Dick van Dijk

Names

Contact

Affiliations

• Erasmus Universiteit Rotterdam → Faculteit der Economische Wetenschappen → Econometrisch Instituut (weight: 98%)
  • website
  • location: Rotterdam, Netherlands
• Tinbergen Instituut (weight: 1%)
  • website
  • location: Amsterdam, Netherlands
• Erasmus Universiteit Rotterdam → Erasmus Research Institute of Management (ERIM) (weight: 1%)
  • website
  • location: Rotterdam, Netherlands

Research profile

author of:

• Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models
  by Boswijk, H. P. & van Dijk, D. & Franses, P. H.
• Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
  by Sensier, Marianne & Dick van Dijk
• Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
  by H. Peter Boswijk & Philip Hans Franses & Dick van Dijk
• Time-Varying Smooth Transition Autoregressive Models
  by Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick
• Smooth Transition Autoregressive Models - A Survey of Recent Developments
  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
  by van Dijk, Dick & Strikholm, Birgit & Teräsvirta, Timo
• Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series
  by M. Sensier & D. van Dijk
• Changes in variability of the business cycle in the G7 countries
  by D. van Dijk & D. R. Osborn & M. Sensier
• A Multivariate STAR Analysis of the Relationship Between Money and Output
  by Phillip Rothman & Dick van Dijk & Philip Hans Franses
• A Multivariate STAR Analysis of the Relationship Between Money and Output
  by Philip Rothman & Dick van Dijk & Philip Hans Franses
• Testing for Smooth Transition Nonlinearity in the Presence of Outliers.
  by Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre
• Time-Varying Smooth Transition Autoregressive Models.
  by Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick
• Testing for ARCH in the Presence of Additive Outliers.
  by van Dijk, Dick & Franses, Philip Hans & Lucas, Andre
• The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
  by Dick van Dijk 1 & Birgit Strikholm & Timo Teräsvirta
• On SETAR non-linearity and forecasting
  by Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith
• Predicting Growth Cycle Regimes for European Countries
  by D. R. Osborn & M. Sensier & D. van Dijk
• Testing for Volatility Changes in US Macroeconomic Time Series
  by M. Sensier & D. van Dijk
• A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
  by P. H. Franses & D. Fok & D. van Dijk
• Changes in Variability of the Business Cycle in the G7 Countries
  by D. van Dijk & D. R. Osborn & M. Sensier
• Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
  by M. Sensier & D. van Dijk
• Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
  by Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros
• Stock selection strategies in emerging markets
  by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick
• Testing for Volatility Changes in U.S. Macroeconomic Time Series
  by Marianne Sensier & Dick van Dijk
• Forecasting US Inflation Using Model Averaging
  by Dick van Dijk
• Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
  by Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo
• Short patches of outliers, ARCH and volatility modelling
  by Philip Hans Franses & Dick van Dijk & Andre Lucas
• Testing for causality in variance in the presence of breaks
  by D. van Dijk & D. R. Osborn & M. Sensier
• On the dynamics of business cycle analysis: editors' introduction
  by Philip Hans Franses & Herman K. van Dijk & Dick van Dijk
• A nonlinear long memory model, with an application to US unemployment
  by van Dijk, Dick & Franses, Philip Hans & Paap, Richard
• Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method
  by Paap, Richard & Franses, Philip Hans & van Dijk, Dick
• The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
  by Franses, Philip Hans & van Dijk, Dick
• Panel Smooth Transition Regression Models
  by González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai
• The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
  by van der Hart, Jaap & de Zwart, Gerben & van Dijk, Dick
• Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
  by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
• Testing for causality in variance in the presence of breaks
  by van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne
• Forecasting aggregates using panels of nonlinear time series
  by Fok, Dennis & van Dijk, Dick & Franses, Philip Hans
• A multi-level panel STAR model for US manufacturing sectors
  by Dick van Dijk & Dennis Fok & Philip Hans Franses
• Reply
  by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
• Panel Smooth Transition Regression Models
  by Andres Gonzalez & Timo Terasvirta & Dick van Dijk
• A simple test for PPP among traded goods
  by Philip Hans Franses & Dick van Dijk
• 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.
  by Van Dijk, Dick
• Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
  by Swanson, Norman R. & van Dijk, Dick
• Sample size, lag order and critical values of seasonal unit root tests
  by Harvey, David I. & van Dijk, Dick
• A unified approach to nonlinearity, structural change, and outliers
  by Giordani, Paolo & Kohn, Robert & van Dijk, Dick
• Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information
  by De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick
• Absorption of shocks in nonlinear autoregressive models
  by van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H.
• Forecast comparison of principal component regression and principal covariate regression
  by Heij, Christiaan & Groenen, Patrick J. F. & van Dijk, Dick
• Measuring volatility with the realized range
  by Martens, Martin & van Dijk, Dick
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
  by Dick van Dijk & Timo Terasvirta & Philip Hans Franses
• Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
  by Michiel de Pooter & Martin Martens & Dick van Dijk
• Macroeconomic forecasting with matched principal components
  by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J. F.
• Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
  by Dijk, D. van & Diks, C. G. H. & Panchenko, V.
• Forecasting returns and risk in financial markets using linear and nonlinear models
  by Clements, Michael P. & Milas, Costas & van Dijk, Dick
• Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
  by Martens, Martin & van Dijk, Dick & de Pooter, Michiel
• Out-of-sample comparison of copula specifications in multivariate density forecasts
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Out-of-sample comparison of copula specifications in multivariate density forecasts
  by Diks, C. G. H. & Dijk, D. van & Panchenko, V.
• Structural Breaks in the International Transmission of Inflation
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Instability and Nonlinearity in the Euro-Area Phillips Curve
  by Alberto Musso & Livio Stracca & Dick van Dijk
• Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-*
