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

4416

Citations

RESEARCH PRODUCTION:

83

Articles

144

Papers

3

Chapters

RESEARCH ACTIVITY:

   29 years (1996 - 2025). See details.
   Cites by year: 152
   Journals where Dick van Dijk has often published
   Relations with other researchers
   Recent citing documents: 196.    Total self citations: 81 (1.8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva27
   Updated: 2026-06-13    RAS profile: 2025-12-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Kole, Erik (3)

Keijsers, Bart (2)

Lange, Rutger-Jan (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 (60)

Osborn, Denise (57)

Balcilar, Mehmet (49)

Kapetanios, George (42)

Milas, Costas (41)

Medeiros, Marcelo (37)

JAWADI, Fredj (34)

Miller, Stephen (31)

Perron, Pierre (29)

Ravazzolo, Francesco (29)

Cites to:

Diebold, Francis (99)

Bollerslev, Tim (70)

Timmermann, Allan (67)

Watson, Mark (58)

Franses, Philip Hans (49)

Pesaran, Mohammad (47)

Andersen, Torben (40)

Teräsvirta, Timo (39)

Engle, Robert (39)

Perez Quiros, Gabriel (39)

Stock, James (38)

Main data

Where Dick van Dijk has published?

Journals with more than one article published# docs
International Journal of Forecasting14
Journal of Econometrics7
Oxford Bulletin of Economics and Statistics4
Journal of Business & Economic Statistics4
Journal of Financial Econometrics3
Applied Financial Economics3
Computational Statistics & Data Analysis3
Journal of Empirical Finance3
Journal of Economic Dynamics and Control3
Journal of Applied Econometrics3
Journal of Applied Econometrics2
Journal of Banking & Finance2
Econometric Reviews2
Applied Economics2
The Review of Economics and Statistics2
Journal of Business & Economic Statistics2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute46
Tinbergen Institute Discussion Papers / Tinbergen 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 (2026 and 2025)

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Modeling European electricity market integration during turbulent times. (2025). Rossini, Luca ; Ravazzolo, Francesco ; Viselli, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:376266.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2026Kullback-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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Driver Identification and PCA Augmented Selection Shrinkage Framework for Nordic System Price Forecasting. (2025). Sadabad, Yousef Adeli ; Hesamzadeh, Mohammad Reza ; Bagherpour, Matin ; Dan, Gyorgy ; Biggar, Darryl R. In: Papers. RePEc:arx:papers:2509.18887.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2026Beyond Returns: A Candlestick-Based Approach to Spot Covariance Estimation. (2025). Simsek, Yasin. In: Papers. RePEc:arx:papers:2510.12911.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts. (2025). Nikolopoulos, Sotirios D. In: Papers. RePEc:arx:papers:2512.00916.

Full description at Econpapers || Download paper

2025Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing. (2025). Ni, Ying ; Dimitrov, Marko ; Malyarenko, Anatoliy. In: Papers. RePEc:arx:papers:2601.00815.

Full description at Econpapers || Download paper

2026Spectral Dynamics and Regularization for High-Dimensional Copulas. (2026). Gubbels, Koos B ; Lucas, Andre. In: Papers. RePEc:arx:papers:2601.13281.

Full description at Econpapers || Download paper

2026Realized range-based estimation of integrated variance. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.20463.

Full description at Econpapers || Download paper

2026Keeping Up with the Correlations: Stochastic Spot/Volatility Correlation and Exotic Pricing. (2026). Higgins, Mark. In: Papers. RePEc:arx:papers:2602.01376.

Full description at Econpapers || Download paper

2026Quantum Speedups for Derivative Pricing Beyond Black-Scholes. (2026). Harrow, Aram ; Chakrabarti, Shouvanik ; Otter, Rob ; Che, Charlie ; Pistoia, Marco ; Liu, Jin-Peng ; Sun, Yue ; Herman, Dylan. In: Papers. RePEc:arx:papers:2602.03725.

Full description at Econpapers || Download paper

2026Asymptotic theory of range-based multipower variation. (2026). Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2602.19287.

