Herman K. van Dijk : Citation Profile


Are you Herman K. van Dijk?

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

23

H index

39

i10 index

1842

Citations

RESEARCH PRODUCTION:

72

Articles

177

Papers

1

Books

EDITOR:

2

Books edited

1

Series edited

RESEARCH ACTIVITY:

   46 years (1975 - 2021). See details.
   Cites by year: 40
   Journals where Herman K. van Dijk has often published
   Relations with other researchers
   Recent citing documents: 75.    Total self citations: 135 (6.83 %)

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   Permalink: http://citec.repec.org/pva325
   Updated: 2023-11-04    RAS profile: 2021-10-29    
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Relations with other researchers


Works with:

Aastveit, Knut Are (5)

Ravazzolo, Francesco (4)

Casarin, Roberto (3)

Cross, Jamie (3)

Baştürk, Nalan (2)

Koopman, Siem Jan (2)

Grassi, Stefano (2)

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

Is cited by:

Koop, Gary (54)

Ravazzolo, Francesco (41)

Casarin, Roberto (41)

Kleibergen, Frank (33)

Ardia, David (31)

Huber, Florian (27)

Rossi, Barbara (24)

Maheu, John (23)

Steel, Mark (23)

Phillips, Peter (22)

Ricco, Giovanni (21)

Cites to:

Geweke, John (98)

Ravazzolo, Francesco (82)

Kleibergen, Frank (65)

Geweke, John (61)

Kloek, Teun (52)

Casarin, Roberto (41)

Koop, Gary (40)

Watson, Mark (37)

Sims, Christopher (35)

Bauwens, Luc (35)

Schorfheide, Frank (32)

Main data


Where Herman K. van Dijk has published?


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

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute59
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute48
Econometric Institute Archives / Erasmus University Rotterdam16
Working Papers / Department of Economics, University of Venice "Ca' Foscari"4
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL2
Working Papers / Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School2
Research Memorandum / Maastricht University, Graduate School of Business and Economics (GSBE)2
Computing in Economics and Finance 2002 / Society for Computational Economics2
Post-Print / HAL2
DQE Working Papers / Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland2

Recent works citing Herman K. van Dijk (2023 and 2022)


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

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2022A Quadrature Rule combining Control Variates and Adaptive Importance Sampling. (2022). Segers, Johan ; Portier, Francois ; Leluc, Remi ; Zhuman, Aigerim. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022018.

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2023Dynamic Adaptive Mixture Models. (2016). Catania, Leopoldo. In: Papers. RePEc:arx:papers:1603.01308.

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2022Dynamically optimal treatment allocation using Reinforcement Learning. (2019). Schilter, Claudio ; Geiecke, Friedrich ; Adusumilli, Karun. In: Papers. RePEc:arx:papers:1904.01047.

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2023Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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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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2023A Semi-Parametric Bayesian Generalized Least Squares Estimator. (2020). Weeks, Melvyn ; Wu, Ruochen. In: Papers. RePEc:arx:papers:2011.10252.

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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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2022Loss-Based Variational Bayes Prediction. (2021). Frazier, David T ; Koo, Bonsoo ; Martin, Gael M ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:2104.14054.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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

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2023Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics. (2021). Tangpi, Ludovic ; Chu, Jiarui. In: Papers. RePEc:arx:papers:2111.12248.

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

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2022A Dynamic Stochastic Block Model for Multi-Layer Networks. (2022). Casarin, Roberto ; L'Opez, Ovielt Baltodano. In: Papers. RePEc:arx:papers:2209.09354.

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2023Bayesian analysis of mixtures of lognormal distribution with an unknown number of components from grouped data. (2022). Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:2210.05115.

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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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2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

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2022Why you should never use the Hodrick-Prescott Filter: Comment. (2022). Moura, Alban. In: BCL working papers. RePEc:bcl:bclwop:bclwp162.

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2022Aggregate density forecast of models using disaggregate data - A copula approach. (2022). Ingebrigtsen, Tobias ; Fastbo, Tuva Marie ; Paulsen, Kenneth Saterhagen . In: Working Paper. RePEc:bno:worpap:2022_5.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps100.

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2022Conditional density forecasting: a tempered importance sampling approach. (2022). Wolf, Elias ; Paredes, Joan ; Montes-Galdon, Carlos. In: Working Paper Series. RePEc:ecb:ecbwps:20222754.

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2023Density forecasts of inflation: a quantile regression forest approach. (2023). Paredes, Joan ; Moutachaker, Ines ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20232830.

