Dick van Dijk : Citation Profile

Are you Dick van Dijk?

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

33

H index

72

i10 index

4100

Citations

RESEARCH PRODUCTION:

80

Articles

142

Papers

3

Chapters

RESEARCH ACTIVITY:

   28 years (1996 - 2024). See details.
   Cites by year: 146
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 190.    Total self citations: 75 (1.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2024-07-05    RAS profile: 2024-07-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Kole, Erik (4)

Franses, Philip Hans (2)

Lucas, Andre (2)

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

Is cited by:

GUPTA, RANGAN (66)

Osborn, Denise (61)

Mignon, Valérie (56)

Balcilar, Mehmet (49)

Kapetanios, George (43)

Milas, Costas (41)

Medeiros, Marcelo (37)

JAWADI, Fredj (35)

Miller, Stephen (31)

Cavaliere, Giuseppe (29)

Bataa, Erdenebat (29)

Cites to:

Diebold, Francis (98)

Bollerslev, Tim (70)

Timmermann, Allan (66)

Watson, Mark (56)

Franses, Philip Hans (49)

Pesaran, Mohammad (47)

Perez Quiros, Gabriel (42)

Andersen, Torben (40)

Teräsvirta, Timo (39)

Engle, Robert (39)

Stock, James (38)

Main data

Where Dick van Dijk has published?

Journals with more than one article published# docs
International Journal of Forecasting13
Journal of Econometrics7
Journal of Business & Economic Statistics4
Oxford Bulletin of Economics and Statistics4
Journal of Economic Dynamics and Control3
Journal of Applied Econometrics3
Journal of Financial Econometrics3
Applied Financial Economics3
Computational Statistics & Data Analysis3
Journal of Empirical Finance3
The Review of Economics and Statistics2
Applied Economics2
Econometric Reviews2
Journal of Business & Economic Statistics2
Journal of Banking & Finance2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute46
Tinbergen Institute Discussion Papers / Tinbergen Institute38
ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam13
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics5
Post-Print / HAL4
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Discussion Papers / School of Economics, The University of New South Wales2

Recent works citing Dick van Dijk (2024 and 2023)

YearTitle of citing document
2023Impact of Board Ownership Structure on Firm Value and Excessive Cash Holdings: Evidence from Pakistan. (2023). Elsantil, Yasmeen ; Daniel, Linda Nalini ; Ahmed, Adel ; Tabash, Mosab I. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:109-134.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Globalization in Lifelong Gender Inclusive Education for Structural Transformation in Africa. (2024). Asongu, Simplice ; Agyemang-Mintah, Peter. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/013.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

Full description at Econpapers || Download paper

2023Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Forecasting financial markets with semantic network analysis in the COVID-19 crisis. (2020). Violante, Francesco ; Ravazzolo, F ; Grassi, S ; Colladon, Fronzetti A. In: Papers. RePEc:arx:papers:2009.04975.

Full description at Econpapers || Download paper

2023Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

Full description at Econpapers || Download paper

2024Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

Full description at Econpapers || Download paper

2024Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns. (2023). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

Full description at Econpapers || Download paper

2023Characterizing Correlation Matrices that Admit a Clustered Factor Representation. (2023). Hansen, Peter Reinhard ; Tong, Chen. In: Papers. RePEc:arx:papers:2308.05895.

Full description at Econpapers || Download paper

2023Nonlinear Granger Causality using Kernel Ridge Regression. (2023). Fulmyk, Wojciech Victor. In: Papers. RePEc:arx:papers:2309.05107.

Full description at Econpapers || Download paper

2023Quantum Computational Algorithms for Derivative Pricing and Credit Risk in a Regime Switching Economy. (2023). Morgan, Jack ; Ghysels, Eric ; Mohammadbagherpoor, Hamed. In: Papers. RePEc:arx:papers:2311.00825.

Full description at Econpapers || Download paper

2023Examining the Effect of Monetary Policy and Monetary Policy Uncertainty on Cryptocurrencies Market. (2023). Mahmoudi, Mohammadreza. In: Papers. RePEc:arx:papers:2311.10739.

Full description at Econpapers || Download paper

2024Convolution-t Distributions. (2024). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2404.00864.

Full description at Econpapers || Download paper

2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

Full description at Econpapers || Download paper

2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

Full description at Econpapers || Download paper

2024Kernel Three Pass Regression Filter. (2024). Padha, Daanish ; Jat, Rajveer. In: Papers. RePEc:arx:papers:2405.07292.

