Dick van Dijk

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Affiliations

• Erasmus Universiteit Rotterdam / Faculteit der Economische Wetenschappen / Econometrisch Instituut (weight: 98%)
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• Tinbergen Instituut (weight: 1%)
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• Erasmus Universiteit Rotterdam / Erasmus Research Institute of Management (ERIM) (weight: 1%)
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Research profile

author of:

• On the Effects of Private Information on Volatility (RePEc:aah:create:2012-08)
  by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor
• Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression (RePEc:aah:create:2013-16)
  by Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk
• Dynamic Factor Models for the Volatility Surface (RePEc:aah:create:2015-13)
  by Michel van der Wel & Sait R. Ozturk & Dick van Dijk
• Panel Smooth Transition Regression Models (RePEc:aah:create:2017-36)
  by Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang
• The Euro-introduction and non-Euro currencies (RePEc:aiz:louvar:2011052)
  by Van Dijk, Dick & Munandar, Haris & Hafner, Christian
• Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models (RePEc:ams:ndfwpp:00-10)
  by Boswijk, H.P. & van Dijk, D. & Franses, P.H.
• Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails (RePEc:ams:ndfwpp:08-03)
  by Dijk, D. van & Diks, C.G.H. & Panchenko, V.
• Out-of-sample comparison of copula specifications in multivariate density forecasts (RePEc:ams:ndfwpp:08-10)
  by Diks, C.G.H. & Dijk, D. van & Panchenko, V.
• Testing for Smooth Transition Nonlinearity in the Presence of Outliers (RePEc:bes:jnlbes:v:17:y:1999:i:2:p:217-35)
  by Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre
• Time-Varying Smooth Transition Autoregressive Models (RePEc:bes:jnlbes:v:21:y:2003:i:1:p:104-21)
  by Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick
• Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry (RePEc:bes:jnlbes:v:24:y:2006:p:24-42)
  by Swanson, Norman R. & van Dijk, Dick
• Do Leading Indicators Lead Peaks More Than Troughs? (RePEc:bes:jnlbes:v:27:i:4:y:2009:p:528-543)
  by Paap, Richard & Segers, Rene & van Dijk, Dick
• Corporate Governance and the Value of Excess Cash Holdings of Large European Firms (RePEc:bla:eufman:v:19:y:2013:i:5:p:991-1016)
  by Marc B.J. Schauten & Dick van Dijk & Jan†Paul van der Waal
• Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? (RePEc:bla:obuest:v:64:y:2002:i:4:p:381-397)
  by A. M. Robert Taylor & Dick van Dijk
• Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? (RePEc:bla:obuest:v:64:y:2002:i:4:p:381-97)
  by Taylor, A M Robert & van Dijk, Dick
• Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy (RePEc:bla:obuest:v:65:y:2003:i:s1:p:727-744)
  by Dick van Dijk & Philip Hans Franses
• Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation (RePEc:bla:obuest:v:76:y:2014:i:3:p:360-388)
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Term structure forecasting using macro factors and forecast combination (RePEc:bno:worpap:2010_01)
  by Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk
• Multivariate Star Analysis Of Money–Output Relationship (RePEc:cup:macdyn:v:5:y:2001:i:04:p:506-532_02)
  by Rothman, Philip & van Dijk, Dick & , Philip Hans
• Instability and nonlinearity in the euro area Phillips curve (RePEc:ecb:ecbwps:2007811)
  by Stracca, Livio & Musso, Alberto & van Dijk, Dick
• Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series (RePEc:ecj:ac2002:164)
  by Sensier, Marianne & Dick van Dijk
• Forecasting US Inflation Using Model Averaging (RePEc:ecm:ausm04:143)
  by Dick van Dijk
• A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production (RePEc:ecm:ausm04:267)
  by P.H. Franses & D. Fok & D. van Dijk
• Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models (RePEc:ecm:wc2000:0765)
  by H. Peter Boswijk & Philip Hans Franses & Dick van Dijk
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series (RePEc:ect:emjrnl:v:6:y:2003:i:1:p:79-98)
  by Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta
• Sample size, lag order and critical values of seasonal unit root tests (RePEc:eee:csdana:v:50:y:2006:i:10:p:2734-2751)
  by Harvey, David I. & van Dijk, Dick
• Forecast comparison of principal component regression and principal covariate regression (RePEc:eee:csdana:v:51:y:2007:i:7:p:3612-3625)
  by Heij, Christiaan & Groenen, Patrick J.F. & van Dijk, Dick
• Absorption of shocks in nonlinear autoregressive models (RePEc:eee:csdana:v:51:y:2007:i:9:p:4206-4226)
  by van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H.
• Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method (RePEc:eee:deveco:v:77:y:2005:i:2:p:553-570)
  by Paap, Richard & Franses, Philip Hans & van Dijk, Dick
• Out-of-sample comparison of copula specifications in multivariate density forecasts (RePEc:eee:dyncon:v:34:y:2010:i:9:p:1596-1609)
  by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
• Measuring and predicting heterogeneous recessions (RePEc:eee:dyncon:v:37:y:2013:i:11:p:2195-2216)
  by Çakmaklı, Cem & Paap, Richard & van Dijk, Dick
• Comparing the accuracy of multivariate density forecasts in selected regions of the copula support (RePEc:eee:dyncon:v:48:y:2014:i:c:p:79-94)
  by Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick
• Forecasting volatility with the realized range in the presence of noise and non-trading (RePEc:eee:ecofin:v:26:y:2013:i:c:p:535-551)
  by Bannouh, Karim & Martens, Martin & van Dijk, Dick
• Testing for causality in variance in the presence of breaks (RePEc:eee:ecolet:v:89:y:2005:i:2:p:193-199)
  by van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne
• A nonlinear long memory model, with an application to US unemployment (RePEc:eee:econom:v:110:y:2002:i:2:p:135-165)
  by van Dijk, Dick & Franses, Philip Hans & Paap, Richard
• A unified approach to nonlinearity, structural change, and outliers (RePEc:eee:econom:v:137:y:2007:i:1:p:112-133)
  by Giordani, Paolo & Kohn, Robert & van Dijk, Dick
• Measuring volatility with the realized range (RePEc:eee:econom:v:138:y:2007:i:1:p:181-207)
  by Martens, Martin & van Dijk, Dick
• Twenty years of cointegration (RePEc:eee:econom:v:158:y:2010:i:1:p:1-2)
  by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
• Cointegration in a historical perspective (RePEc:eee:econom:v:158:y:2010:i:1:p:156-159)
  by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
• Likelihood-based scoring rules for comparing density forecasts in tails (RePEc:eee:econom:v:163:y:2011:i:2:p:215-230)
  by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
• Moments, shocks and spillovers in Markov-switching VAR models (RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902)
  by Kole, Erik & van Dijk, Dick
• The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? (RePEc:eee:ememar:v:6:y:2005:i:3:p:238-262)
  by van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick
• Stock selection strategies in emerging markets (RePEc:eee:empfin:v:10:y:2003:i:1-2:p:105-132)
  by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick
• Order flow and volatility: An empirical investigation (RePEc:eee:empfin:v:28:y:2014:i:c:p:185-201)
  by Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick
• Predicting volatility and correlations with Financial Conditions Indexes (RePEc:eee:empfin:v:29:y:2014:i:c:p:435-447)
  by Opschoor, Anne & van Dijk, Dick & van der Wel, Michel
• Forecasting day-ahead electricity prices: Utilizing hourly prices (RePEc:eee:eneeco:v:50:y:2015:i:c:p:227-239)
  by Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick
• Intraday price discovery in fragmented markets (RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48)
  by Ozturk, Sait R. & van der Wel, Michel & van Dijk, Dick
• The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production (RePEc:eee:intfor:v:21:y:2005:i:1:p:87-102)
  by Franses, Philip Hans & van Dijk, Dick
• Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination (RePEc:eee:intfor:v:21:y:2005:i:4:p:755-774)
  by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
• Reply (RePEc:eee:intfor:v:21:y:2005:i:4:p:781-783)
  by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
• Forecasting aggregates using panels of nonlinear time series (RePEc:eee:intfor:v:21:y:2005:i:4:p:785-794)
  by Fok, Dennis & van Dijk, Dick & Franses, Philip Hans
• Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages (RePEc:eee:intfor:v:22:y:2006:i:2:p:407-408)
  by Van Dijk, Dick
• Macroeconomic forecasting with matched principal components (RePEc:eee:intfor:v:24:y:2008:i:1:p:87-100)
  by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F.
