Herman K. van Dijk : Citation Profile


Are you Herman K. van Dijk?

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

21

H index

37

i10 index

1826

Citations

RESEARCH PRODUCTION:

72

Articles

177

Papers

1

Books

EDITOR:

2

Books edited

1

Series edited

RESEARCH ACTIVITY:

   46 years (1975 - 2021). See details.
   Cites by year: 39
   Journals where Herman K. van Dijk has often published
   Relations with other researchers
   Recent citing documents: 161.    Total self citations: 134 (6.84 %)

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   Permalink: http://citec.repec.org/pva325
   Updated: 2022-06-25    RAS profile: 2021-10-29    
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Relations with other researchers


Works with:

Baştürk, Nalan (12)

Grassi, Stefano (10)

Ravazzolo, Francesco (7)

Casarin, Roberto (6)

Cross, Jamie (3)

Ardia, David (2)

Aastveit, Knut Are (2)

Koopman, Siem Jan (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:

Koop, Gary (46)

Ravazzolo, Francesco (42)

Casarin, Roberto (41)

Schorfheide, Frank (37)

Kleibergen, Frank (33)

Ardia, David (29)

Rossi, Barbara (24)

Steel, Mark (23)

Phillips, Peter (22)

Lucas, Andre (21)

Ricco, Giovanni (21)

Cites to:

Geweke, John (95)

Ravazzolo, Francesco (82)

Kleibergen, Frank (59)

Geweke, John (59)

Kloek, Teun (50)

Casarin, Roberto (41)

Koop, Gary (38)

Watson, Mark (36)

Sims, Christopher (35)

Schorfheide, Frank (32)

Paap, Richard (29)

Main data


Where Herman K. van Dijk has published?


Journals with more than one article published# docs
Journal of Econometrics22
Journal of Applied Econometrics6
Journal of Applied Econometrics5
Econometrics4
Computational Statistics & Data Analysis4
Econometric Reviews3
Econometric Theory3
Journal of Statistical Software3
Oxford Bulletin of Economics and Statistics2
Journal of Forecasting2
International Journal of Forecasting2
Journal of Business & Economic Statistics2
Econometrica2
Statistica Neerlandica2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute59
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
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2
Post-Print / HAL2
Computing in Economics and Finance 2002 / Society for Computational Economics2
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL2
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)2
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland2

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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2022Long-term Financing: Exploring the Recent Advances in the Brazilian Bond Market. (2022). Bortoluzzo, Adriana Bruscato ; Lazzarini, Sergio Giovanetti ; da Aparecida, Lucas Boareto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:26:y:2022:i:2:1500.

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2021Time-Gap effects of crude oil prices on the foreign exchange rates: Evidence from Nigeria. (2021). Anietie, Jeremiah ; Nkoro, Emeka ; John, Nenubari Ikue. In: Bussecon Review of Social Sciences (2687-2285). RePEc:adi:bsrsss:v:3:y:2021:i:3:p:31-44.

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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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2021Parents’ trust in food safety and healthiness of children’s diets: A TPB model explaining the role of retailers and government. (2021). Cicia, Gianna ; Cavallo, Carla ; Carfora, Valentina ; Viscecchia, Rosaria ; de Devitiis, Biagia ; Dedevitiis, Biagia ; Secca, Antonio ; Nardone, Gianluca ; Menna, Concetta ; del Giudice, Teresa. In: Economia agro-alimentare / Food Economy. RePEc:ags:sieaea:314641.

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2021The replicability crisis and the p-value debate – what are the consequences for the agricultural and food economics community?. (2021). Hüttel, Silke ; Heckelei, Thomas ; Rommel, Jens ; Odening, Martin. In: Discussion Papers. RePEc:ags:ubfred:316369.

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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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2020Dynamically optimal treatment allocation using Reinforcement Learning. (2019). Schilter, Claudio ; Geiecke, Friedrich ; Adusumilli, Karun. In: Papers. RePEc:arx:papers:1904.01047.

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2021Predictive 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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2020Quantifying the Economic Impact of Extreme Shocks on Businesses using Human Mobility Data: a Bayesian Causal Inference Approach. (2020). Ukkusuri, Satish ; Zhang, Yunchang ; Yabe, Takahiro. In: Papers. RePEc:arx:papers:2004.11121.

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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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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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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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2020Do Online Courses Provide an Equal Educational Value Compared to In-Person Classroom Teaching? Evidence from US Survey Data using Quantile Regression. (2020). Rahman, Mohammad Arshad ; Ojha, Manini. In: Papers. RePEc:arx:papers:2007.06994.

