Dick van Dijk : Citation Profile

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

34

H index

72

i10 index

4326

Citations

RESEARCH PRODUCTION:

82

Articles

143

Papers

3

Chapters

RESEARCH ACTIVITY:

   29 years (1996 - 2025). See details.
   Cites by year: 149
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 229.    Total self citations: 80 (1.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2026-01-03    RAS profile: 2025-12-09    
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Relations with other researchers

Works with:

Kole, Erik (3)

Keijsers, Bart (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 (69)

Mignon, Valérie (58)

Osborn, Denise (57)

Balcilar, Mehmet (49)

Kapetanios, George (42)

Milas, Costas (41)

Medeiros, Marcelo (37)

JAWADI, Fredj (34)

Miller, Stephen (31)

Cavaliere, Giuseppe (29)

Teräsvirta, Timo (29)

Cites to:

Diebold, Francis (99)

Bollerslev, Tim (70)

Timmermann, Allan (67)

Watson, Mark (59)

Franses, Philip Hans (49)

Pesaran, Mohammad (47)

Andersen, Torben (40)

Engle, Robert (40)

Stock, James (39)

Perez Quiros, Gabriel (39)

Teräsvirta, Timo (39)

Main data

Where Dick van Dijk has published?

Journals with more than one article published# docs
International Journal of Forecasting14
Journal of Econometrics7
Journal of Business & Economic Statistics4
Oxford Bulletin of Economics and Statistics4
Journal of Economic Dynamics and Control3
Applied Financial Economics3
Journal of Empirical Finance3
Computational Statistics & Data Analysis3
Journal of Financial Econometrics3
Journal of Applied Econometrics3
Econometric Reviews2
Journal of Forecasting2
Journal of Banking & Finance2
Applied Economics2
The Review of Economics and Statistics2
Journal of Business & Economic Statistics2

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 Institute39
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 (2025 and 2024)

YearTitle of citing document
2024Globalization in Lifelong Gender Inclusive Education for Structural Transformation in Africa. (2024). Asongu, Simplice ; Agyemang-Mintah, Peter. In: Working Papers of The Association for Promoting Women in Research and Development in Africa (ASPROWORDA).. RePEc:aak:wpaper:24/002.

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2024Governance and Structural Transformation in Africa: Thresholds of Lifelong Gender Inclusive Education. (2024). Asongu, Simplice ; Akpa, Armand F. In: Working Papers of The Association for Promoting Women in Research and Development in Africa (ASPROWORDA).. RePEc:aak:wpaper:24/010.

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

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2024Governance and Structural Transformation in Africa: Thresholds of Lifelong Gender Inclusive Education. (2024). Asongu, Simplice ; Akpa, Armand F. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:24/037.

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2049Modeling Price Transmission between Farm and Retail Prices: A Soft Switches Approach. (2015). Hahn, William ; Blayney, Don ; Stewart, Hayden ; Davis, Christopher G. In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:204951.

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2024Tail calibration of probabilistic forecasts. (2024). Ziegel, Johanna ; Segers, Johan ; Koh, Jonathan ; Allen, Sam. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024018.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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

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

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2024Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2025Structural Periodic Vector Autoregressions. (2024). Dzikowski, Daniel ; Jentsch, Carsten. In: Papers. RePEc:arx:papers:2401.14545.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2024Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985.

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

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

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

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2025Kernel Three Pass Regression Filter. (2025). Jat, Rajveer ; Padha, Daanish. In: Papers. RePEc:arx:papers:2405.07292.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024High order approximations and simulation schemes for the log-Heston process. (2024). Lombardo, Edoardo ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:2407.17151.

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2024Evaluating Microscopic and Macroscopic Models for Derivative Contracts on Commodity Indices. (2024). Pallavicini, Andrea ; Nastasi, Emanuele ; Manzano, Alberto. In: Papers. RePEc:arx:papers:2408.00784.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2024Causality-Inspired Models for Financial Time Series Forecasting. (2024). Lu, Yutong ; Lin, XI ; Cucuringu, Mihai ; Oliveira, Daniel Cunha ; Fujita, Andre. In: Papers. RePEc:arx:papers:2408.09960.

