michael. In: The Economic and Social Review. RePEc:eso:journl:v:50:y:2019:i:1:p:35-76. Full description at Econpapers || Download paper |
| 2019 | Business Cycles Across Space and Time. (2019). Soques, Daniel ; Owyang, Michael ; Francis, Neville. In: Working Papers. RePEc:fip:fedlwp:2019-010. Full description at Econpapers || Download paper |
| 2019 | Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems. (2019). Pacifico, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:8-:d:212762. Full description at Econpapers || Download paper |
| 2019 | Interval-Based Hypothesis Testing and Its Applications to Economics and Finance. (2019). Robinson, Andrew P ; Kim, Jae H. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:21-:d:231401. Full description at Econpapers || Download paper |
| 2019 | A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments. (2019). Lahiri, Kajal ; Gao, Chuanming . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:33-:d:252767. Full description at Econpapers || Download paper |
| 2019 | Compulsory Schooling and Returns to Education: A Re-Examination. (2019). van Huellen, Sophie ; Qin, Duo. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:36-:d:263407. Full description at Econpapers || Download paper |
| 2019 | Oil Factor in Economic Development. (2019). Hajiyev, Natig Qadim-Oglu ; Humbatova, Sugra Ingilab. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:8:p:1573-:d:225910. Full description at Econpapers || Download paper |
| 2019 | Testing Market Efficiency with Nonlinear Methods: Evidence from Borsa Istanbul. (2019). Aliyev, Fuzuli. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:7:y:2019:i:2:p:27-:d:237146. Full description at Econpapers || Download paper |
| 2020 | Parsimonious Heterogeneous ARCH Models for High Frequency Modeling. (2020). Morettin, Pedro Alberto ; Ruilova, Juan Carlos. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:38-:d:322796. Full description at Econpapers || Download paper |
| 2019 | The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). girardin, eric ; Namin, Fatemeh Salimi. In: Post-Print. RePEc:hal:journl:hal-02314156. Full description at Econpapers || Download paper |
| 2020 | Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589. Full description at Econpapers || Download paper |
| 2019 | IMPROVING ANALYST TARGET PRICE PERFORMANCE THROUGH ENHANCED VALUATION TECHNIQUES. (2019). Li, Yanfu . In: Global Journal of Business Research. RePEc:ibf:gjbres:v:13:y:2019:i:2:p:1-12. Full description at Econpapers || Download paper |
| 2020 | A Changing Weights Spatial Forecast Combination Approach with an Application to Housing Price Prediction. (2020). Zheng, Nana ; Du, Chenping ; Wei, Chuanhua. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:12:y:2020:i:4:p:11. Full description at Econpapers || Download paper |
| 2020 | Parametric Representation of the Top of Income Distributions: Options, Historical Evidence and Model Selection. (2020). Hlasny, Vladimir. In: Working Papers. RePEc:inq:inqwps:ecineq2020-547. Full description at Econpapers || Download paper |
| 2019 | Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels. (2019). Richard, Jean-Francois ; Khorunzhina, Natalia. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9777-2. Full description at Econpapers || Download paper |
| 2019 | Bayesian Estimation of Beta-type Distribution Parameters Based on Grouped Data. (2019). Nishino, Haruhisa ; Kakamu, Kazuhiko. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9843-4. Full description at Econpapers || Download paper |
| 2020 | Computing Bayes: Bayesian Computation from 1763 to the 21st Century. (2020). Robert, Christian P ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-14. Full description at Econpapers || Download paper |
| 2019 | Asset allocation with multiple analysts’ views: a robust approach. (2019). Li, Baibing ; Tee, Kai-Hong ; Lu, I-Chen. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:3:d:10.1057_s41260-019-00115-7. Full description at Econpapers || Download paper |
| 2019 | The impact of vector migration on the effectiveness of strategies to control gambiense human African trypanosomiasis. (2019). Galvani, Alison P ; Aksoy, Serap ; Atkins, Katherine E ; Pandey, Abhishek ; Ndeffo-Mbah, Martial L. In: PLOS Neglected Tropical Diseases. RePEc:plo:pntd00:0007903. Full description at Econpapers || Download paper |
| 2019 | Panel Modeling of Z-score: Evidence from Islamic and Conventional Saudi Banks. (2019). Ghassan, Hassan ; Guendouz, Abdelkarim . In: MPRA Paper. RePEc:pra:mprapa:95239. Full description at Econpapers || Download paper |
| 2019 | Panel Modeling of Z-score: Evidence from Islamic and Conventional Saudi Banks. (2019). Ghassan, Hassan ; Guendouz, Abdelkarim. In: MPRA Paper. RePEc:pra:mprapa:95900. Full description at Econpapers || Download paper |
| 2019 | Costs of people with diabetes in relation to average glucose control: an empirical approach controlling for year of onset cohorts. (2019). Feenstra, Talitha L ; Rodriguez-Sanchez, Beatriz ; Henk, . In: The European Journal of Health Economics. RePEc:spr:eujhec:v:20:y:2019:i:7:d:10.1007_s10198-019-01072-z. Full description at Econpapers || Download paper |
| 2020 | Scaling and discontinuities in the global economy. (2020). Angeler, David G ; Allen, Craig R ; Sundstrom, Shana M. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:30:y:2020:i:2:d:10.1007_s00191-019-00650-x. Full description at Econpapers || Download paper |
| 2019 | Higher Moment Constraints for Predictive Density Combinations. (2019). Vasnev, Andrey ; Pauwels, Laurent ; Radchenko, Peter. In: Working Papers. RePEc:syb:wpbsba:2123/20175. Full description at Econpapers || Download paper |
| 2020 | Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/22140. Full description at Econpapers || Download paper |
| 2019 | Forecasting energy commodity prices: a large global dataset sparse approach. (2019). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Working Papers. RePEc:tas:wpaper:32152. Full description at Econpapers || Download paper |