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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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2021On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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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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2021Identification and Inference Under Narrative Restrictions. (2021). Kitagawa, Toru ; Read, Matthew ; Giacomini, Raffaella. In: Papers. RePEc:arx:papers:2102.06456.

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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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2021Loss-Based Variational Bayes Prediction. (2021). Frazier, David T ; Koo, Bonsoo ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2104.14054.

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2021Constrained Classification and Policy Learning. (2021). Tetenov, Aleksey ; Sakaguchi, Shosei ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2106.12886.

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2021Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2021Evidence Aggregation for Treatment Choice. (2021). Kitagawa, Toru ; Ishihara, Takuya. In: Papers. RePEc:arx:papers:2108.06473.

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2022Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions. (2021). Read, Matthew. In: Papers. RePEc:arx:papers:2109.10676.

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2021Forecasting with a Panel Tobit Model. (2021). Schorfheide, Frank ; Moon, Hyungsik Roger ; Liu, Laura. In: Papers. RePEc:arx:papers:2110.14117.

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2021Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics. (2021). Tangpi, Ludovic ; Chu, Jiarui. In: Papers. RePEc:arx:papers:2111.12248.

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2021Paternalism, Autonomy, or Both? Experimental Evidence from Energy Saving Programs. (2021). Ito, Koichiro ; Ishihara, Takunori ; Ida, Takanori ; Sasaki, Shusaku ; Sakaguchi, Shosei ; Kitagawa, Toru ; Kido, Daido . In: Papers. RePEc:arx:papers:2112.09850.

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2022The Time-Varying Multivariate Autoregressive Index Model. (2022). Cubadda, Gianluca ; Guardabascio, B ; Grassi, S. In: Papers. RePEc:arx:papers:2201.07069.

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2020A Multi-Country BVAR Model for the External Sector. (2020). Korotkikh, Olga. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:4:p:98-112.

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2020Sectoral Employment Dynamics in Australia and the COVID‐19 Pandemic. (2020). Wong, Benjamin ; Caggiano, Giovanni ; Anderson, Heather ; Vahid, Farshid. In: Australian Economic Review. RePEc:bla:ausecr:v:53:y:2020:i:3:p:402-414.

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2021When does the Central Bank intervene the foreign exchange market? Estimating a time?varying threshold intervention function. (2021). Hansen, Erwin ; Morales, Marco. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:688-698.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2021Parametric representation of the top of income distributions: Options, historical evidence, and model selection. (2021). Hlasny, Vladimir. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:4:p:1217-1256.

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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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2021Inequality measurement with grouped data: Parametric and non?parametric methods. (2021). Jantti, Markus ; Sarabia, Jose Maria ; Jorda, Vanesa. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:3:p:964-984.

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2021Mixed?frequency Bayesian predictive synthesis for economic nowcasting. (2021). McAlinn, Kenichiro. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:5:p:1143-1163.

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2021Disentangling the Effects of Uncertainty, Monetary Policy and Leverage Shocks on the Economy. (2021). Serletis, Apostolos ; Dery, Cosmas. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:5:p:1029-1065.

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2021Bayesian State?Space Modeling for Analyzing Heterogeneous Network Effects of US Monetary Policy. (2021). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:4:p:1261-1291.

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2021Boosting multiplicative model combination. (2021). Vidoni, Paolo. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:3:p:761-789.

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2020Nowcasting Norwegian household consumption with debit card transaction data. (2020). Fastb, Tuva Marie ; Aastveit, Knut Are ; Torstensen, Kjersti Nss ; Paulsen, Kenneth Sterhagen ; Granziera, Eleonora. In: Working Paper. RePEc:bno:worpap:2020_17.

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2021Global Uncertainty. (2021). Castelnuovo, Efrem ; Caggiano, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_001.

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2020Estimating marginal likelihoods from the posterior draws through a geometric identity. (2020). Johannes, Reichl. In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:26:y:2020:i:3:p:205-221:n:5.

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

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2021An effcient exact Bayesian method For state space models with stochastic volatility. (2021). Yu-Fan, Huang. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:10:n:6.

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2021Stochastic model specification in Markov switching vector error correction models. (2021). Huber, Florian ; Niko, Hauzenberger ; Thomas, Zorner ; Michael, Pfarrhofer ; Florian, Huber. 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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2021Adaptive Importance Sampling for DSGE Models. (2021). Ravazzolo, Francesco ; Lorusso, Marco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps84.

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2021Poverty Suburbanization, Job Accessibility, and Employment Outcomes. (2021). Delmelle, Elizabeth ; Adu, Providence ; Nilsson, Isabelle. In: Social Inclusion. RePEc:cog:socinc:v:9:y:2021:i:2:p:166-178.