Full description at Econpapers || Download paper

2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

Full description at Econpapers || Download paper

2023The Three Intelligible Factors of the Yield Curve in Mexico. (2023). Rocio, Elizondo. In: Working Papers. RePEc:bdm:wpaper:2023-13.

Full description at Econpapers || Download paper

2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

Full description at Econpapers || Download paper

2023Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps. (2023). Kwok, Yue Kuen ; Jiang, Pingping ; Xu, Ziqing ; Zeng, Pingping. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:842-890.

Full description at Econpapers || Download paper

2023Corruption, tax reform and fiscal space in emerging and developing economies. (2023). Yohou, Hermann D. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:4:p:1082-1118.

Full description at Econpapers || Download paper

2023Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1.

Full description at Econpapers || Download paper

2024The dynamics of international patents production: A panel smooth transition regression approach. (2024). Omri, Sofiene ; Jebeniani, Arbia Jihene ; Trabelsi, Jamel. In: Economics Bulletin. RePEc:ebl:ecbull:eb-21-01026.

Full description at Econpapers || Download paper

2023DeÂ…cit sustainability and the Fiscal Theory of the Price Level: the case of Italy, 1861-2020. (2023). Esteve, Vicente ; Daz-Roldn, Silviano Carmen ; Congregado, Emilio. In: Working Papers. RePEc:eec:wpaper:2301.

Full description at Econpapers || Download paper

2023CVA in fractional and rough volatility models. (2023). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:442:y:2023:i:c:s0096300322007834.

Full description at Econpapers || Download paper

2023Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009.

Full description at Econpapers || Download paper

2023Fast estimation of a large TVP-VAR model with score-driven volatilities. (2023). Hong, Yongmiao ; Ye, Shiqi ; Zheng, Tingguo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:157:y:2023:i:c:s0165188923001689.

Full description at Econpapers || Download paper

2023The increased interest in Bitcoin and the immediate and long-term impact of Bitcoin volatility on global stock markets. (2023). Bazan-Palomino, Walter. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:1080-1095.

Full description at Econpapers || Download paper

2023Are low frequency macroeconomic variables important for high frequency electricity prices?. (2023). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003972.

Full description at Econpapers || Download paper

2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

Full description at Econpapers || Download paper

2024Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt. (2024). Nguimkeu, Pierre ; Tatoutchoup, Didier ; ben Hmiden, Oussama ; Avele, Donatien. In: Economic Modelling. RePEc:eee:ecmode:v:131:y:2024:i:c:s0264999323004121.

Full description at Econpapers || Download paper

2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

Full description at Econpapers || Download paper

2024Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603.

Full description at Econpapers || Download paper

2023Characterizing correlation matrices that admit a clustered factor representation. (2023). Hansen, Peter ; Tong, Chen. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004597.

Full description at Econpapers || Download paper

2023A corrected Clarke test for model selection and beyond. (2023). Min, Aleksey ; Fermanian, Jean-David ; Bruck, Florian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:105-132.

Full description at Econpapers || Download paper

2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

Full description at Econpapers || Download paper

2023Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

Full description at Econpapers || Download paper

2023Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902.

Full description at Econpapers || Download paper

2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

Full description at Econpapers || Download paper

2023Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165.

Full description at Econpapers || Download paper

2023Dynamic clustering of multivariate panel data. (2023). Lucas, Andre ; Joo, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000689.

Full description at Econpapers || Download paper

2023Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135.

Full description at Econpapers || Download paper

2023Score-driven models for realized volatility. (2023). Palumbo, Dario ; Harvey, Andrew. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623001422.

Full description at Econpapers || Download paper

2023Oil dependence and entrepreneurship: Non-linear evidence. (2023). Ondoa, Henri Atangana ; Efogo, Franoise Okah ; Awoa, Paul Awoa. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:1:s0939362522001212.

Full description at Econpapers || Download paper

2024Simulation schemes for the Heston model with Poisson conditioning. (2024). Kwok, Yue Kuen ; Choi, Jaehyuk. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:363-376.

Full description at Econpapers || Download paper

2024Combining probabilistic forecasts of intermittent demand. (2024). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048.

Full description at Econpapers || Download paper

2023Household indebtedness, financial frictions and the transmission of monetary policy to consumption: Evidence from China. (2023). Funke, Michael ; Zhong, Doudou ; Li, Xiang. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000917.