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2024Model-based and empirical analyses of stochastic fluctuations in economy and finance. (2024). Zadourian, Rubina. In: Papers. RePEc:arx:papers:2408.16010.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024A Dynamic Spatiotemporal and Network ARCH Model with Common Factors. (2024). Otto, Philipp ; Mattera, Raffaele ; Dougan, Osman ; Tacspinar, Suleyman. In: Papers. RePEc:arx:papers:2410.16526.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2025Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate. (2024). Nevmyvaka, Yuriy ; Xu, Gang ; Tan, Xiaowei ; Gupta, Arkin ; Lin, Jiahe ; Chen, Haoxian ; Lam, Henry ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2412.11257.

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2024Direct Inversion for the Squared Bessel Process and Applications. (2024). Xu, Yifan ; Wiese, Anke. In: Papers. RePEc:arx:papers:2412.16655.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market. (2025). Chke, Katarzyna ; Uniejewski, Bartosz ; Weron, Rafal. In: Papers. RePEc:arx:papers:2503.02518.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model. (2025). Reisinger, Christoph ; Tsianni, Maria Olympia. In: Papers. RePEc:arx:papers:2504.14343.

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2025Modeling European Electricity Market Integration during turbulent times. (2025). Rossini, Luca ; Ravazzolo, Francesco ; Viselli, Andrea. In: Papers. RePEc:arx:papers:2506.23289.

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2025Binary Response Forecasting under a Factor-Augmented Framework. (2025). Yang, Xuanbin ; Liu, Fei ; Cong, Jiachen ; Cheng, Tingting. In: Papers. RePEc:arx:papers:2507.16462.

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2025Approximate Factor Model with S-vine Copula Structure. (2025). Li, Yu-Ning ; Han, Jialing. In: Papers. RePEc:arx:papers:2508.11619.

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2025Lifted Heston Model: Efficient Monte Carlo Simulation with Large Time Steps. (2025). Grzelak, Lech A ; Zaugg, Nicola F. In: Papers. RePEc:arx:papers:2510.08805.

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2025Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

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2025Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring. (2025). Flores-Silva, Daniela I ; Su, Alfonso ; Sordo, Miguel A. In: Papers. RePEc:arx:papers:2510.15934.

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2025Convexity of the Phillips Curve and Difficulty of Monetary Policy to Fight against Inflation. (2025). Menguy, Sverine. In: Journal of Economic Analysis. RePEc:bba:j00001:v:4:y:2025:i:3:p:90-110:d:436.

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2025Estimation and Forecasting of Russian Money Market Yield Curves. (2025). Magzhanov, Timur ; Fedorov, Dmitry ; Kartaev, Philipp. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:2:p:36-64.

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2024Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478.

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2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

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2024Revisiting the resource curse: Does volatility matter?. (2024). Kirat, Yassine. In: Kyklos. RePEc:bla:kyklos:v:77:y:2024:i:4:p:944-976.

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2024Asymptotic inference of the ARMA model with time‐functional variance noises. (2024). Ling, Shiqing ; Zhu, Enwen ; Cai, Bibi. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:3:p:1230-1258.

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2024A tale of two taxes: State‐dependency of tax policy. (2024). Ulubasoglu, Mehmet ; Tang, Xueli ; Omay, Tolga ; Gahramanov, Emin ; Arin, Kerim. In: Scottish Journal of Political Economy. RePEc:bla:scotjp:v:71:y:2024:i:1:p:1-27.

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2024Hidden Threshold Models with applications to asymmetric cycles. (2024). Harvey, Andrew ; Simons, J. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2448.

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2025A Survey-Based Shifting-Endpoint Dynamic Term Structure Model of Interest Rates: Working Paper 2025-03. (2025). McGrane, Michael. In: Working Papers. RePEc:cbo:wpaper:60888.

