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

69

i10 index

3987

Citations

RESEARCH PRODUCTION:

75

Articles

135

Papers

1

Chapters

RESEARCH ACTIVITY:

   25 years (1996 - 2021). See details.
   Cites by year: 159
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 247.    Total self citations: 75 (1.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2023-11-04    RAS profile: 2022-08-25    
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Relations with other researchers

Works with:

Lucas, Andre (3)

Franses, Philip Hans (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 (54)

Balcilar, Mehmet (49)

Kapetanios, George (42)

Milas, Costas (41)

Medeiros, Marcelo (36)

Miller, Stephen (31)

JAWADI, Fredj (31)

Bataa, Erdenebat (29)

Cavaliere, Giuseppe (29)

Cites to:

Diebold, Francis (94)

Bollerslev, Tim (80)

Timmermann, Allan (63)

Watson, Mark (53)

Franses, Philip Hans (52)

Engle, Robert (50)

Pesaran, Mohammad (45)

Teräsvirta, Timo (41)

Andersen, Torben (41)

Perez Quiros, Gabriel (40)

Stock, James (36)

Main data

Where Dick van Dijk has published?

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

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute46
Tinbergen Institute Discussion Papers / Tinbergen Institute34
ERIM Report Series Research in Management / Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam13
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics5
Post-Print / HAL4
CeNDEF Working Papers / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance3
Econometric Society 2004 Australasian Meetings / Econometric Society2
Discussion Papers / School of Economics, The University of New South Wales2

Recent works citing Dick van Dijk (2023 and 2022)

YearTitle of citing document
2023.

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2022.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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

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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.

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

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

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

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

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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.

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

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

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2023Nonparametric Test for Volatility in Clustered Multiple Time Series. (2021). Barrios, Erniel B ; Victor, Paolo. In: Papers. RePEc:arx:papers:2104.14412.

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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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

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2022Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. (2021). Tempone, Ra'Ul ; ben Hammouda, Chiheb ; Bayer, Christian. In: Papers. RePEc:arx:papers:2111.01874.

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

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2022Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models. (2022). Taylor, Robert ; De Angelis, Luca ; Cavaliere, Giuseppe ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2202.02532.

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

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

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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

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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.

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

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

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2023Efficient 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.

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

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

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

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2022Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588.

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2022Credit rating agencies, information asymmetry and US bond liquidity. (2022). Salvade, Federica ; Raimbourg, Philippe ; Lovo, Stefano. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:9-10:p:1863-1896.

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2022High?frequency trading: Definition, implications, and controversies. (2022). Hsu, Weihuei ; Young, Martin R ; Zaharudin, Khairul Zharif. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:36:y:2022:i:1:p:75-107.

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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.

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2022Long?term prediction intervals with many covariates. (2022). Wu, Wei Biao ; Chud, Marek ; Karmakar, Sayar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:587-609.

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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.

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2022Real Exchange Rates and Fundamentals in a new Markov?STAR Model. (2022). Sibbertsen, Philipp ; Ma, Jun ; Flock, Teresa ; Bertram, Philip . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:356-379.

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2022Debt Intolerance: Threshold Level and Composition. (2022). Matsuoka, Hideaki. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:4:p:894-932.

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2022Threshold effects of openness on real and nominal effective exchange rates in emerging and developing economies. (2022). Saha, Sujata ; Keefe, Helena Glebocki. In: The World Economy. RePEc:bla:worlde:v:45:y:2022:i:5:p:1386-1408.

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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.

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

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

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

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2022StreaMRAK a streaming multi-resolution adaptive kernel algorithm. (2022). Cloninger, Alexander ; Freund, Yoav ; Naumova, Valeriya ; Kereta, Eljko ; Oslandsbotn, Andreas. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:426:y:2022:i:c:s0096300322001965.

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

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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.

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2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

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2022Multi-layered rational inattention and time-varying volatility. (2022). Hobler, Stephan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200077x.

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2022Does the bid–ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment. (2022). Tian, Xiao Jason ; Kalev, Petko S ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001415.

