10
H index
11
i10 index
501
Citations
Jan G. De Gooijer : Citation Profile
Universiteit van Amsterdam | RESEARCH PRODUCTION: 47 Articles 27 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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46 years (1977 - 2023). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jan G. De Gooijer. | Is cited by:
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Main data
Where Jan G. De Gooijer has published?
| Journals with more than one article published | # docs |
|---|---|
| International Journal of Forecasting | 13 |
| Computational Statistics & Data Analysis | 6 |
| Journal of Time Series Analysis | 2 |
| Communications in Statistics - Theory and Methods | 2 |
| Scandinavian Journal of Statistics | 2 |
| Statistics & Probability Letters | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Tinbergen Institute Discussion Papers / Tinbergen Institute | 14 |
| University of Amsterdam, Actuarial Science and Econometrics Archive / University of Amsterdam, Faculty of Economics and Business | 3 |
| Ume� Economic Studies / Ume� University, Department of Economics | 3 |
Recent works citing Jan G. De Gooijer (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | QxEAI -- Automated probabilistic forecasting with Quantum-like evolutionary algorithm. (2024). Xin, Lizhi. In: Papers. RePEc:arx:papers:2405.03701. Full description at Econpapers || Download paper |
| 2024 | 30 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2024 | Probabilistic forecast-based portfolio optimization of electricity demand at low aggregation levels. (2024). Jeon, Joo Young ; Alvarenga, Estevo ; Park, Jungyeon ; Ahn, Kwangwon ; Kim, Hokyun ; Petropoulos, Fotios ; Li, Ran. In: Applied Energy. RePEc:eee:appene:v:353:y:2024:i:pb:s0306261923014733. Full description at Econpapers || Download paper |
| 2024 | Estimation of complier expected shortfall treatment effects with a binary instrumental variable. (2024). He, Xuming ; Tan, Kean Ming ; Wei, BO. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002889. Full description at Econpapers || Download paper |
| 2024 | Inflation prediction in emerging economies: Machine learning and FX reserves integration for enhanced forecasting. (2024). Mirza, Nawazish ; Umar, Muhammad ; Naqvi, Bushra ; Abbas, Syed Kumail. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001704. Full description at Econpapers || Download paper |
| 2024 | Machine learning and economic forecasting: The role of international trade networks. (2024). Silva, Thiago ; Berri, Paulo Victor ; Amancio, Diego R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:649:y:2024:i:c:s0378437124004862. Full description at Econpapers || Download paper |
| 2024 | Adaptive market hypothesis: A comparison of Islamic and conventional stock indices. (2024). Ali, Shahid ; Ullah, Ihsan ; Akbar, Muhammad ; Rehman, Naser. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:460-477. Full description at Econpapers || Download paper |
| 2024 | . Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2025 | . Full description at Econpapers || Download paper |
| 2025 | Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x. Full description at Econpapers || Download paper |
Works by Jan G. De Gooijer:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1977 | On the inverse of the autocovariance matrix for a general mixed autoregressive movie average process In: University of Amsterdam, Actuarial Science and Econometrics Archive. [Full Text][Citation analysis] | paper | 0 |
| 1980 | FORMULAE FOR THE COVARIANCE STRUCTURE OF THE SAMPLED AUTOCOVARIANCES FROM SERIES GENERATED BY GENERAL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESSES OF ORDER (n,d,q) d = 0 or 1. In: University of Amsterdam, Actuarial Science and Econometrics Archive. [Full Text][Citation analysis] | paper | 0 |
| 1983 | Approximate moments for the sampled space-time autocorrelation function In: University of Amsterdam, Actuarial Science and Econometrics Archive. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns In: CeNDEF Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns.(2012) In: Central European Journal of Economic Modelling and Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2009 | Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns.(2009) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2003 | On Additive Conditional Quantiles With High Dimensional Covariates In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 34 |
| 1999 | Lagged Regression Residuals and Serial-Correlation Tests. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 0 |
| 1998 | On threshold moving‐average models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 2001 | Cross‐validation Criteria for Setar Model Selection In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
| 2007 | Semiparametric Regression with Kernel Error Model In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 15 |
| 2006 | Semiparametric Regression with Kernel Error Model.(2006) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2011 | Efficient Estimation of an Additive Quantile Regression Model In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 1 |
| 2009 | Efficient Estimation of an Additive Quantile Regression Model.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2003 | On Conditional Density Estimation In: Statistica Neerlandica. [Full Text][Citation analysis] | article | 18 |
| 2002 | On Conditional Density Estimation.(2002) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2020 | Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States Stock Exchanges In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2005 | Estimating threshold cointegrated systems In: Economics Bulletin. [Full Text][Citation analysis] | article | 1 |
| 2022 | Kernel-based hidden Markov conditional densities In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 1996 | Component extraction analysis of multivariate time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2000 | Nonparametric conditional predictive regions for time series In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 11 |
| 2003 | Modeling vector nonlinear time series using POLYMARS In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 2006 | Detecting change-points in multidimensional stochastic processes In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