Full description at Econpapers || Download paper

2026VOLatility Archive for Realized Estimates (VOLARE). (2026). Spagnolo, Fabio ; Otranto, Edoardo ; Gallo, Giampiero ; Insana, Alessandra ; Cruciani, Giulia ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2602.19732.

Full description at Econpapers || Download paper

2026Subsample-Based Estimation under Dynamic Contamination. (2026). Yang, Yukai ; Sandberg, Rickard. In: Papers. RePEc:arx:papers:2604.17676.

Full description at Econpapers || Download paper

2026Large-Scale Asset Selection via Metric Dependence with Enriched High Frequency Information. (2026). Chen, Xin. In: Papers. RePEc:arx:papers:2605.02326.

Full description at Econpapers || Download paper

2026Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models. (2026). Guillaume, Tristan. In: Papers. RePEc:arx:papers:2605.06677.

Full description at Econpapers || Download paper

2026Double Descent and Benign Overfitting in Macroeconomic Forecasting. (2026). Pettenuzzo, Davide ; Huber, Florian ; Carriero, Andrea. In: Papers. RePEc:arx:papers:2605.15358.

Full description at Econpapers || Download paper

2026Tweedies Formula and Score-Driven Updating. (2026). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2605.15902.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025The Impact of Private Equity on Quality of Reporting and Acquisition Premiums in Management Buyouts. (2025). Yu, Yang ; Li, Chen. In: Accounting and Finance. RePEc:bla:acctfi:v:65:y:2025:i:4:p:4187-4229.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Yield curve dynamics and fiscal policy shocks. (2025). Kučera, Adam ; Kočenda, Evžen ; Koenda, Even ; Marl, Ale ; Kuera, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:178:y:2025:i:c:s0165188925001101.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Non-linear dynamics of inflation aversion in the Euro Area: Evidence from a Panel Smooth Transition model. (2025). Agba, Komlan Eli. In: Economic Modelling. RePEc:eee:ecmode:v:153:y:2025:i:c:s0264999325003384.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Do oil price changes contain useful predictive information about the U.S. bear stock market?. (2025). Lee, Wei-Ming ; Wu, Shue-Jen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001044.

Full description at Econpapers || Download paper

2026Extreme weather events as the main driver of electricity price volatility in Italy: A GARCH-MIDAS approach with machine learning-based variable selection. (2026). Guerzoni, Marco ; Riso, Luigi ; Zoia, Grazia M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001524.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Structural periodic vector autoregressions. (2025). Dzikowski, Daniel ; Jentsch, Carsten. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001538.

Full description at Econpapers || Download paper

2026A computationally efficient mixture innovation model for time-varying parameter regressions. (2026). He, Zhongfang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:37:y:2026:i:c:p:250-269.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Foreign currency forecasting in emerging markets: What can stock and bond markets tell us?. (2025). Phylaktis, Kate ; Yamani, Ehab. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000635.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Nonlinear impacts of industrial intelligence on synergistic reduction of pollution and carbon emissions: The role of technological factors. (2025). Wang, Ping ; Chen, Gang ; Zhu, Bangzhu. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325006243.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Assessment of the impact of electricity market prices on pumped hydro storage operation with renewable generation. (2025). Naval, Natalia ; Yusta, Jose M. In: Energy. RePEc:eee:energy:v:336:y:2025:i:c:s036054422504068x.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Do EU-China spillover effects inhibit Chinas carbon market volatility? A mixed data sampling approach. (2025). Yi, Yang ; Fang, Yan ; Chen, Xiaojing ; Zhu, Chen. In: International Review of Financial Analysis. RePEc:eee:finana:v:106:y:2025:i:c:s1057521925006532.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025When timing matters: Regime-dependent delays in exchange rate fundamentals. (2025). Oliveira, Lucas M ; Alencar, Airlane P. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pg:s1544612325021944.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Nonparametric identification of factors for the cross-section of Latin American stock returns. (2025). Zuluaga-Rendn, Simn ; Agudelo, Diego A. In: Global Finance Journal. RePEc:eee:glofin:v:68:y:2025:i:c:s1044028325000997.

Full description at Econpapers || Download paper

2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

Full description at Econpapers || Download paper

2025Dynamic time series modelling and forecasting of COVID-19 in Norway. (2025). Nymoen, Ragnar ; Brdsen, Gunnar. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:251-269.