• Forecasting returns and risk in financial markets using linear and nonlinear models (RePEc:eee:intfor:v:25:y:2009:i:2:p:215-217)
  by Clements, Michael P. & Milas, Costas & van Dijk, Dick
• Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements (RePEc:eee:intfor:v:25:y:2009:i:2:p:282-303)
  by Martens, Martin & van Dijk, Dick & de Pooter, Michiel
• Real-time macroeconomic forecasting with leading indicators: An empirical comparison (RePEc:eee:intfor:v:27:y::i:2:p:466-481)
  by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F.
• Real-time macroeconomic forecasting with leading indicators: An empirical comparison (RePEc:eee:intfor:v:27:y:2011:i:2:p:466-481)
  by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J.F.
• Getting the most out of macroeconomic information for predicting excess stock returns (RePEc:eee:intfor:v:32:y:2016:i:3:p:650-668)
  by Çakmaklı, Cem & van Dijk, Dick
• Nonlinear forecasting with many predictors using kernel ridge regression (RePEc:eee:intfor:v:32:y:2016:i:3:p:736-753)
  by Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick
• Accelerating peak dating in a dynamic factor Markov-switching model (RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323)
  by van Os, Bram & van Dijk, Dick
• Contagion as a domino effect in global stock markets (RePEc:eee:jbfina:v:33:y:2009:i:11:p:1996-2012)
  by Markwat, Thijs & Kole, Erik & van Dijk, Dick
• Speed, algorithmic trading, and market quality around macroeconomic news announcements (RePEc:eee:jbfina:v:38:y:2014:i:c:p:89-105)
  by Scholtus, Martin & van Dijk, Dick & Frijns, Bart
• The economic value of fundamental and technical information in emerging currency markets (RePEc:eee:jimfin:v:28:y:2009:i:4:p:581-604)
  by de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick
• Bayesian forecasting of federal funds target rate decisions (RePEc:eee:jmacro:v:37:y:2013:i:c:p:19-40)
  by van den Hauwe, Sjoerd & Paap, Richard & van Dijk, Dick
• Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana (RePEc:elt:journl:v:76:y:2009:i:304:p:991-1026)
  by Watkins, Karen & van Dijk, Dick & Spronk, Jaap
• Semi-Parametric Modelling of Correlation Dynamics (RePEc:eme:aecozz:s0731-9053(05)20003-8)
  by Christian M. Hafner & Dick van Dijk & Philip Hans Franses
• Dynamic Factor Models for the Volatility Surface☆ (RePEc:eme:aecozz:s0731-905320150000035004)
  by Michel van der Wel & Sait R. Ozturk & Dick van Dijk
• Chapter 15 Bayesian Model Averaging in the Presence of Structural Breaks (RePEc:eme:fegzzz:s1574-8715(07)00215-1)
  by Francesco Ravazzolo & Richard Paap & Dick van Dijk & Philip Hans Franses
• Evaluating real-time forecasts in real-time (RePEc:ems:eureir:10467)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Ravazzolo, F.
• A multi-level panel smooth transition autoregression for US sectoral production (RePEc:ems:eureir:1054)
  by Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Range-based covariance estimation using high-frequency data: The realized co-range (RePEc:ems:eureir:10904)
  by Bannouh, K. & van Dijk, D.J.C. & Martens, M.P.E.
• Modeling regional house prices (RePEc:ems:eureir:11723)
  by van Dijk, A. & Franses, Ph.H.B.F. & Paap, R. & van Dijk, D.J.C.
• Testing for Smooth Transition Nonlinearity in the Presence of Outliers (RePEc:ems:eureir:1382)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A.
• Testing for ARCH in the Presence of Additive Outliers (RePEc:ems:eureir:1395)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A.
• Modelling Multiple Regimes in the Business Cycle (RePEc:ems:eureir:1407)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks (RePEc:ems:eureir:1408)
  by Eisinga, R. & Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Do We Often Find ARCH Because Of Neglected Outliers? (RePEc:ems:eureir:1420)
  by Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Nonlinear Error-Correction Models for Interest Rates in The Netherlands (RePEc:ems:eureir:1421)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Modeling asymmetric volatility in weekly Dutch temperature data (RePEc:ems:eureir:1533)
  by Franses, Ph.H.B.F. & Neele, J. & van Dijk, D.J.C.