| 2020 | Parametric Representation of the Top of Income Distributions: Options, Historical Evidence and Model Selection. (2020). Hlasny, Vladimir. In: Commitment to Equity (CEQ) Working Paper Series. RePEc:tul:ceqwps:90. Full description at Econpapers || Download paper |
| 2019 | Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711. Full description at Econpapers || Download paper |
| 2019 | The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series, Department of Economics, University of Utah. RePEc:uta:papers:2019_06. Full description at Econpapers || Download paper |
| 2019 | The multivariate simultaneous unobserved components model and identification via heteroskedasticity. (2019). Mendieta-Muñoz, Ivan ; Li, Mengheng ; Mendieta-Munoz, Ivan. In: Working Paper Series. RePEc:uts:ecowps:2019/08. Full description at Econpapers || Download paper |
| 2019 | Volatility filtering in estimation of kurtosis (and variance). (2019). Anatolyev, Stanislav. In: Dependence Modeling. RePEc:vrs:demode:v:7:y:2019:i:1:p:1-23:n:1. Full description at Econpapers || Download paper |
| 2019 | The effect of bariatric surgery on health care costs: A synthetic control approach using Bayesian structural time series. (2019). Holle, Rolf ; Schwarzkopf, Larissa ; Laxy, Michael ; Teuner, Christina ; Rehm, Martin ; Kurz, Christoph F. In: Health Economics. RePEc:wly:hlthec:v:28:y:2019:i:11:p:1293-1307. Full description at Econpapers || Download paper |
| 2020 | Entry and price competition in the over‐the‐counter drug market after deregulation: Evidence from Portugal. (2020). Moura, Ana ; Barros, Pedro Pita ; PitaBarros, Pedro . In: Health Economics. RePEc:wly:hlthec:v:29:y:2020:i:8:p:865-877. Full description at Econpapers || Download paper |
| 2020 | Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020. Full description at Econpapers || Download paper |
Herman K. van Dijk is editor of
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| Econometrics and Statistics |
Herman K. van Dijk has edited the books:
| Year | Title | Type | Cited |
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Works by Herman K. van Dijk:
| Year | Title | Type | Cited |
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| 2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2015 | Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2015 | Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2013 | Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2010 | Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging. In: ANU Working Papers in Economics and Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1975 | BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 0 |
| 1976 | PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 0 |
| 1976 | BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 137 |
| 1978 | Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo..(1978) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 137 | article | |
| 1978 | POSTERIOR ANALYSIS OF KLEINS MODEL In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 0 |
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| 1985 | Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services.(1985) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
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| 2009 | Forecast accuracy and economic gains from Bayesian model averaging using time varying weight In: Working Paper. [Full Text][Citation analysis] | paper | 19 |
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| 2009 | Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights.(2009) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2010 | Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper. [Full Text][Citation analysis] | paper | 11 |
| 2011 | Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2012 | Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
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| 2011 | Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
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| 2013 | Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper. [Full Text][Citation analysis] | paper | 9 |
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| 2014 | Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2014 | Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
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| 2014 | Combined Density Nowcasting in an Uncertain Economic Environment.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2015 | Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper. [Full Text][Citation analysis] | paper | 9 |
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| 2017 | The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference In: Working Paper. [Full Text][Citation analysis] | paper | 4 |
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| 2017 | The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
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| 2018 | Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies In: Working Paper. [Full Text][Citation analysis] | paper | 3 |
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| 2018 | Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies.(2018) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2003 | Cyclical Components in Economic Time Series: a Bayesian Approach In: Cambridge Working Papers in Economics. [Full Text][Citation analysis] | paper | 8 |
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| 1999 | Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
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| 2007 | Simulation based Bayesian econometric inference: principles and some recent computational advances In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
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| 2000 | Daily Exchange Rate Behaviour and Hedging of Currency Risk In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 13 |
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| 2012 | A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 18 |
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| 2013 | Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics. [Full Text][Citation analysis] | article | 58 |