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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.

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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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2021Projection-based inference with particle swarm optimization. (2021). Lin, Zhenjiang ; Khalaf, Lynda. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000737.

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2021Aggregating heterogeneous-agent models with permanent income shocks. (2021). Harmenberg, Karl. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:129:y:2021:i:c:s0165188921001202.

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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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2022On temporal aggregation of some nonlinear time-series models. (2022). Chan, Wai-Sum. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:38-49.

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2020The euro-area government spending multiplier at the effective lower bound. (2020). Melina, Giovanni ; Fragetta, Matteo ; di Serio, Mario ; Amendola, Adalgiso. In: European Economic Review. RePEc:eee:eecrev:v:127:y:2020:i:c:s0014292120301124.

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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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2021Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation. (2021). Tone, Kaoru ; Chang, Tsung-Sheng ; Wu, Chen-Hui. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:766-781.

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2021The macro effects of GPR and EPU indexes over the global oil market—Are the two types of uncertainty shock alike?. (2021). Zhu, Zixiang ; Gu, Xin ; Yu, Minli. In: Energy Economics. RePEc:eee:eneeco:v:100:y:2021:i:c:s0140988321002930.

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2021Forecasting energy commodity prices: A large global dataset sparse approach. (2021). Vespignani, Joaquin ; Ravazzolo, Francesco ; Ferrari, Davide. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001730.

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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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2021Ethical and unethical investments under extreme market conditions. (2021). Troster, Victor ; Kang, Sang Hoon ; Uddin, Gazi Salah ; Rholm, Anna ; Olofsson, Petter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002726.

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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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2020Measuring the natural rate of interest in a commodity exporting economy: Evidence from Mongolia. (2020). Gantumur, Munkhbayar ; Doojav, Gan-Ochir. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:199-218.

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2021Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. (2021). Li, Youwei ; Waterworth, James ; Vigne, Samuel A ; Pantelous, Athanasios A ; Hamill, Philip A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000196.

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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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2022Optimal probabilistic forecasts: When do they work?. (2022). Ramírez Hassan, Andrés ; Loaiza Maya, Rubén ; Loaiza-Maya, Ruben ; Martin, Gael M ; Ramirez-Hassan, Andres ; Frazier, David T ; Maneesoonthorn, Worapree. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:384-406.

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2021Trade deficits and trade conflict: The United States and Japan. (2021). Wickes, Ron. In: Japan and the World Economy. RePEc:eee:japwor:v:60:y:2021:i:c:s0922142521000451.

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2021Education and migrant entrepreneurship in urban China. (2021). Cheng, Zhiming ; Smyth, Russell. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:188:y:2021:i:c:p:506-529.

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2021The impact of r-g on Euro-Area government spending multipliers. (2021). Fragetta, Matteo ; Melina, Giovanni ; di Serio, Mario. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001443.

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2021The impact of macroprudential policies on capital flows in CESEE. (2021). Huber, Florian ; Eller, Markus ; Vashold, Lukas ; Schuberth, Helene ; Hauzenberger, Niko. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001467.

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2020What do Latin American inflation targeters care about? A comparative Bayesian estimation of central bank preferences. (2020). Mihailov, Alexander ; McKnight, Stephen ; Rangel, Antonio Pompa. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:63:y:2020:i:c:s0164070418304737.

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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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2021Time-varying effects of monetary policy on Iranian renewable energy generation. (2021). Moghadam, Marjan Heirani ; Razmi, Seyedeh Fatemeh ; Behname, Mehdi. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:1161-1169.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2020Quantification and analysis of risk exposure in the maritime industry. (2020). Knapp, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:133303.

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2020Measuring the effect of perceived corruption on detention and incident risk – an empirical analysis. (2020). Franses, Philip Hans ; Knapp, S ; Whitby, B. In: Econometric Institute Research Papers. RePEc:ems:eureir:134554.

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2020Nowcasting Tail Risks to Economic Activity with Many Indicators. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87955.

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2021Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:90366.

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2022Measuring Geopolitical Risk. (2018). Caldara, Dario ; Iacoviello, Matteo. In: International Finance Discussion Papers. RePEc:fip:fedgif:1222.

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2021Robust Bayesian Analysis for Econometrics. (2021). Kitagawa, Toru ; Giacomini, Raffaella ; Read, Matthew. In: Working Paper Series. RePEc:fip:fedhwp:93001.

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2021A Hitchhiker’s Guide to Empirical Macro Models. (2021). ferroni, filippo ; Canova, Fabio. In: Working Paper Series. RePEc:fip:fedhwp:93029.