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2022Smooth Transition Simultaneous Equation Models. (2022). Krishnakumar, Jaya ; Kadilli, Anjeza. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002494.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022FDI, corruption and financial development around the world: A panel non-linear approach. (2022). Matei, Iuliana ; Sattar, Abdul ; Krifa-Schneider, Hadjila. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000554.

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

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

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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.

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2022Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios. (2022). Mahadeo, Scott ; Legrenzi, Gabriella ; Heinlein, Reinhold. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940821002229.

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2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies. (2022). GUPTA, RANGAN ; Balcilar, Mehmet ; Ji, Qiang ; Plakandaras, Vasilios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000249.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2022Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model. (2022). Ma, Yong ; Du, Wanying ; Wang, Yunyuan ; Liu, Xiaojun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001176.

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

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2022Too good to be true: The inverted U-shaped relationship between home-country digitalization and environmental performance. (2022). Leyva-De, Dante I ; Pedauga, Luis E ; Delgado-Marquez, Blanca L ; Ahmadova, Gozal. In: Ecological Economics. RePEc:eee:ecolec:v:196:y:2022:i:c:s0921800922000556.

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2022Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346.

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2022Functional time series approach to analyzing asset returns co-movements. (2022). Xia, Yingcun ; Saart, Patrick W. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:1:p:127-151.

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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.

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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.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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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.

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2022Approximate value adjustments for European claims. (2022). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: European Journal of Operational Research. RePEc:eee:ejores:v:300:y:2022:i:3:p:1149-1161.

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2022Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974.

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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.

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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.

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2022It is not just What you say, but How you say it: Why tonality matters in central bank communication. (2022). Shen, Aizhong ; Stan, Raluca ; Chen, Denghui ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:216-231.

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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.

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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.

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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.

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2022Quantile risk spillovers between energy and agricultural commodity markets: Evidence from pre and during COVID-19 outbreak. (2022). Lee, Chien-Chiang ; Adewuyi, Adeolu O ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003796.

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2022Does crude oil fire the emerging markets currencies contagion spillover? A systemic perspective. (2022). Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005138.

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2022Non-linear effects of outward foreign direct investment on total factor energy efficiency in China. (2022). Li, Mengna ; Tian, Mengyuan ; Chu, Junhui ; Pan, Xiongfeng. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pd:s036054422102541x.

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

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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.

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2022How female directors help firms to attain optimal cash holdings. (2022). Hudson, Robert ; el Kalak, Izidin ; Tosun, Onur Kemel. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s105752192200014x.

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2022The crisis alpha of managed futures: Myth or reality?. (2022). Mende, Alexander ; Frommel, Michael ; Asif, Raheel. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000242.

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2022Oil price uncertainty and corporate cash holdings: Global evidence. (2022). Alsubaiei, Bader Jawid ; Alomran, Abdulaziz Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000837.

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2022Stock returns, trading volume, and volatility: The case of African stock markets. (2022). Ngene, Geoffrey M ; Mungai, Ann Nduati. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001399.

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2022Predicting VaR for Chinas stock market: A score-driven model based on normal inverse Gaussian distribution. (2022). Song, Shijia ; Li, Handong. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001429.

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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.

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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.

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2022Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset. (2022). Goutte, Stéphane ; Vives, Josep ; Makumbe, Zororo S ; El-Khatib, Youssef. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001537.

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2022Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond. (2022). Pradhan, H K ; Banerjee, Ameet Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002166.

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2022Nonlinear impacts of CSR performance on firm risk: New evidence using a panel smooth threshold regression. (2022). Bruna, Maria Giuseppina ; Ammari, Aymen ; Rouine, Ibtissem. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000460.

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2022Infection, invasion, and inflation: Recent lessons. (2022). Qadan, Mahmoud ; Aharon, David Y. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004901.

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2022A smooth difference-in-differences model for assessing gradual policy effects: Revisiting the impact of banking deregulation on income distribution. (2022). Jv, Yue-Qi ; Wang, Zheng-Xin. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004986.

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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.

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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.

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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.

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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.

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2022Inferring trade directions in fast markets. (2022). Jurkatis, Simon. In: Journal of Financial Markets. RePEc:eee:finmar:v:58:y:2022:i:c:s1386418121000173.