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2024Learning about the Long Run. (2024). Nakamura, Emi ; Farmer, Leland E ; Steinsson, JN. In: Department of Economics, Working Paper Series. RePEc:cdl:econwp:qt0tn1s1hp.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2025Forecasting the Impact of Extreme Weather Events on Electricity Prices in Italy: A GARCH-MIDAS Approach with Enhanced Variable Selection. (2025). Riso, Luigi ; Zoia, Maria Grazia ; Guerzoni, Marco. In: DISCE - Working Papers del Dipartimento di Politica Economica. RePEc:ctc:serie5:dipe0043.

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2024Governance and Structural Transformation in Africa: Thresholds of Lifelong Gender Inclusive Education. (2024). Asongu, Simplice ; Akpa, Armand F. In: Journal of Africa SEER Centre(ASC). RePEc:dbm:wpaper:24/002.

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2024Globalization in Lifelong Gender Inclusive Education for Structural Transformation in Africa. (2024). Agyemang-Mintah, Peter ; Asongu, Simplice A. In: Journal of Africa SEER Centre(ASC). RePEc:dbm:wpaper:24/016.

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2024Evaluating criticality of strategic metals: Are the Herfindahl–Hirschman Index and usual concentration thresholds still relevant?. (2024). Mignon, Valérie ; HACHE, Emmanuel ; Bucciarelli, Pauline. In: EconomiX Working Papers. RePEc:drm:wpaper:2024-3.

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

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2025Remittances, financial development, and economic growth in African countries. (2025). Semedo, Gervasio ; Diouf, Ibrahima ; Beguy, Olivier ; Nacanabo, Amad ; Kamani, Eric Fina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00062.

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2024Improving probabilistic wind speed forecasting using M-Rice distribution and spatial data integration. (2024). Baggio, Roberta ; Muzy, Jean-Franois. In: Applied Energy. RePEc:eee:appene:v:360:y:2024:i:c:s030626192400223x.

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2024Application-oriented assessment of grid-connected PV-battery system with deep reinforcement learning in buildings considering electricity price dynamics. (2024). Kuang, Zhonghong ; Liu, Xiaohua ; Zhang, Tao ; Chen, QI. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005464.

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2025Univariate and multivariate forecasting of the electricity futures curve using Dynamic Recurrent Neural Networks. (2025). Castello, Oleksandr ; Resta, Marina. In: Applied Energy. RePEc:eee:appene:v:394:y:2025:i:c:s0306261925008128.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2025Financial conditions, business cycle fluctuations and growth-at-risk. (2025). Manganelli, Simone ; Falconio, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000752.

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2025Mitigating energy poverty in the European union welfare states through renewable energy and technological innovation. (2025). Mara, Eugenia Ramona. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:438-460.

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

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2025Bayesian analysis for functional coefficient conditional autoregressive range model with applications. (2025). Qian, Yixin ; Wang, Bin ; Yu, Enping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003602.

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2025Pension sustainability and government effectiveness in the presence of population aging. (2025). Cho, Dooyeon ; Lee, Kyung-Woo. In: Economic Modelling. RePEc:eee:ecmode:v:147:y:2025:i:c:s0264999325000434.

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2025Migrant remittances and real exchange rate dynamics in developing countries: Evidence of a U-shaped relationship. (2025). rey, serge ; Mughal, Mazhar ; ben Atta, Oussama. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s026499932500080x.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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

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2024Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615.

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2024The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing. (2024). Hung, Jui-Cheng ; Yang, Jimmy J ; Liu, Hung-Chun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001852.

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2025Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information. (2025). Xu, Buyun ; Wu, Zhimin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000087.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2025Realized candlestick wicks. (2025). Nolte, Ingmar ; Li, Yifan ; Yu, Shifan. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000685.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2025Structural characteristics and non-linear fiscal multipliers. (2025). Dubey, Amlendu ; Gupta, Mahima. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000694.