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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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2020Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic. (2020). Song, Dongho ; Schorfheide, Frank. In: Working Papers. RePEc:fip:fedpwp:88332.

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

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2022Searching for Hysteresis. (2022). Lubik, Thomas ; Benati, Luca. In: Working Paper. RePEc:fip:fedrwp:94254.

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

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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paper
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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paper
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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paper0
2010Evidence 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]
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paper
1975BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo In: Econometric Institute Archives.
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paper0
1976PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach In: Econometric Institute Archives.
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paper0
1976BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo In: Econometric Institute Archives.
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paper167
1978Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo..(1978) In: Econometrica.
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article
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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paper3
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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paper
1989A BAYESIAN ANALYSIS OF THE UNIT ROOT HYPOTHESIS In: Econometric Institute Archives.
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paper1
1989A BAYESIAN ANALYSIS OF THE UNIT ROOT IN REAL EXCHANGE RATES In: Econometric Institute Archives.
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paper65
1991A Bayesian analysis of the unit root in real exchange rates.(1991) In: Journal of Econometrics.
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article
1990POSTERIOR ANALYSIS OF POSSIBLY INTEGRATED TIME SERIES WITH AN APPLICATION TO REAL GNP In: Econometric Institute Archives.
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paper3
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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article43
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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paper
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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article1
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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article
2009Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights.(2009) In: Tinbergen Institute Discussion Papers.
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paper
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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paper
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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2014Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model.(2014) In: Tinbergen Institute Discussion Papers.
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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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2014Combined Density Nowcasting in an uncertain economic environment In: Working Paper.
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2018Combined Density Nowcasting in an Uncertain Economic Environment.(2018) In: Journal of Business & Economic Statistics.
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article
2014Combined Density Nowcasting in an Uncertain Economic Environment.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2015Dynamic predictive density combinations for large data sets in economics and finance In: Working Paper.
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paper13
2017Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance.(2017) In: Tinbergen Institute Discussion Papers.
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paper
2017The R package MitISEM: Efficient and robust simulation procedures for Bayesian inference In: Working Paper.
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paper4
2017The R Package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Journal of Statistical Software.
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2017The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference.(2017) In: Tinbergen Institute Discussion Papers.
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paper
2015The R package MitISEM : efficient and robust simulation procedures for Bayesian inference.(2015) In: Research Memorandum.
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paper
2017Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank In: Working Paper.
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paper3
2017Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank.(2017) In: Tinbergen Institute Discussion Papers.
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paper
2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies In: Working Paper.
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paper6
2019Forecast density combinations of dynamic models and data driven portfolio strategies.(2019) In: Journal of Econometrics.
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article
2018Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies.(2018) In: Tinbergen Institute Discussion Papers.
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paper
2021Quantifying time-varying forecast uncertainty and risk for the real price of oil In: Working Paper.
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paper0
2021Quantifying time-varying forecast uncertainty and risk for the real price of oil.(2021) In: Working Papers.
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2021Quantifying time-varying forecast uncertainty and risk for the real price of oil.(2021) In: Tinbergen Institute Discussion Papers.
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2003Cyclical Components in Economic Time Series: a Bayesian Approach In: Cambridge Working Papers in Economics.
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paper9
2004Cyclical components in economic time series: A Bayesian approach.(2004) In: Econometric Society 2004 Australasian Meetings.
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paper
1986A product of multivariate T densities as upper bound for the posterior kernel of simultaneous equation model parameters In: LIDAM Discussion Papers CORE.
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1987A product of multivariate T densities as upper bound for the posterior kernel of simultaneous equation model parameters.(1987) In: LIDAM Reprints CORE.
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1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: LIDAM Discussion Papers CORE.
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1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: LIDAM Reprints CORE.
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1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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1988BAYESIAN SPECIFICATION ANALYSIS AND ESTIMATION OF SIMULTANEOUS EQUATION MODELS USING MONTE CARLO METHODS.(1988) In: Southern California - Department of Economics.
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paper
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: LIDAM Discussion Papers CORE.
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1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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2005On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks In: LIDAM Discussion Papers CORE.
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2007On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks.(2007) In: LIDAM Reprints CORE.
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2007On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks.(2007) In: Journal of Econometrics.
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2005On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks.(2005) In: Econometric Institute Research Papers.