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2022Financial turbulence, systemic risk and the predictability of stock market volatility. (2022). Salisu, Afees ; GUPTA, RANGAN ; Demirer, Riza. In: Global Finance Journal. RePEc:eee:glofin:v:52:y:2022:i:c:s1044028322000011.

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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.

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2022Macroeconomic attention and stock market return predictability. (2022). Huang, Dengshi ; Liu, Jia ; Lu, Xinjie ; Ma, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:79:y:2022:i:c:s104244312200083x.

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

Works by Dick van Dijk:

YearTitleTypeCited
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
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2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
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2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers.
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2016Nonlinear forecasting with many predictors using kernel ridge regression.(2016) In: International Journal of Forecasting.
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2011Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers.
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2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
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2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper393
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 393		paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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This paper has another version. Agregated cites: 393		paper
2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 7		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.
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2000Asymmetric and common absorption of shocks in nonlinear autoregressive models.(2000) In: Econometric Institute Research Papers.
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This paper has another 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.
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This paper has another version. Agregated cites: 6		paper
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 6		paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper30
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control.
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2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
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2008Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers.
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1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
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1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
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2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article103
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
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2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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2009Do Leading Indicators Lead Peaks More Than Troughs? In: Journal of Business & Economic Statistics.
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2007Do leading indicators lead peaks more than troughs?.(2007) In: Econometric Institute Research Papers.
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2013Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: European Financial Management.
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2008Corporate Governance and the Value of Excess Cash Holdings of Large European Firms.(2008) In: ERIM Report Series Research in Management.
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2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
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2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* In: Oxford Bulletin of Economics and Statistics.
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2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy.(2003) In: Econometric Institute Research Papers.
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2014Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation In: Oxford Bulletin of Economics and Statistics.
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2008Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation.(2008) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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This paper has another version. Agregated cites: 26		paper
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
[Full Text][Citation analysis]		paper20
2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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2001MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article28
2007Instability and nonlinearity in the euro area Phillips curve In: Working Paper Series.
[Full Text][Citation analysis]		paper61
2009Instability and Nonlinearity in the Euro-Area Phillips Curve.(2009) In: International Journal of Central Banking.
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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.
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2001Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2004Forecasting US Inflation Using Model Averaging In: Econometric Society 2004 Australasian Meetings.
[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.
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2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
[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.
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2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
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2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
[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.
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This paper has another version. Agregated cites: 10		paper
2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article22
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]		article53
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.
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2011Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers.
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2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article10
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]		article9
2012Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management.
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2005Testing for causality in variance in the presence of breaks In: Economics Letters.
[Full Text][Citation analysis]		article40
2004Testing for causality in variance in the presence of breaks.(2004) In: Econometric Institute Research Papers.
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2004Testing for causality in variance in the presence of breaks.(2004) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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This paper has another version. Agregated cites: 40		paper
2002A nonlinear long memory model, with an application to US unemployment In: Journal of Econometrics.
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2007A unified approach to nonlinearity, structural change, and outliers In: Journal of Econometrics.
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2005A unified approach to nonlinearity, structural change and outliers.(2005) In: Econometric Institute Research Papers.
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2007Measuring volatility with the realized range In: Journal of Econometrics.
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2006Measuring volatility with the realized range.(2006) In: Econometric Institute Research Papers.
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2010Twenty years of cointegration In: Journal of Econometrics.
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2010Cointegration in a historical perspective In: Journal of Econometrics.
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2009Cointegration in a historical perspective.(2009) In: Econometric Institute Research Papers.
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2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
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2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
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2005The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? In: Emerging Markets Review.
[Full Text][Citation analysis]		article19
2005The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?.(2005) In: ERIM Report Series Research in Management.
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2003Stock selection strategies in emerging markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article55
2001Stock Selection Strategies in Emerging Markets.(2001) In: Tinbergen Institute Discussion Papers.