| 2011 | Some exact tests for manifest properties of latent trait models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 3 |
| 2010 | Some Exact Tests for Manifest Properties of Latent Trait Models.(2010) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1989 | Testing non-linearities in world stock market prices In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 1980 | Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1 In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 2003 | Nonlinear stochastic inflation modelling using SEASETARs In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 1995 | Oliver Duncan Anderson: 1940-1995 In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 1997 | Forecasting and seasonality In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 2002 | Introduction to forecasting decisions in conflict situations In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2004 | Forecasting threshold cointegrated systems In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 24 |
| 2004 | Editorial Announcement In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2005 | Introduction to nonlinearities, business cycles, and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 2006 | 25 years of time series forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 190 |
| 2019 | Semiparametric quantile averaging in the presence of high-dimensional predictors In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 1 |
| 1990 | The role of time series analysis in forecasting: A personal view In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 1992 | On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 1992 | Some recent developments in non-linear time series modelling, testing, and forecasting In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 69 |
| 1993 | Nonlinear dynamics, chaos, and instability : William A. Brock, David A. Hsieh and Blake LeBaron, 1991, (MIT Press, Cambridge) 328, pp. [UK pound]29.25. ISBN 0-262-02329-6 In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 1993 | On predictive least squares principles : C.Z. Wei, The Annals of Statistics 20 (1992), 1-42 In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
| 1998 | Forecasting exchange rates using TSMARS In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 7 |
| 2023 | On portmanteau-type tests for nonlinear multivariate time series In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 0 |
| 2008 | Parametric and nonparametric Granger causality testing: Linkages between international stock markets In: Physica A: Statistical Mechanics and its Applications. [Full Text][Citation analysis] | article | 10 |
| 1998 | On forecasting SETAR processes In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 19 |
| 2002 | Mean squared error properties of the kernel-based multi-stage median predictor for time series In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 3 |
| 2021 | A multi-step kernel–based regression estimator that adapts to error distributions of unknown form In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
| 1997 | MODEL SELECTION BY MAXIMUM ENTROPY In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
| 1996 | Testing Linearity against Nonlinear Moving Average Models In: SSE/EFI Working Paper Series in Economics and Finance. [Citation analysis] | paper | 0 |
| 1997 | Testing Linearity against Nonlinear Moving Average Models.(1997) In: Umeå Economic Studies. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2000 | ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH In: Umeå Economic Studies. [Citation analysis] | paper | 13 |
| 2004 | Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2000 | Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH.(2000) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2007 | Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges In: Umeå Economic Studies. [Full Text][Citation analysis] | paper | 5 |
| 2023 | Penalized Averaging of Quantile Forecasts from GARCH Models with Many Exogenous Predictors In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] | article | 0 |
| 2005 | 25 Years of IIF Time Series Forecasting: A Selective Review In: Monash Econometrics and Business Statistics Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2005 | 25 Years of IIF Time Series Forecasting: A Selective Review.(2005) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2021 | Asymmetric vector moving average models: estimation and testing In: Computational Statistics. [Full Text][Citation analysis] | article | 0 |
| 1992 | Dynamic factor analysis of nonstationary multivariate time series In: Psychometrika. [Full Text][Citation analysis] | article | 14 |
| 2008 | Partial sums of lagged cross-products of AR residuals and a test for white noise In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2007 | Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities In: Journal of Applied Statistics. [Full Text][Citation analysis] | article | 5 |
| 2014 | Asymptotically Informative Prior for Bayesian Analysis In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 2011 | Asymptotically Informative Prior for Bayesian Analysis.(2011) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2016 | Non parametric portmanteau tests for detecting non linearities in high dimensions In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
| 1999 | Nonparametric Regression with Serially Correlated Errors In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2004 | On the u-th Geometric Conditional Quantile In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2005 | Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2008 | MDL Mean Function Selection in Semiparametric Kernel Regression Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Efficient Estimation of an Additive Quantile Regression In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 1987 | Higher order moments of bilinear time series processes with symmetrically distributed errors In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
| 1987 | Higher order moments of bilinear time series processes with symmetrically distributed errors.(1987) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper |
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