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2007Simulation based Bayesian econometric inference: principles and some recent computational advances In: LIDAM Discussion Papers CORE.
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2007Simulation based bayesian econometric inference: principles and some recent computational advances..(2007) In: Econometric Institute Research Papers.
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1996Editors introduction. First Riverboat conference on Bayesian econometrics and statistics In: LIDAM Reprints CORE.
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2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods In: LIDAM Reprints CORE.
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2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods.(2004) In: Journal of Econometrics.
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2003Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers.
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1994Bayes Methods and Unit Roots In: Econometric Theory.
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1994On the Shape of the Likelihood/Posterior in Cointegration Models In: Econometric Theory.
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1998BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES In: Econometric Theory.
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1997Bayesian Simultaneous Equations Analysis using Reduced Rank Structures.(1997) In: Econometric Institute Research Papers.
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1998Bayesian Simultaneous Equations Analysis using Reduced Rank Structures.(1998) In: Tinbergen Institute Discussion Papers.
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1980Inferential Procedures in Stable Distributions for Class Frequency Data on Incomes. In: Econometrica.
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2004The Value of Structural Information in the VAR Model In: Econometric Society 2004 North American Summer Meetings.
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2000Daily Exchange Rate Behaviour and Hedging of Currency Risk In: Econometric Society World Congress 2000 Contributed Papers.
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1999Daily exchange rate behaviour and hedging of currency risk.(1999) In: Econometric Institute Research Papers.
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2000Daily exchange rate behaviour and hedging of currency risk.(2000) In: Econometric Institute Research Papers.
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2000Daily exchange rate behaviour and hedging of currency risk.(2000) In: Journal of Applied Econometrics.
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1999Daily Exchange Rate Behaviour and Hedging of Currency Risk.(1999) In: Tinbergen Institute Discussion Papers.
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2001Daily Exchange Rate Behaviour and Hedging of Currency Risk.(2001) In: Tinbergen Institute Discussion Papers.
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2007Computational techniques for applied econometric analysis of macroeconomic and financial processes In: Computational Statistics & Data Analysis.
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2009The fourth special issue on Computational Econometrics In: Computational Statistics & Data Analysis.
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2010The Fifth Special Issue on Computational Econometrics In: Computational Statistics & Data Analysis.
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2012A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood In: Computational Statistics & Data Analysis.
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2010A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood.(2010) In: Tinbergen Institute Discussion Papers.
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2004Recent advances in Bayesian econometrics In: Journal of Econometrics.
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2007Progress and challenges in econometrics In: Journal of Econometrics.
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2007Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data In: Journal of Econometrics.
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2006Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data.(2006) In: Econometric Institute Research Papers.
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2007Endogeneity, instruments and identification In: Journal of Econometrics.
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2007Trends and cycles in economic time series: A Bayesian approach In: Journal of Econometrics.
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2005Trends and cycles in economic time series: A Bayesian approach.(2005) In: Econometric Institute Research Papers.
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2012A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation In: Journal of Econometrics.
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2012A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation.(2012) In: Tinbergen Institute Discussion Papers.
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2013Time-varying combinations of predictive densities using nonlinear filtering In: Journal of Econometrics.
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2012Time-varying Combinations of Predictive Densities using Nonlinear Filtering.(2012) In: Tinbergen Institute Discussion Papers.
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2020Partially censored posterior for robust and efficient risk evaluation In: Journal of Econometrics.
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2019Partially Censored Posterior for Robust and Efficient Risk Evaluation.(2019) In: Tinbergen Institute Discussion Papers.
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1985Editors introduction In: Journal of Econometrics.
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1992International conference on econometric inference using simulation techniques In: Journal of Econometrics.
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1994Direct cointegration testing in error correction models In: Journal of Econometrics.
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1995Classical and Bayesian aspects of robust unit root inference In: Journal of Econometrics.
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1996Editors introduction In: Journal of Econometrics.
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1978Efficient estimation of income distribution parameters In: Journal of Econometrics.
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2017Econometrics and Statistics In: Econometrics and Statistics.
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1998Distribution and mobility of wealth of nations In: European Economic Review.
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2002Combined forecasts from linear and nonlinear time series models In: International Journal of Forecasting.
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1999Combined forecasts from linear and nonlinear time series models.(1999) In: Econometric Institute Research Papers.
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2000Combined Forecasts from Linear and Nonlinear Time Series Models.(2000) In: Tinbergen Institute Discussion Papers.
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2010Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling In: International Journal of Forecasting.
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2008Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling.(2008) In: Tinbergen Institute Discussion Papers.
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2012Evidence on a DSGE Business Cycle model subject to Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging In: CAMA Working Papers.
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2007Note on neural network sampling for Bayesian inference of mixture processes In: Econometric Institute Research Papers.
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2003Bayes model averaging of cyclical decompositions in economic time series In: Econometric Institute Research Papers.
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2006Bayes model averaging of cyclical decompositions in economic time series.(2006) In: Journal of Applied Econometrics.
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