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2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
[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.
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2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
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2005The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting.
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2001The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.(2001) In: Econometric Institute Research Papers.
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2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
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2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
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2005Reply In: International Journal of Forecasting.
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2005Forecasting aggregates using panels of nonlinear time series In: International Journal of Forecasting.
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2004Forecasting aggregates using panels of nonlinear time series.(2004) In: Econometric Institute Research Papers.
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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.
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2008Macroeconomic forecasting with matched principal components In: International Journal of Forecasting.
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2009Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting.
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2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting.
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2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison In: International Journal of Forecasting.
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2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison.(2011) In: International Journal of Forecasting.
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2016Getting the most out of macroeconomic information for predicting excess stock returns In: International Journal of Forecasting.
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2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
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2008Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management.
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2014Speed, algorithmic trading, and market quality around macroeconomic news announcements In: Journal of Banking & Finance.
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2012Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements.(2012) In: Tinbergen Institute Discussion Papers.
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2009The economic value of fundamental and technical information in emerging currency markets In: Journal of International Money and Finance.
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2007The Economic Value of Fundamental and Technical Information in Emerging Currency Markets.(2007) In: ERIM Report Series Research in Management.
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2013Bayesian forecasting of federal funds target rate decisions In: Journal of Macroeconomics.
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2011Bayesian Forecasting of Federal Funds Target Rate Decisions.(2011) In: Tinbergen Institute Discussion Papers.
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2009Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana In: El Trimestre Económico.
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2016Dynamic Factor Models for the Volatility Surface? In: Advances in Econometrics.
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2007Evaluating real-time forecasts in real-time In: Econometric Institute Research Papers.
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2008Range-based covariance estimation using high-frequency data: The realized co-range In: Econometric Institute Research Papers.
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2007Modeling regional house prices In: Econometric Institute Research Papers.
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2011Modelling regional house prices.(2011) In: Applied Economics.
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1996Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers.
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1999Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics.
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1997Modelling Multiple Regimes in the Business Cycle In: Econometric Institute Research Papers.
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1997Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks In: Econometric Institute Research Papers.
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1997Do We Often Find ARCH Because Of Neglected Outliers? In: Econometric Institute Research Papers.
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1997Nonlinear Error-Correction Models for Interest Rates in The Netherlands In: Econometric Institute Research Papers.
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1998Modeling asymmetric volatility in weekly Dutch temperature data In: Econometric Institute Research Papers.
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1998Nonlinearities and outliers: robust specification of STAR models In: Econometric Institute Research Papers.
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1998Forecasting volatility with switching persistence GARCH models In: Econometric Institute Research Papers.
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1998Does the absence of cointegration explain the typical findings in long horizon regressions? In: Econometric Institute Research Papers.
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1999Unit root tests and assymmetric adjustment In: Econometric Institute Research Papers.
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1999Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers.
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1999Outlier detection in the GARCH (1,1) model In: Econometric Institute Research Papers.
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1999A multivariate STAR analysis of the relationship between money and output In: Econometric Institute Research Papers.
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2000A Multivariate STAR Analysis of the Relationship Between Money and Output.(2000) In: Working Papers.
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1999A Multivariate STAR Analysis of the Relationship Between Money and Output.(1999) In: Working Papers.
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2004Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers.
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2000Seasonal smooth transition autoregression In: Econometric Institute Research Papers.
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2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
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2001Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
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2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
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This paper has another version. Agregated cites: 560		article
2000A nonlinear long memory model for US unemployment In: Econometric Institute Research Papers.
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2003Does Africa grow slower than Asia and Latin America? In: Econometric Institute Research Papers.
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2009Macroeconomic forecasting with real-time data: an empirical comparison In: Econometric Institute Research Papers.
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2003Forecasting industrial production with linear, nonlinear, and structural change models In: Econometric Institute Research Papers.
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2010Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model In: Econometric Institute Research Papers.
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2013Forecasting the Yield Curve in a Data?Rich Environment Using the Factor?Augmented Nelson–Siegel Model.(2013) In: Journal of Forecasting.
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2010Financial Development and Convergence Clubs In: Econometric Institute Research Papers.
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2002Changes in variability of the business cycle in the G7 countries In: Econometric Institute Research Papers.
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2002Changes in Variability of the Business Cycle in the G7 Countries.(2002) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2002A simple test for PPP among traded goods In: Econometric Institute Research Papers.
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2005Semi-Parametric Modelling of Correlation Dynamics In: Econometric Institute Research Papers.