Full description at Econpapers || Download paper

2025ABC-based forecasting in misspecified state space models. (2025). Loaiza-Maya, Rubn ; Weerasinghe, Chaya ; Frazier, David T ; Martin, Gael M. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:270-289.

Full description at Econpapers || Download paper

2025Machine learning for satisficing operational decision making: A case study in blood supply chain. (2025). Abbasi, Babak ; Hosseinifard, Zahra ; Abolghasemi, Mahdi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:3-19.

Full description at Econpapers || Download paper

2025Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2025). Rossini, Luca ; Pfarrhofer, Michael ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:361-376.

Full description at Econpapers || Download paper

2025Forecasting house price growth rates with factor models and spatio-temporal clustering. (2025). Franses, Philip Hans ; Mattera, Raffaele. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:398-417.

Full description at Econpapers || Download paper

2025Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2025). Pedersen, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:475-486.

Full description at Econpapers || Download paper

2025Guiding supervisors in artificial intelligence-enabled forecasting: Understanding the impacts of salience and detail on decision-making. (2025). Lee, Yun Shin ; Khosrowabadi, Naghmeh ; Hoberg, Kai. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:2:p:716-732.

Full description at Econpapers || Download paper

2025Fan charts 2.0: Flexible forecast distributions with expert judgement. (2025). Sokol, Andrej. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1148-1164.

Full description at Econpapers || Download paper

2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

Full description at Econpapers || Download paper

2025A survey of models and methods used for forecasting when investing in financial markets. (2025). Swanson, Norman R ; Maung, Kenwin. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1355-1382.

Full description at Econpapers || Download paper

2025Stochastic arbitrage with market index options. (2025). Beare, Brendan ; Zheng, Zhongxi ; Seo, Juwon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000160.

Full description at Econpapers || Download paper

2025Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model. (2025). Honig, Igor ; Kircher, Felix. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001256.

Full description at Econpapers || Download paper

2024Private bank deposits and macro/fiscal risk in the euro-area. (2024). Arghyrou, Michael G ; Gadea, Maria-Dolores ; Kontonikas, Alexandros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001936.

Full description at Econpapers || Download paper

2025Optimal credit development regimes and impact of foreign capital flows. (2025). Babou, Franois Dassises. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001184.

Full description at Econpapers || Download paper

2025Systemic risk in global FX markets: Measurement and determinants. (2025). Jiang, Yanting ; Chen, Yanghan ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:159:y:2025:i:c:s0261560625001706.

Full description at Econpapers || Download paper

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

Works by Dick van Dijk:

YearTitleTypeCited
2012On the Effects of Private Information on Volatility In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2011On the Effects of Private Information on Volatility.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2013Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2016Nonlinear forecasting with many predictors using kernel ridge regression.(2016) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2011Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		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]		paper475
2017Panel Smooth Transition Regression Models.(2017) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 475		paper
2005Panel Smooth Transition Regression Models.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 475		paper
2011The Euro-introduction and non-Euro currencies In: LIDAM Reprints ISBA.
[Citation analysis]		paper26
2011The euro introduction and noneuro currencies.(2011) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2006The Euro Introduction and Non-Euro Currencies.(2006) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2000Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper17
2000Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2000Asymmetric and common absorption of shocks in nonlinear autoregressive models.(2000) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper6
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2008Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper33
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2010Out-of-sample comparison of copula specifications in multivariate density forecasts.(2010) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2008Out-of-sample comparison of copula specifications in multivariate density forecasts.(2008) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2008Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts.(2008) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2026Implicit score-driven filters for time-varying parameter models In: Papers.
[Full Text][Citation analysis]		paper4
2024Implicit score-driven filters for time-varying parameter models.(2024) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
1999Testing for Smooth Transition Nonlinearity in the Presence of Outliers. In: Journal of Business & Economic Statistics.
[Citation analysis]		article65
1996Testing for Smooth Transition Nonlinearity in the Presence of Outliers.(1996) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2003Time-Varying Smooth Transition Autoregressive Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article112
2000Time-Varying Smooth Transition Autoregressive Models.(2000) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 112		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2009Do Leading Indicators Lead Peaks More Than Troughs? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article22
2007Do leading indicators lead peaks more than troughs?.(2007) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2013Corporate Governance and the Value of Excess Cash Holdings of Large European Firms In: European Financial Management.
[Full Text][Citation analysis]		article16
2008Corporate Governance and the Value of Excess Cash Holdings of Large European Firms.(2008) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2002Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article6
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article36
2003Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy.(2003) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
[Full Text][Citation analysis]		paper27
2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2001Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2001Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series.(2001) In: Economics Discussion Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2003The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series In: Econometrics Journal.
[Full Text][Citation analysis]		article33
2001The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2002The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series.(2002) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2006Sample size, lag order and critical values of seasonal unit root tests In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2007Forecast comparison of principal component regression and principal covariate regression In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2005Forecast comparison of principal component regression and principal covariate regression.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2007Absorption of shocks in nonlinear autoregressive models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2011Measuring and Predicting Heterogeneous Recessions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2014Comparing the accuracy of multivariate density forecasts in selected regions of the copula support In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article14
2013Forecasting volatility with the realized range in the presence of noise and non-trading In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article10
2012Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading.(2012) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2005Testing for causality in variance in the presence of breaks In: Economics Letters.
[Full Text][Citation analysis]		article42
2004Testing for causality in variance in the presence of breaks.(2004) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2004Testing for causality in variance in the presence of breaks.(2004) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 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.
[Full Text][Citation analysis]		article78
2005A unified approach to nonlinearity, structural change and outliers.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2007Measuring volatility with the realized range In: Journal of Econometrics.
[Full Text][Citation analysis]		article172
2006Measuring volatility with the realized range.(2006) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 172		paper
2010Twenty years of cointegration In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2010Cointegration in a historical perspective In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2009Cointegration in a historical perspective.(2009) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2011Likelihood-based scoring rules for comparing density forecasts in tails In: Journal of Econometrics.
[Full Text][Citation analysis]		article95
2011Likelihood-based scoring rules for comparing density forecasts in tails.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 95		paper
2023Moments, shocks and spillovers in Markov-switching VAR models In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2022Moments, Shocks and Spillovers in Markov-switching VAR Models.(2022) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2005The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? In: Emerging Markets Review.
[Full Text][Citation analysis]		article21
2005The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?.(2005) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2003Stock selection strategies in emerging markets In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article57
2001Stock Selection Strategies in Emerging Markets.(2001) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		paper
2014Order flow and volatility: An empirical investigation In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2014Predicting volatility and correlations with Financial Conditions Indexes In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article21
2015Forecasting day-ahead electricity prices: Utilizing hourly prices In: Energy Economics.
[Full Text][Citation analysis]		article93
2013Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 93		paper
2017Intraday price discovery in fragmented markets In: Journal of Financial Markets.
[Full Text][Citation analysis]		article20