• Nonlinearities and outliers: robust specification of STAR models (RePEc:ems:eureir:1542)
  by Escribano, A. & Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Forecasting volatility with switching persistence GARCH models (RePEc:ems:eureir:1553)
  by Franses, Ph.H.B.F. & Neele, J. & van Dijk, D.J.C.
• Does the absence of cointegration explain the typical findings in long horizon regressions? (RePEc:ems:eureir:1555)
  by Berben, R-P. & van Dijk, D.J.C.
• Unit root tests and assymmetric adjustment (RePEc:ems:eureir:1558)
  by Berben, R-P. & van Dijk, D.J.C.
• Cointegration in a historical perspective (RePEc:ems:eureir:15779)
  by Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Testing for Stochastic Unit Roots - Some Monte Carlo evidence (RePEc:ems:eureir:1592)
  by Taylor, A.M.R. & van Dijk, D.J.C.
• Outlier detection in the GARCH (1,1) model (RePEc:ems:eureir:1597)
  by Franses, Ph.H.B.F. & van Dijk, D.J.C.
• A multivariate STAR analysis of the relationship between money and output (RePEc:ems:eureir:1616)
  by Rothman, P. & van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Testing for changes in volatility in heteroskedastic time series - a further examination (RePEc:ems:eureir:1627)
  by de Pooter, M.D. & van Dijk, D.J.C.
• Asymmetric and common absorption of shocks in nonlinear autoregressive models (RePEc:ems:eureir:1637)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Boswijk, H.P.
• Seasonal smooth transition autoregression (RePEc:ems:eureir:1639)
  by Franses, Ph.H.B.F. & de Bruin, P. & van Dijk, D.J.C.
• Smooth transition autoregressive models - A survey of recent developments (RePEc:ems:eureir:1656)
  by van Dijk, D.J.C. & Terasvirta, T. & Franses, Ph.H.B.F.
• A nonlinear long memory model for US unemployment (RePEc:ems:eureir:1660)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F. & Paap, R.
• Short-term volatility versus long-term growth: evidence in US macroeconomic time series (RePEc:ems:eureir:1674)
  by Sensier, M. & van Dijk, D.J.C.
• The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series (RePEc:ems:eureir:1676)
  by van Dijk, D.J.C. & Strikholm, B. & Terasvirta, T.
• The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production (RePEc:ems:eureir:1678)
  by Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry (RePEc:ems:eureir:1694)
  by Swanson, N.R. & van Dijk, D.J.C.
• Does Africa grow slower than Asia and Latin America? (RePEc:ems:eureir:1695)
  by Paap, R. & Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Macroeconomic forecasting with real-time data: an empirical comparison (RePEc:ems:eureir:17018)
  by Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F.
• Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy (RePEc:ems:eureir:1703)
  by van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Forecasting industrial production with linear, nonlinear, and structural change models (RePEc:ems:eureir:1716)
  by Siliverstovs, B. & van Dijk, D.J.C.
• Forecasting aggregates using panels of nonlinear time series (RePEc:ems:eureir:1797)
  by Fok, D. & van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Testing for causality in variance in the presence of breaks (RePEc:ems:eureir:1801)
  by van Dijk, D.J.C. & Osborn, D.R. & Sensier, M.
• Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model (RePEc:ems:eureir:18254)
  by Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F.
• A unified approach to nonlinearity, structural change and outliers (RePEc:ems:eureir:1910)
  by Giordani, P. & Kohn, R. & van Dijk, D.J.C.
• Financial Development and Convergence Clubs (RePEc:ems:eureir:20741)
  by Basturk, N. & Paap, R. & van Dijk, D.J.C.
• Changes in variability of the business cycle in the G7 countries (RePEc:ems:eureir:551)
  by van Dijk, D.J.C. & Osborn, D.R. & Sensier, M.
• A simple test for PPP among traded goods (RePEc:ems:eureir:585)
  by Franses, Ph.H.B.F. & van Dijk, D.J.C.
• Semi-Parametric Modelling of Correlation Dynamics (RePEc:ems:eureir:6849)
  by Hafner, C.M. & van Dijk, D.J.C. & Franses, Ph.H.B.F.
