Herman K. van Dijk : Citation Profile

Are you Herman K. van Dijk?

Tinbergen Instituut (95% share)
Rimini Centre for Economic Analysis (RCEA) (05% share)

19

H index

34

i10 index

1434

Citations

RESEARCH PRODUCTION:

70

Articles

172

Papers

1

Books

EDITOR:

2

Books edited

1

Series edited

RESEARCH ACTIVITY:

   45 years (1975 - 2020). See details.
   Cites by year: 31
   Journals where Herman K. van Dijk has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 124 (7.96 %)

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   Permalink: http://citec.repec.org/pva325
   Updated: 2021-06-19    RAS profile: 2021-02-08    
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Relations with other researchers

Works with:

Baştürk, Nalan (12)

Grassi, Stefano (10)

Ravazzolo, Francesco (6)

Casarin, Roberto (4)

Aastveit, Knut Are (2)

Koopman, Siem Jan (2)

Ardia, David (2)

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:

Ravazzolo, Francesco (41)

Koop, Gary (34)

Kleibergen, Frank (30)

Casarin, Roberto (30)

Ardia, David (27)

Phillips, Peter (22)

Villani, Mattias (19)

Steel, Mark (19)

McAleer, Michael (18)

Bauwens, Luc (18)

Marcellino, Massimiliano (17)

Cites to:

Geweke, John (68)

Ravazzolo, Francesco (65)

Kleibergen, Frank (48)

Kloek, Teun (46)

Geweke, John (43)

Sims, Christopher (35)

Watson, Mark (34)

Casarin, Roberto (33)

Schorfheide, Frank (28)

Stock, James (27)

Koop, Gary (26)

Main data

Where Herman K. van Dijk has published?

Journals with more than one article published# docs
Journal of Econometrics22
Journal of Applied Econometrics6
Computational Statistics & Data Analysis4
Econometrics4
Econometric Theory3
Journal of Applied Econometrics3
Journal of Statistical Software3
Econometric Reviews3
International Journal of Forecasting2
Journal of Forecasting2
Statistica Neerlandica2
Oxford Bulletin of Economics and Statistics2
Econometrica2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute56
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute48
Econometric Institute Archives / Erasmus University Rotterdam16
Working Papers / Department of Economics, University of Venice "Ca' Foscari"4
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland2
Computing in Economics and Finance 2002 / Society for Computational Economics2
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)2
Post-Print / HAL2
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL2

Recent works citing Herman K. van Dijk (2021 and 2020)

YearTitle of citing document
2020Measurement 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.

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2020A 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.

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2020Model 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.

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2020Measurement 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.

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2020A 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.

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2020Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593.

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2020A Model of the Feds View on Inflation. (2020). Pellegrino, Filippo ; Hasenzagl, Thomas ; Ricco, Giovanni ; Reichlin, Lucrezia. In: Papers. RePEc:arx:papers:2006.14110.

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2020Sparse 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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2020A Semi-Parametric Bayesian Generalized Least Squares Estimator. (2020). Weeks, Melvyn ; Wu, Ruochen. In: Papers. RePEc:arx:papers:2011.10252.

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2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

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2020The impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2020). Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica ; DeCian, Enrica ; Casarin, Roberto ; Osuntuyi, Anthony. In: Papers. RePEc:arx:papers:2012.14693.

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2021Counterfactual Inference of the Mean Outcome under a Convergence of Average Logging Probability. (2021). Kato, Masahiro. In: Papers. RePEc:arx:papers:2102.08975.

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2021Approximate Bayes factors for unit root testing. (2021). Alexandros, Iosifidis ; Martin, Magris. In: Papers. RePEc:arx:papers:2102.10048.

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2021Calibrating an adaptive Farmer-Joshi agent-based model for financial markets. (2021). Jericevich, Ivan ; Gebbie, Tim ; McKechnie, Murray. In: Papers. RePEc:arx:papers:2104.09863.

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2020Bayesian econometric modelling of observational data for cost‐effectiveness analysis: establishing the value of negative pressure wound therapy in the healing of open surgical wounds. (2020). Claxton, Karl ; Saramago, Pedro ; Soares, Marta ; Welton, Nicky J. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:4:p:1575-1593.

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2020Bayesian analysis of periodic asymmetric power GARCH models. (2020). Abdelhakim, Aknouche ; Nassim, Touche ; Stefanos, Dimitrakopoulos ; Nacer, Demmouche. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:24:y:2020:i:4:p:24:n:5.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber ; Niko, Hauzenberger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:17:n:7.

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2021Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82.

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2020Estimation of the Financial Cycle with a Rank-Reduced Multivariate State-Space Model. (2020). Luginbuhl, Rob. In: CPB Discussion Paper. RePEc:cpb:discus:409.rdf.

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2020Forecasting 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.