Full description at Econpapers || Download paper

2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

Full description at Econpapers || Download paper

2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

Full description at Econpapers || Download paper

2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320.

Full description at Econpapers || Download paper

2023Estimating and testing skewness in a stochastic volatility model. (2023). Ho, Kyu ; Lee, Cheol Woo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:445-467.

Full description at Econpapers || Download paper

2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

Full description at Econpapers || Download paper

2023Forecasting realized volatility with wavelet decomposition. (2023). Vivian, Andrew ; Souropanis, Ioannis. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000993.

Full description at Econpapers || Download paper

2023A wavelet-based methodology to compare the impact of pandemic versus Russia–Ukraine conflict on crude oil sector and its interconnectedness with other energy and non-energy markets. (2023). Deb, Soudeep ; Soni, Anchal ; Roy, Archi. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003286.

Full description at Econpapers || Download paper

2023Investigating the dynamics of crude oil and clean energy markets in times of geopolitical tensions. (2023). ben Zaied, Younes ; ben Cheikh, Nidhaleddine. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003596.

Full description at Econpapers || Download paper

2023Oil price uncertainty and unemployment dynamics: Nonlinearities matter. (2023). Kishan, Ruby P ; Farah, Quazi Fidia ; Ahmed, Iqbal M. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003043.

Full description at Econpapers || Download paper

2023Nowcasting industrial production using linear and non-linear models of electricity demand. (2023). Galdi, Giulio ; Casarin, Roberto ; Ravazzolo, Francesco ; Fezzi, Carlo ; Ferrari, Davide. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005042.

Full description at Econpapers || Download paper

2023Financial markets, energy shocks, and extreme volatility spillovers. (2023). Boubaker, Sabri ; Karim, Sitara ; Sharma, Gagan Deep ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005297.

Full description at Econpapers || Download paper

2023Oil price shocks in the age of surging inflation. (2023). Mattoussi, Wided ; ben Zaied, Younes ; ben Cheikh, Nidhaleddine. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006266.

Full description at Econpapers || Download paper

2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722.

Full description at Econpapers || Download paper

2023Energy substitution in Africa: Cross-regional differentiation effects. (2023). Tinta, Abdoulganiour Almame. In: Energy. RePEc:eee:energy:v:263:y:2023:i:pa:s0360544222024719.

Full description at Econpapers || Download paper

2023Can green tax policy promote Chinas energy transformation?— A nonlinear analysis from production and consumption perspectives. (2023). Tian, Lixin ; Yin, Weijun ; Yang, Kun ; Chen, Gang ; Fang, Guochang. In: Energy. RePEc:eee:energy:v:269:y:2023:i:c:s0360544223002128.

Full description at Econpapers || Download paper

2023Analysis of the non-linear impact of digital economy development on energy intensity: Empirical research based on the PSTR model. (2023). Guo, Sen ; Zhao, Haoran. In: Energy. RePEc:eee:energy:v:282:y:2023:i:c:s0360544223022612.

Full description at Econpapers || Download paper

2023Asymmetric price transmission and impulse responses from U.S. crude oil to jet fuel and diesel markets. (2023). Qiu, Feng ; Luckert, Martin ; Zhang, Wenbei. In: Energy. RePEc:eee:energy:v:283:y:2023:i:c:s0360544223018194.

Full description at Econpapers || Download paper

2023On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

Full description at Econpapers || Download paper

2023Who are the vectors of contagion? Evidence from emerging markets. (2023). Munera, Daimer J ; Agudelo, Diego A. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001151.

Full description at Econpapers || Download paper

2023How does the COVID-19 pandemic shape the relationship between Twitter sentiment and stock liquidity of US firms?. (2023). ben Arfa, Nouha ; Chebbi, Kaouther ; Ammari, Aymen. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001497.

Full description at Econpapers || Download paper

2023Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model. (2023). Li, Lihong ; Zhang, LI. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002247.

Full description at Econpapers || Download paper

2023A closer look at the regime-switching evidence of bull and bear markets. (2023). Kirby, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005463.

Full description at Econpapers || Download paper

2023Management buyouts in times of economic policy uncertainty. (2023). Wunsche, Norbert ; Schweizer, Denis ; Mettner, Sven ; Hammer, Benjamin. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006754.

Full description at Econpapers || Download paper

2023Firm performance and the crowd effect in lobbying competition. (2023). Girard, Alexandre ; van Rutten, Rodrigo Londoo ; Gnabo, Jean-Yves. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007942.