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2022Empirical study of day-ahead electricity spot-price forecasting: Insights into a novel loss function for training neural networks. (2022). Solibakke, Per Bjarte ; Loutfi, Ijlal ; Sun, Mengtao. In: Applied Energy. RePEc:eee:appene:v:319:y:2022:i:c:s0306261922005542.

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2022Sequential Bayesian bandwidth selection for multivariate kernel regression with applications. (2022). Zhang, Yonghui ; Li, Yong. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s0264999322001055.

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2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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2022Posterior-based Wald-type statistics for hypothesis testing. (2022). Yu, Jun ; Zeng, Tao ; JunYu, ; Li, Yong ; Liu, Xiaobin. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:83-113.

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2022Markov switching panel with endogenous synchronization effects. (2022). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:2:p:281-298.

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

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

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Data-based priors for vector error correction models. (2023). Pruser, Jan. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:209-227.

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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.

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2022Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress. (2022). Duprey, Thibaut ; Klaus, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426621001552.

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2022Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds. (2022). Mazza, Christian ; Ciobotaru, Corina. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:190:y:2022:i:c:s0047259x2200032x.

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2022What the current yield curve says, and what the future prices of energy do. (2022). Qadan, Mahmoud ; Idilbi-Bayaa, Yasmeen. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100502x.

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2022Series Hybridization of Parallel (SHOP) models for time series forecasting. (2022). Khashei, Mehdi ; Hajirahimi, Zahra. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001777.

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2022Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics. (2022). Paul, Amartya ; Kundu, Srikanta. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:597-612.

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2022Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:90366.

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

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2023Averaging Impulse Responses Using Prediction Pools. (2023). Matthes, Christian ; Lubik, Thomas A ; Ho, Paul. In: Working Paper. RePEc:fip:fedrwp:95601.

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2022Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression. (2022). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:16:y:2022:i:1:p:4-:d:1008576.

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2022Socioeconomic Drivers of Fish Consumption in Qatar. (2022). Al-Boinin, Fahad ; al Emadi, Noor ; Mandikiana, Brian W ; Abusin, Sana . In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:17:p:10921-:d:904024.

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2022Differences in the Use of Formal and Informal Care Services among Older Adults after the Implementation of the Dependency Act in Spain. (2022). Rodriguez-Sanchez, Beatriz ; Pascual, Marta ; Cantarero, David. In: Hacienda Pública Española / Review of Public Economics. RePEc:hpe:journl:y:2022:v:240:i:1:p:61-93.

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2023Leading indicators of financial stress in Croatia: a regime switching approach. (2023). Skrinjaric, Tihana. In: Public Sector Economics. RePEc:ipf:psejou:v:47:y:2023:i:2:p:0-0.

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2023On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note. (2023). Tessierc, David ; Racicota, Franois-Eric. In: Working Papers. RePEc:ipg:wpaper:2023-001.

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2022Robust Dynamic Space-Time Panel Data Models Using ?-Contamination: An Application to Crop Yields and Climate Change. (2022). Lacroix, Guy ; Chaturvedi, Anoop ; BRESSON, Georges ; Baltagi, Badi. In: IZA Discussion Papers. RePEc:iza:izadps:dp15815.

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2023Spatio-Temporal Instrumental Variables Regression with Missing Data: A Bayesian Approach. (2023). Mendona, Mario Jorge ; Nascimento, Marcus L. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10269-z.

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2022Computing Bayes: From Then `Til Now. (2022). Robert, Christian P ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2022-14.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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2022The Economics of Spatial Mobility: Theory and Evidence Using Smartphone Data. (2022). Redding, Stephen J ; Nakajima, Kentaro ; Miyauchi, Yuhei. In: Working Papers. RePEc:pri:cepsud:295.

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2022The employment situation of people living with HIV: a closer look at the effects of the 2008 economic crisis. (2022). oliva, juan ; Oliva-Moreno, Juan ; Pea-Longobardo, Luz Maria ; Rodriguez-Sanchez, Beatriz. In: The European Journal of Health Economics. RePEc:spr:eujhec:v:23:y:2022:i:3:d:10.1007_s10198-021-01372-3.

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2023Bank performance before and after the subprime crisis: Evidence from pooled data on big US banks. (2023). Theoret, Raymond ; Calmes, Christian. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-023-09618-x.

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2022Instrumental Variables Estimation without Outside Instruments. (2022). Tsionas, Mike G ; Tran, Kien C. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:20:y:2022:i:3:d:10.1007_s40953-022-00300-3.

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2023Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach. (2023). Vespignani, Joaquin ; Vocalelli, Giorgio ; Ravazzolo, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:tas:wpaper:47658.