2005The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production In: International Journal of Forecasting.
[Full Text][Citation analysis]		article37
2001The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production.(2001) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2005Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination In: International Journal of Forecasting.
[Full Text][Citation analysis]		article99
2004Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
[Citation analysis]
This paper has nother version. Agregated cites: 99		paper
2004Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination.(2004) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 99		paper
2005Reply In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2005Forecasting aggregates using panels of nonlinear time series In: International Journal of Forecasting.
[Full Text][Citation analysis]		article13
2004Forecasting aggregates using panels of nonlinear time series.(2004) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2006Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages. In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2008Macroeconomic forecasting with matched principal components In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2009Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting.
[Full Text][Citation analysis]		article108
2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison In: International Journal of Forecasting.
[Full Text][Citation analysis]		article18
2011Real-time macroeconomic forecasting with leading indicators: An empirical comparison.(2011) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2016Getting the most out of macroeconomic information for predicting excess stock returns In: International Journal of Forecasting.
[Full Text][Citation analysis]		article28
2024Accelerating peak dating in a dynamic factor Markov-switching model In: International Journal of Forecasting.
[Full Text][Citation analysis]		article3
2020Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model.(2020) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2025Does economic uncertainty predict real activity in real time? In: International Journal of Forecasting.
[Full Text][Citation analysis]		article1
2023Does economic uncertainty predict real activity in real-time?.(2023) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Contagion as a domino effect in global stock markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article113
2008Contagion as Domino Effect in Global Stock Markets.(2008) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 113		paper
2014Speed, algorithmic trading, and market quality around macroeconomic news announcements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article47
2012Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements.(2012) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
2009The economic value of fundamental and technical information in emerging currency markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article42
2007The Economic Value of Fundamental and Technical Information in Emerging Currency Markets.(2007) In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 42		paper
2013Bayesian forecasting of federal funds target rate decisions In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article5
2011Bayesian Forecasting of Federal Funds Target Rate Decisions.(2011) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2009Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana In: El Trimestre Económico.
[Full Text][Citation analysis]		article0
2006Semi-Parametric Modelling of Correlation Dynamics In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter8
2005Semi-Parametric Modelling of Correlation Dynamics.(2005) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2016Dynamic Factor Models for the Volatility Surface☆ In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2008Chapter 15 Bayesian Model Averaging in the Presence of Structural Breaks In: Frontiers of Economics and Globalization.
[Full Text][Citation analysis]		chapter0
2007Evaluating real-time forecasts in real-time In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2008Range-based covariance estimation using high-frequency data: The realized co-range In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2007Modeling regional house prices In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper23
2011Modelling regional house prices.(2011) In: Applied Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
1996Testing for ARCH in the Presence of Additive Outliers In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper82
1999Testing for ARCH in the Presence of Additive Outliers..(1999) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		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.
[Full Text][Citation analysis]		paper0
1998Nonlinearities and outliers: robust specification of STAR models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper2
1998Forecasting volatility with switching persistence GARCH models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper13
1998Does the absence of cointegration explain the typical findings in long horizon regressions? In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper47
1999Unit root tests and assymmetric adjustment In: Econometric Institute Research Papers.
[Citation analysis]		paper0
1999Testing for Stochastic Unit Roots - Some Monte Carlo evidence In: Econometric Institute Research Papers.
[Citation analysis]		paper2
1999Outlier detection in the GARCH (1,1) model In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper5
1999A multivariate STAR analysis of the relationship between money and output In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper20
2000A Multivariate STAR Analysis of the Relationship Between Money and Output.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
1999A Multivariate STAR Analysis of the Relationship Between Money and Output.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2004Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper21
2000Seasonal smooth transition autoregression In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper8
2000Smooth transition autoregressive models - A survey of recent developments In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper588
2001Smooth Transition Autoregressive Models - A Survey of Recent Developments.(2001) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 588		paper
2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS.(2002) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 588		article
2000A nonlinear long memory model for US unemployment In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2003Does Africa grow slower than Asia and Latin America? In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper4
2009Macroeconomic forecasting with real-time data: an empirical comparison In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2003Forecasting industrial production with linear, nonlinear, and structural change models In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper17
2010Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper23
2013Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model.(2013) In: Journal of Forecasting.
[Citation analysis]
This paper has nother version. Agregated cites: 23		article
2010Financial Development and Convergence Clubs In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2002Changes in variability of the business cycle in the G7 countries In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper32
2002Changes in Variability of the Business Cycle in the G7 Countries.(2002) In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2002Changes in variability of the business cycle in the G7 countries.(2002) In: Economics Discussion Paper Series.
[Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2002A simple test for PPP among traded goods In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper2