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

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

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Examining the non-linear effects of monetary policy on carbon emissions. (2024). Yang, Cunyi ; Chen, LI ; Wu, Junwei. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988323007041.

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2024Re-examining crude oil and natural gas price relationship: Evidence from time-varying regime-switching models. (2024). Hasanli, Mubariz. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002184.

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2024Exploring non-linear causal nexus between economic growth and energy consumption across various R&D regimes: Cross-country evidence from a PSTR model. (2024). Mamkhezri, Jamal ; Heshmati, Almas. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002275.

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2025Geopolitical risk and vulnerability of energy markets. (2025). Liu, Zhenhua ; Ji, Qiang ; Ding, Zhihua ; Yuan, Xinting ; Wang, Yushu. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007643.

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2025Evaluating criticality of strategic metals: Are the Herfindahl–Hirschman Index and usual concentration thresholds still relevant?. (2025). Mignon, Valérie ; Bucciarelli, Pauline ; Hache, Emmanuel. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000313.

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2025The impact of artificial intelligence on the energy consumption of corporations: The role of human capital. (2025). Lee, Chien-Chiang ; Chen, Pei-Fen ; Zou, Jinyang. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000544.

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2025The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets. (2025). Li, Han ; Ignatieva, Katja ; Gmez, Fabio ; Bgin, Jean-Franois. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001197.

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2024Digitalization as a trigger for a rebound effect of electricity use. (2024). Qin, Xiong-Feng ; Peng, Hua-Rong. In: Energy. RePEc:eee:energy:v:300:y:2024:i:c:s0360544224013586.

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2024The contribution of clean energy consumption and production to sustainable economic development: New insights from the PSTR model. (2024). Yin, Kedong ; Wang, Yuchen ; Zhang, Qinyi ; Jiang, Peng ; Cao, Yun. In: Energy. RePEc:eee:energy:v:311:y:2024:i:c:s0360544224031773.

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2025Developing renewable energy in the face of extreme climate: Implications of tertiarization. (2025). Lee, Chien-Chiang ; Wu, Zhihang. In: Energy. RePEc:eee:energy:v:321:y:2025:i:c:s0360544225011107.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2025Market efficiency across intra-daily sampling frequencies for Brent crude oil futures. (2025). Ewald, Christian-Oliver ; Haugom, Erik ; Smith-Meyer, Erik. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005113.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Is there an optimal level of leverage? The case of banks and non-bank institutions in Europe. (2024). Cincinelli, Peter ; Urga, Giovanni ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002552.

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2024Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815.

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2025Optimal financial inclusion for financial stability: Empirical insight from developing countries. (2025). Sebai, Meriem ; Talbi, Omar ; Guerchi-Mehri, Hella. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s154461232401496x.

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2025Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

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2024Competitive dynamics and risk of non-life insurance in Taiwan: An empirical study. (2024). Wang, Mei-Chih ; Chen, Guan-Chih. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000863.

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

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2024Forecasting exchange rate volatility: An amalgamation approach. (2024). Souropanis, Ioannis ; Alexandridis, Antonios K ; Panopoulou, Ekaterini. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001331.

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2024Forecasting in factor augmented regressions under structural change. (2024). Kapetanios, George ; Massacci, Daniele. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:62-76.