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2022A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods. (2022). van Dijk, Herman K ; Ravazzolo, Francesco ; Grassi, Stefano ; Casarin, Roberto. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20220053.

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2023Forecasting Global Temperatures by Exploiting Cointegration with Radiative Forcing. (2023). Benati, Luca. In: Diskussionsschriften. RePEc:ube:dpvwib:dp2308.

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2022Formal Institutional Failings and Informal Employment: Evidence from the Western Balkans. (2022). Williams, Colin ; Ardiana, Gashi. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:17:y:2022:i:2:p:83-95:n:11.

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2023TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022.

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2022Did equity returns and volatilities change after the 2016 Trump election victory?. (2022). Škrinjarić, Tihana ; Dedi, Lidija ; Yavas, Burhan F. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1291-1308.

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2022Contagious switching. (2022). Owyang, Michael ; Soques, Daniel ; Piger, Jeremy. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:415-432.

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2022An automated prior robustness analysis in Bayesian model comparison. (2022). Zhu, Dan ; Jacobi, Liana. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:3:p:583-602.

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2023Macroeconomic forecasting in times of crises. (2023). Zhong, Molin ; Guerroonquintana, Pablo. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:295-320.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2022Heterogeneity in Euro Area Monetary Policy Transmission: Results from a Large Multicountry BVAR Model. (2022). Mandler, Martin ; Volz, Ute ; Scharnagl, Michael. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:2-3:p:627-649.

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2022Business Cycles across Space and Time. (2022). Owyang, Michael ; Soques, Daniel ; Francis, Neville. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:4:p:921-952.

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2022Real-time nowcasting with sparse factor models. (2022). Hauber, Philipp. In: EconStor Preprints. RePEc:zbw:esprep:251551.

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Herman K. van Dijk is editor of


Journal
Econometrics and Statistics

Herman K. van Dijk has edited the books:


YearTitleTypeCited

Works by Herman K. van Dijk:


YearTitleTypeCited
2013Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox In: CREATES Research Papers.
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox.(2015) In: Journal of Statistical Software.
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2015Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox.(2015) In: Tinbergen Institute Discussion Papers.
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2013Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox.(2013) In: Working Papers.
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2010Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging. In: ANU Working Papers in Economics and Econometrics.
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2010Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging.(2010) In: Tinbergen Institute Discussion Papers.
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1975BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Unorthodox Application of Monte Carlo In: Econometric Institute Archives.
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1976PREDICTIVE MOMENTS OF SIMULTANEOUS ECONOMETRIC MODELS A Bayesian Approach In: Econometric Institute Archives.
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1976BAYESIAN ESTIMATES OF EQUATION SYSTEM PARAMETERS An Application of Integration by Monte Carlo In: Econometric Institute Archives.
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1978Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo..(1978) In: Econometrica.
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1978POSTERIOR ANALYSIS OF KLEINS MODEL In: Econometric Institute Archives.
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1980FURTHER EXPERIENCE IN BAYESIAN ANALYSIS USING MONTE CARLO INTEGRATION In: Econometric Institute Archives.
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1980Further experience in Bayesian analysis using Monte Carlo integration.(1980) In: Journal of Econometrics.
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1982MONTE CARLO ANALYSIS OF SKEW POSTERIOR DISTRIBUTIONS: AN ILLUSTRATIVE ECONOMETRIC EXAMPLE In: Econometric Institute Archives.
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1982POSTERIOR MOMENTS OF THE KLEIN-GOLDBERGER MODEL In: Econometric Institute Archives.
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1983POSTERIOR MOMENTS COMPUTED BY MIXED INTEGRATION In: Econometric Institute Archives.
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1985POSTERIOR MOMENTS COMPUTED BY MIXED INTEGRATION.(1985) In: Econometric Institute Archives.
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1985Posterior moments computed by mixed integration.(1985) In: Journal of Econometrics.
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1983EXPERIMENTS WITH SOME ALTERNATIVES FOR SIMPLE IMPORTANCE SAMPLING IN MONTE CARLO INTEGRATION In: Econometric Institute Archives.
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1985LIKELIHOOD DIAGNOSTICS AND BAYESIAN ANALYSIS OF A MICRO-ECONOMIC DISEQUILIBRIUM MODEL FOR RETAIL SERVICES In: Econometric Institute Archives.
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1985Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services.(1985) In: Journal of Econometrics.
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1986AN ALGORITHM FOR THE COMPUTATION OF POSTERIOR MOMENTS AND DENSITIES USING SIMPLE IMPORTANCE SAMPLING In: Econometric Institute Archives.
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