• Forecast comparison of principal component regression and principal covariate regression (RePEc:ems:eureir:6918)
  by Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C.
• Improved Construction of diffusion indexes for macroeconomic forecasting (RePEc:ems:eureir:7581)
  by Heij, C. & van Dijk, D.J.C. & Groenen, P.J.F.
• Measuring volatility with the realized range (RePEc:ems:eureir:7582)
  by Martens, M.P.E. & van Dijk, D.J.C.
• Bayesian Model Averaging in the Presence of Structural Breaks (RePEc:ems:eureir:7904)
  by Ravazzolo, F. & van Dijk, D.J.C. & Paap, R. & Franses, Ph.H.B.F.
• Time series forecasting by principal covariate regression (RePEc:ems:eureir:8003)
  by Heij, C. & Groenen, P.J.F. & van Dijk, D.J.C.
• Do leading indicators lead peaks more than troughs? (RePEc:ems:eureir:9230)
  by Paap, R. & Segers, R. & van Dijk, D.J.C.
• When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? (RePEc:ems:eureri:10070)
  by Fidrmuc, J.P. & Roosenboom, P.G.J. & van Dijk, D.J.C.
• The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations (RePEc:ems:eureri:10610)
  by Chulia-Soler, H. & Martens, M.P.E. & van Dijk, D.J.C.
• The Economic Value of Fundamental and Technical Information in Emerging Currency Markets (RePEc:ems:eureri:10891)
  by de Zwart, G.J. & Markwat, T.D. & Swinkels, L.A.P. & van Dijk, D.J.C.
• A Recommitment Strategy for Long Term Private Equity Fund Investors (RePEc:ems:eureri:10892)
  by de Zwart, G.J. & Frieser, B. & van Dijk, D.J.C.
• The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets (RePEc:ems:eureri:11556)
  by de Zwart, G.J. & van Dijk, D.J.C.
• Corporate Governance and the Value of Excess Cash Holdings of Large European Firms (RePEc:ems:eureri:12465)
  by Schauten, M.B.J. & van Dijk, D.J.C. & van der Waal, J-P.
• Contagion as Domino Effect in Global Stock Markets (RePEc:ems:eureri:13835)
  by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C.
• Time Variation in Asset Return Dependence: Strength or Structure? (RePEc:ems:eureri:17096)
  by Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C.
• The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? (RePEc:ems:eureri:1922)
  by van der Hart, J. & de Zwart, G.J. & van Dijk, D.J.C.
• Corporate Governance and the Cost of Debt of Large European Firms (RePEc:ems:eureri:19679)
  by Schauten, M.B.J. & van Dijk, D.J.C.
• Realized mixed-frequency factor models for vast dimensional covariance estimation (RePEc:ems:eureri:37470)
  by Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C.
• Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading (RePEc:ems:eureri:37538)
  by Bannouh, K. & Martens, M.P.E. & van Dijk, D.J.C.
• How to Identify and Forecast Bull and Bear Markets? (RePEc:ems:eureri:41558)
  by Kole, H.J.W.G. & van Dijk, D.J.C.
• Good News is No News (RePEc:ems:euriar:10857)
  by van Dijk, D.J.C.