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2020Density forecast combinations: the real-time dimension. (2020). Warne, Anders ; McAdam, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20202378.

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2021Combining Bayesian VARs with survey density forecasts: does it pay off?. (2021). Ravazzolo, Francesco ; Paredes, Joan ; Brenna, Federica ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20212543.

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2020Crude 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.

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2020The 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.

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2021Indonesia’s Bank Response of Interest Rates to the Prices of World Crude Oil and Foreign Rates of Interest. (2021). Sinambela, Elizar ; Hani, Syafrida. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-65.

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2020Bayesian 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.

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2020Sequential 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.

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2020Modelling 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.

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2020Management 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.

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2020A 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.

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2020Profitability 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.

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2021Mortgage loan demand and banks’ operational efficiency. (2021). Tsoumas, Chris ; Panopoulou, Ekaterini ; Iosifidi, Maria. In: Journal of Financial Stability. RePEc:eee:finsta:v:53:y:2021:i:c:s1572308921000103.

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2021Conditional value-at-risk forecasts of an optimal foreign currency portfolio. (2021). Ho, Kyu ; Kim, Dongwhan. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:838-861.

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2020Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100. (2020). Ajayi, Richard ; Aliyev, Fuzuli ; Gasim, Nijat. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300141.

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2020Newspapers 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.

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2021Business Cycles Across Space and Time. (2019). Soques, Daniel ; Owyang, Michael ; Francis, Neville. In: Working Papers. RePEc:fip:fedlwp:2019-010.

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2021Searching for Hysteresis. (2021). Benati, Luca ; Lubik, Thomas A. In: Working Paper. RePEc:fip:fedrwp:90443.

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2020Parsimonious 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.

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2020Leading research trends on trading strategies. (2020). Garcia, Fernando ; Oliver-Muncharaz, Javier. In: Post-Print. RePEc:hal:journl:hal-03149330.

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2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589.

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2020A 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.

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2020Parametric Representation of the Top of Income Distributions: Options, Historical Evidence and Model Selection. (2020). Hlasny, Vladimir. In: Working Papers. RePEc:inq:inqwps:ecineq2020-547.

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2021Unemployment Rate Forecasting: A Hybrid Approach. (2021). Bhattacharya, Shramana ; Banerjee, Sayak ; Biswas, Munmun ; Chakraborty, Ashis Kumar. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10040-2.

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2021Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms. (2021). Zhang, Lyuyuan ; Zhu, Bangzhu ; Chevallier, Julien. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-019-09966-z.

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2020Computing 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.

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2021Sukuk and bond spreads. (2021). Ghassan, Hassan ; Balli, Faruk ; Al-Jefri, Essam H. In: MPRA Paper. RePEc:pra:mprapa:106729.

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2021The marginal likelihood of Structural Time Series Models, with application to the euroareaa nd US NAIRU. (2008). . In: Working Paper series. RePEc:rim:rimwps:21-08.

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2021Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach. (2021). Škrinjarić, Tihana ; Ego, Boko ; Dedi, Lidija. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:1:p:93-108.

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2020Scaling 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.

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2020Higher Moment Constraints for Predictive Density Combinations. (2020). Vasnev, Andrey ; Radchenko, Peter ; Pauwels, Laurent. In: Working Papers. RePEc:syb:wpbsba:2123/22140.

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2021A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance. (2021). Grassi, Stefano ; Casarin, Roberto ; van Dijk, Herman K ; Ravazzolo, Francesco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210016.

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2021Bayes estimates of multimodal density features using DNA and Economic Data. (2021). Hoogerheide, Lennart ; Basturk, Nalan ; van Dijk, Herman K. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210017.

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2020Parametric 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.

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2021The Impact of Climate on Economic and Financial Cycles: A Markov-switching Panel Approach. (2021). Billio, Monica ; Mistry, Malcolm ; de Cian, Enrica ; DeCian, Enrica ; Casarin, Roberto ; Osuntuyi, Anthony. In: Working Papers. RePEc:ven:wpaper:2021:03.

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2020Bayesian estimation and model selection of a multivariate smooth transition autoregressive model. (2020). Nur, Darfiana ; Livingston, Glen. In: Environmetrics. RePEc:wly:envmet:v:31:y:2020:i:6:n:e2615.

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2020Entry 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.

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2020Recession probabilities falling from the STARs. (2020). Noller, Marvin ; Eraslan, Sercan. In: Discussion Papers. RePEc:zbw:bubdps:082020.