2006A simple test for PPP among traded goods.(2006) In: Applied Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2006Improved Construction of diffusion indexes for macroeconomic forecasting In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper1
2006Bayesian Model Averaging in the Presence of Structural Breaks In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper12
2006Time series forecasting by principal covariate regression. In: Econometric Institute Research Papers.
[Full Text][Citation analysis]		paper0
2007When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper11
2013When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?.(2013) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2007The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper2
2007A Recommitment Strategy for Long Term Private Equity Fund Investors In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper0
2008The Inefficient Use of Macroeconomic Information in Analysts Earnings Forecasts in Emerging Markets In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper0
2009Time Variation in Asset Return Dependence: Strength or Structure? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper7
2010Corporate Governance and the Cost of Debt of Large European Firms In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper2
2012Realized mixed-frequency factor models for vast dimensional covariance estimation In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper6
2013How to Identify and Forecast Bull and Bear Markets? In: ERIM Report Series Research in Management.
[Full Text][Citation analysis]		paper25
2007Good News is No News In: ERIM Inaugural Address Series Research in Management.
[Full Text][Citation analysis]		paper0
2014Forecasting business cycles In: Post-Print.
[Citation analysis]		paper0
2014Forecasting business cycles.(2014) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2009Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective In: International Journal of Corporate Governance.
[Full Text][Citation analysis]		article1
2005On the dynamics of business cycle analysis: editors introduction In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article6
2005On the dynamics of business cycle analysis: editors introduction.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2005A multi-level panel STAR model for US manufacturing sectors In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article95
2003On SETAR non-linearity and forecasting In: Journal of Forecasting.
[Full Text][Citation analysis]		article34
2009Structural Breaks in the International Transmission of Inflation In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper1
2009Changes in International Business Cycle Affiliations In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2009Changes in International Business Cycle Affiliations.(2009) In: Economics Discussion Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2003Testing for Volatility Changes in US Macroeconomic Time Series In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper180
2004Testing for Volatility Changes in U.S. Macroeconomic Time Series.(2004) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 180		article
2003Predicting Growth Cycle Regimes for European Countries In: Centre for Growth and Business Cycle Research Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2014Market Set-Up in Advance of Federal Reserve Policy Decisions In: NBER Working Papers.
[Full Text][Citation analysis]		paper2
2011Forecasting with Leading Indicators by means of the Principal Covariate Index In: OECD Journal: Journal of Business Cycle Measurement and Analysis.
[Citation analysis]		article1
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article8
2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.(2017) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2023Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2009Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article18
2007Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper.
[Full Text][Citation analysis]		paper20
2007Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2006Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis In: EconoQuantum, Revista de Economia y Finanzas.
[Full Text][Citation analysis]		article0
2004Short patches of outliers, ARCH and volatility modelling In: Applied Financial Economics.
[Full Text][Citation analysis]		article21
1998Short Patches of Outliers, ARCH and Volatility Modeling.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2012Structural differences in economic growth: an endogenous clustering approach In: Applied Economics.
[Full Text][Citation analysis]		article4
2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews.
[Full Text][Citation analysis]		article58
2006Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 58		paper
2018New HEAVY Models for Fat-Tailed Realized Covariances and Returns In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article48
2021Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article22
2019Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings.(2019) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2010A comparison of biased simulation schemes for stochastic volatility models In: Quantitative Finance.
[Full Text][Citation analysis]		article119
2007A Comparison of Biased Simulation Schemes for Stochastic Volatility Models.(2007) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 119		paper
2012Private Equity Recommitment Strategies for Institutional Investors In: Financial Analysts Journal.
[Full Text][Citation analysis]		article0
2022Modeling and estimation of synchronization in size-sorted portfolio returns In: Central Bank Review.
[Full Text][Citation analysis]		article0
1999SETS, Arbitrage Activity, and Stock Price Dynamics In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper34
2004Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper67
2008Structural Differences in Economic Growth In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2010Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper9
2011Modeling and Estimation of Synchronization in Multistate Markov-Switching Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper14
2011An Alternative Bayesian Approach to Structural Breaks in Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2011Forecasting Volatility with Copula-Based Time Series Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper8
2012High-Frequency Technical Trading: The Importance of Speed In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper3
2012Forecasting Interest Rates with Shifting Endpoints In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper42
2013Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2013Predicting Covariance Matrices with Financial Conditions Indexes In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2015New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper4
2014Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2015Why do Pit-Hours outlive the Pit? In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
2021Heterogeneity in Manufacturing Growth Risk In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2023Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2025Slow Expectation–Maximization Convergence in Low‐Noise Dynamic Factor Models.(2025) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2023Localizing Strictly Proper Scoring Rules In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper1
2013Structural Breaks in the International Dynamics of Inflation In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article37
2016Market Set‐up in Advance of Federal Reserve Policy Rate Decisions In: Economic Journal.
[Full Text][Citation analysis]		article3
2019Combining expert‐adjusted forecasts In: Journal of Forecasting.
[Full Text][Citation analysis]		article4

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2026. Contact: CitEc Team