• Term structure forecasting using macro factors and forecast combination (RePEc:fip:fedgif:993)
  by Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk
• Out-of-sample comparison of copula specifications in multivariate density forecasts (RePEc:hal:journl:hal-00732675)
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Likelihood-based scoring rules for comparing density forecasts in tails (RePEc:hal:journl:hal-00834423)
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Forecasting business cycles (RePEc:hal:journl:hal-01385942)
  by Laurent Ferrara & Dick van Dijk
• Unknown item RePEc:hal:journl:hal-01411493 (paper)
• Time-Varying Smooth Transition Autoregressive Models (RePEc:hhs:hastef:0376)
  by Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick
• Smooth Transition Autoregressive Models - A Survey of Recent Developments (RePEc:hhs:hastef:0380)
  by van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series (RePEc:hhs:hastef:0429)
  by van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo
• Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination (RePEc:hhs:hastef:0561)
  by Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo
• Panel Smooth Transition Regression Models (RePEc:hhs:hastef:0604)
  by González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai
• Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective (RePEc:ids:ijcgov:v:1:y:2009:i:4:p:382-399)
  by Karen Watkins & Jaap Spronk & Dick Van Dijk
• Instability and Nonlinearity in the Euro-Area Phillips Curve (RePEc:ijc:ijcjou:y:2009:q:2:a:6)
  by Alberto Musso & Livio Stracca & Dick van Dijk
• Testing for ARCH in the Presence of Additive Outliers (RePEc:jae:japmet:v:14:y:1999:i:5:p:539-62)
  by van Dijk, Dick & Franses, Philip Hans & Lucas, Andre
• On the dynamics of business cycle analysis: editors' introduction (RePEc:jae:japmet:v:20:y:2005:i:2:p:147-150)
  by Philip Hans Franses & Herman K. van Dijk & Dick van Dijk
• A multi-level panel STAR model for US manufacturing sectors (RePEc:jae:japmet:v:20:y:2005:i:6:p:811-827)
  by Dick van Dijk & Dennis Fok & Philip Hans Franses
• On SETAR non-linearity and forecasting (RePEc:jof:jforec:v:22:y:2003:i:5:p:359-375)
  by Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith
• Measuring and Predicting Heterogeneous Recessions (RePEc:koc:wpaper:1206)
  by Cem Cakmakli & Richard Paap & Dick van Dijk
• Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series (RePEc:man:cgbcrp:08)
  by M Sensier & D van Dijk
• Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation (RePEc:man:cgbcrp:109)
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Structural Breaks in the International Transmission of Inflation (RePEc:man:cgbcrp:119)
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Changes in International Business Cycle Affiliations (RePEc:man:cgbcrp:132)
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Changes in Variability of the Business Cycle in the G7 Countries (RePEc:man:cgbcrp:16)
  by D van Dijk & D R Osborn & M Sensier
• Testing for Volatility Changes in US Macroeconomic Time Series (RePEc:man:cgbcrp:36)
  by M Sensier & D van Dijk
• Predicting Growth Cycle Regimes for European Countries (RePEc:man:cgbcrp:39)
  by D R Osborn & M Sensier & D van Dijk
• Testing for causality in variance in the presence of breaks (RePEc:man:cgbcrp:45)
  by D van Dijk & D R Osborn & M Sensier
• Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series (RePEc:man:sespap:0103)
  by M Sensier & D van Dijk
• Changes in variability of the business cycle in the G7 countries (RePEc:man:sespap:0204)
  by D van Dijk & D R Osborn & M Sensier
• Changes in International Business Cycle Affiliations (RePEc:man:sespap:0924)
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Market Set-Up in Advance of Federal Reserve Policy Decisions (RePEc:nbr:nberwo:19814)
  by Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel
• Forecasting with Leading Indicators by means of the Principal Covariate Index (RePEc:oec:stdkab:5kgdwlpzs79v)
  by Christiaan Heij & Dick van Dijk & Patrick J.F. Groenen
• Forecasting Value-at-Risk under Temporal and Portfolio Aggregation (RePEc:oup:jfinec:v:15:y:2017:i:4:p:649-677.)
  by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
• Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error (RePEc:oup:jfinec:v:21:y:2023:i:2:p:528-568.)