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| 2010 | Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 16 |
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| 1998 | A simple strategy to prune neural networks with an application to economic time series In: Econometric Institute Research Papers. [Citation analysis] | paper | 0 |
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| 1998 | Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers. [Citation analysis] | paper | 0 |
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| 1999 | Neural network analysis of varying trends in real exchange rates In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Testing for integration using evolving trend and seasonal models: A Bayesian approach In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 1997 | Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach.(1997) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1999 | Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2000 | On the variation of hedging decisions in daily currency risk management In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 2 |
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| 2009 | AdMit: Adaptive Mixtures of Student-t Distributions In: DQE Working Papers. [Full Text][Citation analysis] | paper | 7 |
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| 2016 | Parallelization Experience with Four Canonical Econometric Models using ParMitISEM.(2016) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Parallelization experience with four canonical econometric models using ParMitISEM.(2016) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices In: Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2014 | Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Computational Complexity and Parallelization in Bayesian Econometric Analysis In: Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2008 | Distributional Dynamics using Quartic-based State-Space models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 0 |
| 2008 | Distributional Dynamics using Quartic-based State-Space models.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2000 | Introduction: inference and decision making In: Journal of Applied Econometrics. [Citation analysis] | article | 1 |
| 2005 | On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 6 |
| 1993 | Non-stationarity in GARCH Models: A Bayesian Analysis. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2002 | Neural Network Pruning Applied to Real Exchange Rate Analysis. In: Journal of Forecasting. [Citation analysis] | article | 3 |
| 1992 | SISAM and MIXIN: Two Algorithms for the Computation of Posterior Moments and Densities Using Monte Carlo Integration. In: Computer Science in Economics & Management. [Citation analysis] | article | 0 |
| 2013 | Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2004 | Econometric Methods with Applications in Business and Economics In: OUP Catalogue. [Citation analysis] | book | 96 |
| 2014 | Divergent Priors and Well Behaved Bayes Factors In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2011 | Divergent Priors and well Behaved Bayes Factors.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2002 | Efficient Sampling from Non-Standard Distributions Using Neural NetworkApproximations In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | Adaptive Polar Sampling In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 5 |
| 2006 | Modelling option prices using neural networks In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 0 |
| 1999 | Some remarks on the simulation revolution in bayesian econometric inference In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2007 | Editors Introduction to the Special Issue of Econometric Reviews on Bayesian Dynamic Econometrics In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2014 | Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo In: Econometric Reviews. [Full Text][Citation analysis] | article | 7 |
| 2012 | Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo.(2012) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2011 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2006 | On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Possibly Ill-behaved Posteriors in Econometric Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Robust Optimization of the Equity Momentum Strategy In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2012 | Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
| 2013 | EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING.(2013) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2012 | The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Posterior-Predictive Evidence on US Inflation using Phillips Curve Models with Non-Filtered Time Series In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 15 |
| 2014 | POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
| 2013 | Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14 In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14 In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2014 | Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Interconnections between Eurozone and US Booms and Busts using a Bayesian Panel Markov-Switching VAR Mode In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2016 | Time-varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | Learning to Average Predictively over Good and Bad: Comment on: Using Stacking to Average Bayesian Predictive Distributions In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | The Evolution of Forecast Density Combinations in Economics In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2019 | Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Partially Censored Posterior for Robust and Efficient Risk Evaluation In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Consumer Evaluations of Food Risk Management Quality in Europe In: Risk Analysis. [Full Text][Citation analysis] | article | 4 |
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