Full description at Econpapers || Download paper

2023On the efficient synthesis of short financial time series: A Dynamic Factor Model approach. (2023). Mertzanis, Charilaos ; Cerchiello, Paola ; Bitetto, Alessandro. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000521.

Full description at Econpapers || Download paper

2023Do extreme range estimators improve realized volatility forecasts? Evidence from G7 Stock Markets. (2023). McMillan, David G ; Kambouroudis, Dimos ; Korkusuz, Burak. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003641.

Full description at Econpapers || Download paper

2023Institutional Quality and Financial Development in Resource-Rich Countries: A Nonlinear Panel Data Approach. (2023). Dosso, David. In: International Economics. RePEc:eee:inteco:v:174:y:2023:i:c:p:113-137.

Full description at Econpapers || Download paper

2023Fiscal outcomes, current account imbalances, and institutions in Europe: Exploring nonlinearities. (2023). Turcu, Camelia ; Rabaud, Isabelle ; Keita, Kady. In: International Economics. RePEc:eee:inteco:v:175:y:2023:i:c:p:121-134.

Full description at Econpapers || Download paper

2023Recency bias and the cross-section of international stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000069.

Full description at Econpapers || Download paper

2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

Full description at Econpapers || Download paper

2024ESG investing in good and bad times: An international study. (2024). Bilgin, Mehmet Huseyin ; Zaremba, Adam ; Cakici, Nusret ; Chiah, Mardy ; Long, Huaigang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001841.

Full description at Econpapers || Download paper

2023Forecasting expected shortfall: Should we use a multivariate model for stock market factors?. (2023). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:314-331.

Full description at Econpapers || Download paper

2023Does the Phillips curve help to forecast euro area inflation?. (2023). Bobeica, Elena ; Babura, Marta. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:364-390.

Full description at Econpapers || Download paper

2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

Full description at Econpapers || Download paper

2023Predictability of bull and bear markets: A new look at forecasting stock market regimes (and returns) in the US. (2023). Neuenkirch, Matthias ; Haase, Felix. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:587-605.

Full description at Econpapers || Download paper

2023Time-varying variance and skewness in realized volatility measures. (2023). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:827-840.

Full description at Econpapers || Download paper

2023Real-time inflation forecasting using non-linear dimension reduction techniques. (2023). Huber, Florian ; Klieber, Karin ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:901-921.

Full description at Econpapers || Download paper

2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

Full description at Econpapers || Download paper

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

Works by Dick van Dijk:

YearTitleTypeCited
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper26
2016Nonlinear forecasting with many predictors using kernel ridge regression.(2016) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2011Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper405
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 405		paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 405		paper
2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
[Citation analysis]		paper26
2011The euro introduction and noneuro currencies.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2000Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper17
2000Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2000Asymmetric and common absorption of shocks in nonlinear autoregressive models.(2000) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper6
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper31
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
2008Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		paper
1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
[Citation analysis]		article63
1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 63		paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article105
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 105		paper
2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article64
2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 64		paper
2009Do Leading Indicators Lead Peaks More Than Troughs? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article20
2007Do leading indicators lead peaks more than troughs?.(2007) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2013Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: European Financial Management.
[Full Text][Citation analysis]		article10
2008Corporate Governance and the Value of Excess Cash Holdings of Large European Firms.(2008) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article35
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy.(2003) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35		paper
2014Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article26
2008Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation.(2008) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
[Full Text][Citation analysis]		paper22
2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2001MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article30
2007Instability and nonlinearity in the euro area Phillips curve In: Working Paper Series.
[Full Text][Citation analysis]		paper62
2009Instability and Nonlinearity in the Euro-Area Phillips Curve.(2009) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 62		article
2002Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]		paper15
2001Short-term volatility versus long-term growth: evidence in US macroeconomic time series.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2001Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2001Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Economics Discussion Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2004Forecasting US Inflation Using Model Averaging In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper2
2004A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper4
2003A multi-level panel smooth transition autoregression for US sectoral production.(2003) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
[Full Text][Citation analysis]		article33
2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2007Forecast comparison of principal component regression and principal covariate regression In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2005Forecast comparison of principal component regression and principal covariate regression.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article23
2005Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method In: Journal of Development Economics.
[Full Text][Citation analysis]		article54
2013Measuring and predicting heterogeneous recessions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article5
2012Measuring and Predicting Heterogeneous Recessions.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2011Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article11
2013Forecasting volatility with the realized range in the presence of noise and non-trading In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article10
2012Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2005Testing for causality in variance in the presence of breaks In: Economics Letters.
[Full Text][Citation analysis]		article41
2004Testing for causality in variance in the presence of breaks.(2004) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2004Testing for causality in variance in the presence of breaks.(2004) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 41		paper
2002A nonlinear long memory model, with an application to US unemployment In: Journal of Econometrics.
[Full Text][Citation analysis]		article73
2007A unified approach to nonlinearity, structural change, and outliers In: Journal of Econometrics.
[Full Text][Citation analysis]		article75
2005A unified approach to nonlinearity, structural change and outliers.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 75		paper
2007Measuring volatility with the realized range In: Journal of Econometrics.
[Full Text][Citation analysis]		article152
2006Measuring volatility with the realized range.(2006) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 152		paper
2010Twenty years of cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2010Cointegration in a historical perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2009Cointegration in a historical perspective.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article84
2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 84		paper
2023Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2022Moments, Shocks and Spillovers in Markov-switching VAR Models.(2022) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2005The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? In: Emerging Markets Review.
[Full Text][Citation analysis]		article20
2005The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?.(2005) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2003Stock selection strategies in emerging markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article55
2001Stock Selection Strategies in Emerging Markets.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article19
2015Forecasting day-ahead electricity prices: Utilizing hourly prices In: Energy Economics.
[Full Text][Citation analysis]		article76
2013Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 76		paper
2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article19
2005The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting.
[Full Text][Citation analysis]		article36
2001The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
[Full Text][Citation analysis]		article99
2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 99		paper
2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 99		paper
2005Reply In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2005Forecasting aggregates using panels of nonlinear time series In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2004Forecasting aggregates using panels of nonlinear time series.(2004) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2006Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages. In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2008Macroeconomic forecasting with matched principal components In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2009Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting.
[Full Text][Citation analysis]		article102
2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison In: International Journal of Forecasting.
[Full Text][Citation analysis]		article16
2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2016Getting the most out of macroeconomic information for predicting excess stock returns In: International Journal of Forecasting.
[Full Text][Citation analysis]		article22
2024Accelerating peak dating in a dynamic factor Markov-switching model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article108
2008Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 108		paper
2014Speed, algorithmic trading, and market quality around macroeconomic news announcements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article43
2012Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2009The economic value of fundamental and technical information in emerging currency markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article37
2007The Economic Value of Fundamental and Technical Information in Emerging Currency Markets.(2007) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2013Bayesian forecasting of federal funds target rate decisions In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article3
2011Bayesian Forecasting of Federal Funds Target Rate Decisions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2009Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana In: El Trimestre Económico.
[Full Text][Citation analysis]		article0
2006Semi-Parametric Modelling of Correlation Dynamics In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter7
2005Semi-Parametric Modelling of Correlation Dynamics.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2016Dynamic Factor Models for the Volatility Surface? In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
In: .
[Full Text][Citation analysis]		chapter0
2007Evaluating real-time forecasts in real-time In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2008Range-based covariance estimation using high-frequency data: The realized co-range In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2007Modeling regional house prices In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper19
2011Modelling regional house prices.(2011) In: Applied Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
1996Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper81
1999Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 81		article