  by Sander Barendse & Erik Kole & Dick van Dijk
• Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super- (RePEc:oup:jfinec:v:7:y:2009:i:4:p:341-372)
  by Karim Bannouh & Dick van Dijk & Martin Martens
• When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? (RePEc:oup:revfin:v:17:y:2013:i:3:p:1099-1139)
  by Jana P. Fidrmuc & Alessandro Palandri & Peter Roosenboom & Dick van Dijk
• Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information (RePEc:pra:mprapa:2512)
  by De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick
• Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis (RePEc:qua:journl:v:2:y:2006:i:2:p:39-55)
  by Karen Watkins & Dick Van Dijk & Jaap Spronk
• Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination (RePEc:rio:texdis:485)
  by Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros
• Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails (RePEc:swe:wpaper:2008-10)
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Out-of-sample comparison of copula specifications in multivariate density forecasts (RePEc:swe:wpaper:2008-23)
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Unknown item RePEc:taf:apfiec:v:14:y:2004:i:4:p:221-231 (article)
• Unknown item RePEc:taf:apfiec:v:16:y:2006:i:1-2:p:19-27 (article)
• Unknown item RePEc:taf:apfiec:v:21:y:2011:i:1-2:p:95-116 (article)
• Structural differences in economic growth: an endogenous clustering approach (RePEc:taf:applec:44:y:2012:i:1:p:119-134)
  by Nalan Baştürk & Richard Paap & Dick van Dijk
• Modelling regional house prices (RePEc:taf:applec:v:43:y:2011:i:17:p:2097-2110)
  by Bram van Dijk & Philip Hans Franses & Richard Paap & Dick van Dijk
• Smooth Transition Autoregressive Models — A Survey Of Recent Developments (RePEc:taf:emetrv:v:21:y:2002:i:1:p:1-47)
  by Dick van Dijk & Timo Terasvirta & Philip Hans Franses
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (RePEc:taf:emetrv:v:27:y:2008:i:1-3:p:199-229)
  by Michiel de Pooter & Martin Martens & Dick van Dijk
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (RePEc:taf:jnlbes:v:36:y:2018:i:4:p:643-657)
  by Anne Opschoor & Pawel Janus & André Lucas & Dick Van Dijk
• Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (RePEc:taf:jnlbes:v:39:y:2021:i:4:p:1066-1079)
  by Anne Opschoor & André Lucas & István Barra & Dick van Dijk
• A comparison of biased simulation schemes for stochastic volatility models (RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194)
  by Roger Lord & Remmert Koekkoek & Dick Van Dijk
• Modeling and estimation of synchronization in size-sorted portfolio returns (RePEc:tcb:cebare:v:22:y:2022:i:4:p:129-140)
  by Cem Cakmakli & Richard Paap & Dick van Dijk
• Short Patches of Outliers, ARCH and Volatility Modeling (RePEc:tin:wpaper:19980057)
  by Philip Hans Franses & Dick van Dijk & André Lucas
• SETS, Arbitrage Activity, and Stock Price Dynamics (RePEc:tin:wpaper:19990003)
  by Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas
• Stock Selection Strategies in Emerging Markets (RePEc:tin:wpaper:20010009)
  by Jaap van der Hart & Erica Slagter & Dick van Dijk
• Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience (RePEc:tin:wpaper:20040057)
  by Karen Watkins & Dick van Dijk & Jaap Spronk
• Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity (RePEc:tin:wpaper:20040067)
  by Martin Martens & Dick van Dijk & Michiel de Pooter
• The Euro Introduction and Non-Euro Currencies (RePEc:tin:wpaper:20050044)
  by Dick van Dijk & Haris Munandar & Christian M. Hafner
• Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use? (RePEc:tin:wpaper:20050089)
  by Michiel de Pooter & Martin Martens & Dick van Dijk
• A Comparison of Biased Simulation Schemes for Stochastic Volatility Models (RePEc:tin:wpaper:20060046)
  by Roger Lord & Remmert Koekkoek & Dick van Dijk
• Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information (RePEc:tin:wpaper:20070028)
  by Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk
• Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails (RePEc:tin:wpaper:20080050)
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Structural Differences in Economic Growth (RePEc:tin:wpaper:20080085)
  by Nalan Basturk & Richard Paap & Dick van Dijk
• Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts (RePEc:tin:wpaper:20080105)
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility (RePEc:tin:wpaper:20100115)
  by Cem Cakmakli & Dick van Dijk
• Modeling and Estimation of Synchronization in Multistate Markov-Switching Models (RePEc:tin:wpaper:20110002)
  by Cem Cakmakli & Richard Paap & Dick J.C. van Dijk
• Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression (RePEc:tin:wpaper:20110007)
  by Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk
• An Alternative Bayesian Approach to Structural Breaks in Time Series Models (RePEc:tin:wpaper:20110023)
  by Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk
• On the Effects of Private Information on Volatility (RePEc:tin:wpaper:20110077)
  by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor
• Bayesian Forecasting of Federal Funds Target Rate Decisions (RePEc:tin:wpaper:20110093)
  by Sjoerd van den Hauwe & Dick van Dijk & Richard Paap
• Forecasting Volatility with Copula-Based Time Series Models (RePEc:tin:wpaper:20110125)
  by Oleg Sokolinskiy & Dick van Dijk
• Measuring and Predicting Heterogeneous Recessions (RePEc:tin:wpaper:20110154)
  by Cem Cakmakli & Richard Paap & Dick van Dijk
• High-Frequency Technical Trading: The Importance of Speed (RePEc:tin:wpaper:20120018)
  by Martin Scholtus & Dick van Dijk
• Forecasting Interest Rates with Shifting Endpoints (RePEc:tin:wpaper:20120076)
  by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright
• Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements (RePEc:tin:wpaper:20120121)
  by Martin L. Scholtus & Dick van Dijk & Bart Frijns
• Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support (RePEc:tin:wpaper:20130061)
  by Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk
• Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices (RePEc:tin:wpaper:20130068)
  by Eran Raviv & Kees E. Bouwman & Dick van Dijk
• Predicting Covariance Matrices with Financial Conditions Indexes (RePEc:tin:wpaper:20130113)
  by Anne Opschoor & Dick van Dijk & Michel van der Wel
• New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels (RePEc:tin:wpaper:20140073)
  by Pawel Janus & André Lucas & Anne Opschoor & Dick J.C. van Dijk
• Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities (RePEc:tin:wpaper:20140090)
  by Anne Opschoor & Dick van Dijk & Michel van der Wel
• Why do Pit-Hours outlive the Pit? (RePEc:tin:wpaper:20150082)
  by Sait R. Ozturk & Michel van der Wel & Dick van Dijk
• Forecasting Value-at-Risk under Temporal and Portfolio Aggregation (RePEc:tin:wpaper:20150140)
  by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
• Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings (RePEc:tin:wpaper:20190013)
  by Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk
• Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error (RePEc:tin:wpaper:2019058)
  by Sander Barendse & Erik Kole & Dick van Dijk
• Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model (RePEc:tin:wpaper:20200057)
  by Bram van Os & Dick van Dijk
• Heterogeneity in Manufacturing Growth Risk (RePEc:tin:wpaper:20210036)
  by Daan Opschoor & Dick van Dijk & Philip Hans Franses
• Moments, Shocks and Spillovers in Markov-switching VAR Models (RePEc:tin:wpaper:20210080)
  by Erik Kole & Dick van Dijk
• Robust Observation-Driven Models Using Proximal-Parameter Updates Abstract We propose an observation-driven modelling framework that permits time variation in the model’s parameters using a proximal-p (RePEc:tin:wpaper:20220066)
  by Rutger-Jan Lange & Bram van Os & Dick van Dijk
• Does economic uncertainty predict real activity in real-time? (RePEc:tin:wpaper:20220069)
  by Bart Keijsers & Dick van Dijk
• Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models (RePEc:tin:wpaper:20230018)
  by Daan Opschoor & Dick van Dijk
• Testing for Volatility Changes in U.S. Macroeconomic Time Series (RePEc:tpr:restat:v:86:y:2004:i:3:p:833-839)
  by Marianne Sensier & Dick van Dijk
• Structural Breaks in the International Dynamics of Inflation (RePEc:tpr:restat:v:95:y:2013:i:2:p:646-659)
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Panel Smooth Transition Regression Models (RePEc:uts:rpaper:165)
  by Andres Gonzalez & Timo Terasvirta & Dick van Dijk
• Market Set‐up in Advance of Federal Reserve Policy Rate Decisions (RePEc:wly:econjl:v::y:2016:i:592:p:618-653)
  by Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel
• On the dynamics of business cycle analysis: editors' introduction (RePEc:wly:japmet:v:20:y:2005:i:2:p:147-150)
  by Dick van Dijk & Herman K. van Dijk & Philip Hans Franses
• Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model (RePEc:wly:jforec:v:32:y:2013:i:3:p:193-214)
  by Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen
• Combining expert‐adjusted forecasts (RePEc:wly:jforec:v:38:y:2019:i:5:p:415-421)
  by Dick van Dijk & Philip Hans Franses
• A Multivariate STAR Analysis of the Relationship Between Money and Output (RePEc:wop:eacaec:0012)
  by Phillip Rothman & Dick van Dijk & Philip Hans Franses
• A Multivariate STAR Analysis of the Relationship Between Money and Output (RePEc:wop:eacaec:9913)
  by Philip Rothman & Dick van Dijk & Philip Hans Franses