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2006Improved Construction of diffusion indexes for macroeconomic forecasting In: Econometric Institute Research Papers.
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2006Bayesian Model Averaging in the Presence of Structural Breaks In: Econometric Institute Research Papers.
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2006Time series forecasting by principal covariate regression. In: Econometric Institute Research Papers.
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2007When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? In: ERIM Report Series Research in Management.
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2013When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2013) In: Review of Finance.
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2007The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations In: ERIM Report Series Research in Management.
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2007A Recommitment Strategy for Long Term Private Equity Fund Investors In: ERIM Report Series Research in Management.
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2008The Inefficient Use of Macroeconomic Information in Analysts Earnings Forecasts in Emerging Markets In: ERIM Report Series Research in Management.
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2009Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management.
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2010Corporate Governance and the Cost of Debt of Large European Firms In: ERIM Report Series Research in Management.
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2012Realized mixed-frequency factor models for vast dimensional covariance estimation In: ERIM Report Series Research in Management.
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2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
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2007Good News is No News In: ERIM Inaugural Address Series Research in Management.
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2014Forecasting business cycles In: Post-Print.
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2014Forecasting business cycles In: Post-Print.
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2009Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective In: International Journal of Corporate Governance.
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2005On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics.
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2005On the dynamics of business cycle analysis: editors introduction.(2005) In: Journal of Applied Econometrics.
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2005A multi-level panel STAR model for US manufacturing sectors In: Journal of Applied Econometrics.
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2003On SETAR non-linearity and forecasting In: Journal of Forecasting.
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2009Structural Breaks in the International Transmission of Inflation In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2009Changes in International Business Cycle Affiliations In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2003Testing for Volatility Changes in US Macroeconomic Time Series In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2004Testing for Volatility Changes in U.S. Macroeconomic Time Series.(2004) In: The Review of Economics and Statistics.
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2003Predicting Growth Cycle Regimes for European Countries In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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2014Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers.
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2011Forecasting with Leading Indicators by means of the Principal Covariate Index In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: The Journal of Financial Econometrics.
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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers.
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2009Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* In: The Journal of Financial Econometrics.
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2007Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper.
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2007Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers.
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2006Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis In: EconoQuantum, Revista de Economia y Finanzas.
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2004Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics.
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2006A simple test for PPP among traded goods In: Applied Financial Economics.
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2011The euro introduction and noneuro currencies In: Applied Financial Economics.
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2012Structural differences in economic growth: an endogenous clustering approach In: Applied Economics.
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2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews.
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2006Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers.
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2018New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics.
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2021Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings In: Journal of Business & Economic Statistics.
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2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings.(2019) In: Tinbergen Institute Discussion Papers.
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2010A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance.
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2007A Comparison of Biased Simulation Schemes for Stochastic Volatility Models.(2007) In: Tinbergen Institute Discussion Papers.
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1998Short Patches of Outliers, ARCH and Volatility Modeling In: Tinbergen Institute Discussion Papers.
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1999SETS, Arbitrage Activity, and Stock Price Dynamics In: Tinbergen Institute Discussion Papers.
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2004Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience In: Tinbergen Institute Discussion Papers.
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2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers.
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2008Structural Differences in Economic Growth In: Tinbergen Institute Discussion Papers.
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2010Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility In: Tinbergen Institute Discussion Papers.
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2011Modeling and Estimation of Synchronization in Multistate Markov-Switching Models In: Tinbergen Institute Discussion Papers.
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2011An Alternative Bayesian Approach to Structural Breaks in Time Series Models In: Tinbergen Institute Discussion Papers.
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2011Forecasting Volatility with Copula-Based Time Series Models In: Tinbergen Institute Discussion Papers.
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2012High-Frequency Technical Trading: The Importance of Speed In: Tinbergen Institute Discussion Papers.
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2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
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2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
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2013Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers.
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2015New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers.
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2014Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers.
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2015Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers.
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2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error In: Tinbergen Institute Discussion Papers.
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2020Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model In: Tinbergen Institute Discussion Papers.
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2021Heterogeneity in Manufacturing Growth Risk In: Tinbergen Institute Discussion Papers.
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2013Structural Breaks in the International Dynamics of Inflation In: The Review of Economics and Statistics.
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