1997Modelling Multiple Regimes in the Business Cycle In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper85
1997Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
1997Do We Often Find ARCH Because Of Neglected Outliers? In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper3
1997Nonlinear Error-Correction Models for Interest Rates in The Netherlands In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper9
1998Modeling asymmetric volatility in weekly Dutch temperature data In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
1998Nonlinearities and outliers: robust specification of STAR models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper2
1998Forecasting volatility with switching persistence GARCH models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper13
1998Does the absence of cointegration explain the typical findings in long horizon regressions? In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper49
1999Unit root tests and assymmetric adjustment In: Econometric Institute Research Papers.
[Citation analysis]		paper0
1999Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers.
[Citation analysis]		paper2
1999Outlier detection in the GARCH (1,1) model In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
1999A multivariate STAR analysis of the relationship between money and output In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper20
2000A Multivariate STAR Analysis of the Relationship Between Money and Output.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1999A Multivariate STAR Analysis of the Relationship Between Money and Output.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2004Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper20
2000Seasonal smooth transition autoregression In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper8
2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper569
2001Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 569		paper
2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 569		article
2000A nonlinear long memory model for US unemployment In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2003Does Africa grow slower than Asia and Latin America? In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper4
2009Macroeconomic forecasting with real-time data: an empirical comparison In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2003Forecasting industrial production with linear, nonlinear, and structural change models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper17
2010Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper22
2013Forecasting the Yield Curve in a Data?Rich Environment Using the Factor?Augmented Nelson–Siegel Model.(2013) In: Journal of Forecasting.
[Citation analysis]
This paper has nother version. Agregated cites: 22		article
2010Financial Development and Convergence Clubs In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2002Changes in variability of the business cycle in the G7 countries In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper32
2002Changes in Variability of the Business Cycle in the G7 Countries.(2002) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2002Changes in variability of the business cycle in the G7 countries.(2002) In: Economics Discussion Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2002A simple test for PPP among traded goods In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper2
2006A simple test for PPP among traded goods.(2006) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2006Improved Construction of diffusion indexes for macroeconomic forecasting In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2006Bayesian Model Averaging in the Presence of Structural Breaks In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper12
2006Time series forecasting by principal covariate regression. In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2007When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper10
2013When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2007The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper2
2007A Recommitment Strategy for Long Term Private Equity Fund Investors In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper0
2008The Inefficient Use of Macroeconomic Information in Analysts Earnings Forecasts in Emerging Markets In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper0
2009Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper7
2010Corporate Governance and the Cost of Debt of Large European Firms In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper2
2012Realized mixed-frequency factor models for vast dimensional covariance estimation In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper5
2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper24
2007Good News is No News In: ERIM Inaugural Address Series Research in Management.
[Full Text][Citation analysis]		paper0
2014Forecasting business cycles In: Post-Print.
[Citation analysis]		paper0
2014Forecasting business cycles In: Post-Print.
[Citation analysis]		paper0
2009Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective In: International Journal of Corporate Governance.
[Full Text][Citation analysis]		article1
2005On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article6
2005On the dynamics of business cycle analysis: editors introduction.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2005A multi-level panel STAR model for US manufacturing sectors In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article86
2003On SETAR non-linearity and forecasting In: Journal of Forecasting.
[Full Text][Citation analysis]		article33
2009Structural Breaks in the International Transmission of Inflation In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper2
2009Changes in International Business Cycle Affiliations In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2009Changes in International Business Cycle Affiliations.(2009) In: Economics Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2003Testing for Volatility Changes in US Macroeconomic Time Series In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper179
2004Testing for Volatility Changes in U.S. Macroeconomic Time Series.(2004) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 179		article
2003Predicting Growth Cycle Regimes for European Countries In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2014Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2011Forecasting with Leading Indicators by means of the Principal Covariate Index In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
[Full Text][Citation analysis]		article1
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article9
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2023Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article4
2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2009Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article18
2007Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper.
[Full Text][Citation analysis]		paper20
2007Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2006Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis In: EconoQuantum, Revista de Economia y Finanzas.
[Full Text][Citation analysis]		article0
2004Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics.
[Full Text][Citation analysis]		article19
1998Short Patches of Outliers, ARCH and Volatility Modeling.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2012Structural differences in economic growth: an endogenous clustering approach In: Applied Economics.
[Full Text][Citation analysis]		article4
2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews.
[Full Text][Citation analysis]		article55
2006Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		paper
2018New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article38
2021Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article10
2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2010A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance.
[Full Text][Citation analysis]		article101
2007A Comparison of Biased Simulation Schemes for Stochastic Volatility Models.(2007) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 101		paper
2022Modeling and estimation of synchronization in size-sorted portfolio returns In: Central Bank Review.
[Full Text][Citation analysis]		article0
1999SETS, Arbitrage Activity, and Stock Price Dynamics In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper34
2004Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper67
2008Structural Differences in Economic Growth In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2010Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper9
2011Modeling and Estimation of Synchronization in Multistate Markov-Switching Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper14
2011An Alternative Bayesian Approach to Structural Breaks in Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2011Forecasting Volatility with Copula-Based Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2012High-Frequency Technical Trading: The Importance of Speed In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper32
2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2015New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2014Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2020Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2021Heterogeneity in Manufacturing Growth Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2022Robust Observation-Driven Models Using Proximal-Parameter Updates Abstract We propose an observation-driven modelling framework that permits time variation in the model’s parameters using a proximal-p In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Does economic uncertainty predict real activity in real-time? In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Structural Breaks in the International Dynamics of Inflation In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article36
2016Market Set?up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal.
[Full Text][Citation analysis]		article3
2019Combining expert?adjusted forecasts In: Journal of Forecasting.
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team