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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.
[Full Text][Citation analysis]		paper28
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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This paper has nother version. Agregated cites: 28		paper
2015Dynamic Factor Models for the Volatility Surface In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2017Panel Smooth Transition Regression Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper455
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
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2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
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This paper has nother version. Agregated cites: 455		paper
2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
[Citation analysis]		paper26
2011The euro introduction and noneuro currencies.(2011) In: Applied Financial Economics.
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This paper has nother version. Agregated cites: 26		article
2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
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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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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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2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers.
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2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper33
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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This paper has nother version. Agregated cites: 33		paper
1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
[Citation analysis]		article63
1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 63		paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article110
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has nother version. Agregated cites: 110		paper
2006Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article65
2001Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.(2001) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 65		paper
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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2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article36
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy.(2003) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 36		paper
2014Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article26
2008Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation.(2008) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
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This paper has nother version. Agregated cites: 26		paper
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
[Full Text][Citation analysis]		paper25
2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 25		paper
2001MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article30
2007Instability and nonlinearity in the euro area Phillips curve In: Working Paper Series.
[Full Text][Citation analysis]		paper64
2009Instability and Nonlinearity in the Euro-Area Phillips Curve.(2009) In: International Journal of Central Banking.
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This paper has nother version. Agregated cites: 64		article
2002Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series In: Royal Economic Society Annual Conference 2002.
[Full Text][Citation analysis]		paper16
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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2001Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Economics Discussion Paper Series.
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2004Forecasting US Inflation Using Model Averaging In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper3
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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This paper has nother version. Agregated cites: 4		paper
2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
[Full Text][Citation analysis]		article33
2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
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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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This paper has nother version. Agregated cites: 33		paper
2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2007Forecast comparison of principal component regression and principal covariate regression In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2005Forecast comparison of principal component regression and principal covariate regression.(2005) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 10		paper
2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article24
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]		article55
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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This paper has nother version. Agregated cites: 5		paper
2011Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 5		paper
2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article13
2013Forecasting volatility with the realized range in the presence of noise and non-trading In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article10
2012Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management.
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This paper has nother version. Agregated cites: 10		paper
2005Testing for causality in variance in the presence of breaks In: Economics Letters.
[Full Text][Citation analysis]		article42
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 nother version. Agregated cites: 42		paper
2002A nonlinear long memory model, with an application to US unemployment In: Journal of Econometrics.
[Full Text][Citation analysis]		article76
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.
[Full Text][Citation analysis]		article163
2006Measuring volatility with the realized range.(2006) In: Econometric Institute Research Papers.
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This paper has nother version. Agregated cites: 163		paper
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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This paper has nother version. Agregated cites: 2		paper
2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article94
2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
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This paper has nother version. Agregated cites: 94		paper
2023Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2022Moments, Shocks and Spillovers in Markov-switching VAR Models.(2022) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 2		paper
2005The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? In: Emerging Markets Review.
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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]		article56
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]		article20
2015Forecasting day-ahead electricity prices: Utilizing hourly prices In: Energy Economics.
[Full Text][Citation analysis]		article86
2013Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices.(2013) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 86		paper
2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article19
2005The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting.
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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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2024Accelerating peak dating in a dynamic factor Markov-switching model In: International Journal of Forecasting.
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2020Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model.(2020) In: Tinbergen Institute Discussion Papers.
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2025Does economic uncertainty predict real activity in real time? In: International Journal of Forecasting.
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2023Does economic uncertainty predict real activity in real-time?.(2023) In: Tinbergen Institute Discussion Papers.
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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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This paper has nother version. Agregated cites: 47		paper
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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2006Semi-Parametric Modelling of Correlation Dynamics In: Advances in Econometrics.
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2005Semi-Parametric Modelling of Correlation Dynamics.(2005) In: Econometric Institute Research Papers.
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2016Dynamic Factor Models for the Volatility Surface☆ In: Advances in Econometrics.
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2008Chapter 15 Bayesian Model Averaging in the Presence of Structural Breaks In: Frontiers of Economics and Globalization.
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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.
[Full Text][Citation analysis]		paper23
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.
[Full Text][Citation analysis]		paper81
1999Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 81		article
1997Modelling Multiple Regimes in the Business Cycle In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper87
1997Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
1997Do We Often Find ARCH Because Of Neglected Outliers? In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper3
1997Nonlinear Error-Correction Models for Interest Rates in The Netherlands In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper9
1998Modeling asymmetric volatility in weekly Dutch temperature data In: Econometric Institute Research Papers.
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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.
[Full Text][Citation analysis]		paper13
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.
[Full Text][Citation analysis]		paper0
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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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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