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Herman K. van Dijk is editor of

Journal
Econometrics and Statistics

Herman K. van Dijk has edited the books:

YearTitleTypeCited

Works by Herman K. van Dijk:

YearTitleTypeCited
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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2010Evidence 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.
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2010Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging.(2010) In: Tinbergen Institute Discussion Papers.
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1975BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo In: Econometric Institute Archives.
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1976PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach In: Econometric Institute Archives.
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1976BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo In: Econometric Institute Archives.
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1978Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo..(1978) In: Econometrica.
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1978POSTERIOR ANALYSIS OF KLEINS MODEL In: Econometric Institute Archives.
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1980FURTHER EXPERIENCE IN BAYESIAN ANALYSIS USING MONTE CARLO INTEGRATION In: Econometric Institute Archives.
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1980Further experience in Bayesian analysis using Monte Carlo integration.(1980) In: Journal of Econometrics.
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1982MONTE CARLO ANALYSIS OF SKEW POSTERIOR DISTRIBUTIONS: AN ILLUSTRATIVE ECONOMETRIC EXAMPLE In: Econometric Institute Archives.
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1982POSTERIOR MOMENTS OF THE KLEIN-GOLDBERGER MODEL In: Econometric Institute Archives.
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1983POSTERIOR MOMENTS COMPUTED BY MIXED INTEGRATION In: Econometric Institute Archives.
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1985POSTERIOR MOMENTS COMPUTED BY MIXED INTEGRATION.(1985) In: Econometric Institute Archives.
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1985Posterior moments computed by mixed integration.(1985) In: Journal of Econometrics.
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1983EXPERIMENTS WITH SOME ALTERNATIVES FOR SIMPLE IMPORTANCE SAMPLING IN MONTE CARLO INTEGRATION In: Econometric Institute Archives.
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1985LIKELIHOOD DIAGNOSTICS AND BAYESIAN ANALYSIS OF A MICRO-ECONOMIC DISEQUILIBRIUM MODEL FOR RETAIL SERVICES In: Econometric Institute Archives.
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1985Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services.(1985) In: Journal of Econometrics.
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1986AN ALGORITHM FOR THE COMPUTATION OF POSTERIOR MOMENTS AND DENSITIES USING SIMPLE IMPORTANCE SAMPLING In: Econometric Institute Archives.
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1987SOME ADVANCES IN BAYESIAN ESTIMATION METHODS USING MONTE CARLO INTEGRATION In: Econometric Institute Archives.
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1987Some advances in Bayesian estimations methods using Monte Carlo Integration.(1987) In: LIDAM Reprints CORE.
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1989A BAYESIAN ANALYSIS OF THE UNIT ROOT HYPOTHESIS In: Econometric Institute Archives.
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1989A BAYESIAN ANALYSIS OF THE UNIT ROOT IN REAL EXCHANGE RATES In: Econometric Institute Archives.
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1991A Bayesian analysis of the unit root in real exchange rates.(1991) In: Journal of Econometrics.
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1990POSTERIOR ANALYSIS OF POSSIBLY INTEGRATED TIME SERIES WITH AN APPLICATION TO REAL GNP In: Econometric Institute Archives.
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2003Bayes Estimates of Markov Trends in Possibly Cointegrated Series: An Application to U.S. Consumption and Income. In: Journal of Business & Economic Statistics.
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2002Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income.(2002) In: Econometric Institute Research Papers.
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1999Bayes Estimates of Markov Trends in possibly Cointegrated Series: An Application to US Consumption and Income.(1999) In: Tinbergen Institute Discussion Papers.
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2003Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics In: Oxford Bulletin of Economics and Statistics.
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2003Bayesian Model Selection with an Uninformative Prior* In: Oxford Bulletin of Economics and Statistics.
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1993Bayes estimates of muIti‐criteria decision alternatives using Monte Carlo integration In: Statistica Neerlandica.
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2006‘Rotterdam econometrics’: an analysis of publications of the Econometric Institute 1956–2004 In: Statistica Neerlandica.
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2006Rotterdam Econometrics: an analysis of publications of the econometric institute 1956-2004.(2006) In: Econometric Institute Research Papers.
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2009Forecast accuracy and economic gains from Bayesian model averaging using time varying weight In: Working Paper.
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2010Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights.(2010) In: Journal of Forecasting.
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2009Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights.(2009) In: Tinbergen Institute Discussion Papers.
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2010Combining predictive densities using Bayesian filtering with applications to US economics data In: Working Paper.
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2011Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data.(2011) In: Tinbergen Institute Discussion Papers.
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2012Combining predictive densities using Bayesian filtering with applications to US economic data.(2012) In: Working Papers.
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2012Combination schemes for turning point predictions In: Working Paper.
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2012Combination schemes for turning point predictions.(2012) In: The Quarterly Review of Economics and Finance.
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2011Combination Schemes for Turning Point Predictions.(2011) In: Tinbergen Institute Discussion Papers.
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2012Combination schemes for turning point predictions.(2012) In: Working Papers.
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2013Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model In: Working Paper.
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2014Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model.(2014) In: Working Papers.
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