  by Karim Bannouh & Dick van Dijk & Martin Martens
• The economic value of fundamental and technical information in emerging currency markets
  by de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick
• Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana
  by Watkins, Karen & van Dijk, Dick & Spronk, Jaap
• Changes in International Business Cycle Affiliations
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Do Leading Indicators Lead Peaks More Than Troughs?
  by Paap, Richard & Segers, Rene & van Dijk, Dick
• Changes in International Business Cycle Affiliations
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Contagion as a domino effect in global stock markets
  by Markwat, Thijs & Kole, Erik & van Dijk, Dick
• A comparison of biased simulation schemes for stochastic volatility models
  by Roger Lord & Remmert Koekkoek & Dick Van Dijk
• Term structure forecasting using macro factors and forecast combination
  by Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk
• Term structure forecasting using macro factors and forecast combination
  by Michiel De Pooter & Francesco Ravazzolo & Dick Van Dijk
• The euro introduction and noneuro currencies
  by Dick van Dijk & Haris Munandar & Christian Hafner
• Cointegration in a historical perspective
  by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
• Real-time macroeconomic forecasting with leading indicators: An empirical comparison
  by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J. F.
• Twenty years of cointegration
  by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
• MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP
  by Rothman, Philip & van Dijk, Dick & , Philip Hans
• Out-of-sample comparison of copula specifications in multivariate density forecasts
  by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
• Forecasting with Leading Indicators by means of the Principal Covariate Index
  by Christiaan Heij & Dick van Dijk & Patrick J. F. Groenen
• Likelihood-based scoring rules for comparing density forecasts in tails
  by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
• Modelling regional house prices
  by Bram van Dijk & Philip Hans Franses & Richard Paap & Dick van Dijk
• Measuring and Predicting Heterogeneous Recessions
  by Cem Cakmakli & Richard Paap & Dick van Dijk
• On the Effects of Private Information on Volatility
  by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor
• Real-time macroeconomic forecasting with leading indicators: An empirical comparison
  by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J. F.
• Structural differences in economic growth: an endogenous clustering approach
  by Nalan Baştürk & Richard Paap & Dick van Dijk
• Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model
  by Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen
• Structural Breaks in the International Dynamics of Inflation
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression
  by Peter Exterkate & Patrick J. F. Groenen & Christiaan Heij & Dick van Dijk
• When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
  by Jana P. Fidrmuc & Alessandro Palandri & Peter Roosenboom & Dick van Dijk
• Bayesian forecasting of federal funds target rate decisions
  by van den Hauwe, Sjoerd & Paap, Richard & van Dijk, Dick
• Good News is No News
  by van Dijk, D. J. C.
• Evaluating real-time forecasts in real-time
  by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Ravazzolo, F.
• A multi-level panel smooth transition autoregression for US sectoral production
  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
  by Bannouh, K. & van Dijk, D. J. C. & Martens, M. P. E.
• Modeling regional house prices
  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
  by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Lucas, A.
• Testing for ARCH in the Presence of Additive Outliers
  by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Lucas, A.
• Modelling Multiple Regimes in the Business Cycle
  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
  by Eisinga, R. & Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Do We Often Find ARCH Because Of Neglected Outliers?
  by Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Nonlinear Error-Correction Models for Interest Rates in The Netherlands
  by van Dijk, D. J. C. & Franses, Ph. H. B. F.
• Modeling asymmetric volatility in weekly Dutch temperature data
  by Franses, Ph. H. B. F. & Neele, J. & van Dijk, D. J. C.
• Nonlinearities and outliers: robust specification of STAR models
  by Escribano, A. & Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Forecasting volatility with switching persistence GARCH models
  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?
  by Berben, R.-P. & van Dijk, D. J. C.
• Unit root tests and assymmetric adjustment
  by Berben, R.-P. & van Dijk, D. J. C.
• Cointegration in a historical perspective
  by Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Testing for Stochastic Unit Roots - Some Monte Carlo evidence
  by Taylor, A. M. R. & van Dijk, D. J. C.
• Outlier detection in the GARCH (1,1) model
  by Franses, Ph. H. B. F. & van Dijk, D. J. C.
• A multivariate STAR analysis of the relationship between money and output
  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
  by de Pooter, M. D. & van Dijk, D. J. C.
• Asymmetric and common absorption of shocks in nonlinear autoregressive models
  by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Boswijk, H. P.
• Seasonal smooth transition autoregression
  by Franses, Ph. H. B. F. & de Bruin, P. & van Dijk, D. J. C.
• Smooth transition autoregressive models - A survey of recent developments
  by van Dijk, D. J. C. & Terasvirta, T. & Franses, Ph. H. B. F.
• A nonlinear long memory model for US unemployment
  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
  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
  by van Dijk, D. J. C. & Strikholm, B. & Terasvirta, T.
• The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
  by Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry
  by Swanson, N. R. & van Dijk, D. J. C.
• Does Africa grow slower than Asia and Latin America?
  by Paap, R. & Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Macroeconomic forecasting with real-time data: an empirical comparison
  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
  by van Dijk, D. J. C. & Franses, Ph. H. B. F.
• Forecasting industrial production with linear, nonlinear, and structural change models
  by Siliverstovs, B. & van Dijk, D. J. C.
• Forecasting aggregates using panels of nonlinear time series
  by Fok, D. & van Dijk, D. J. C. & Franses, Ph. H. B. F.
• Testing for causality in variance in the presence of breaks
  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
  by Exterkate, P. & van Dijk, D. J. C. & Heij, C. & Groenen, P. J. F.
• A unified approach to nonlinearity, structural change and outliers
  by Giordani, P. & Kohn, R. & van Dijk, D. J. C.
• Financial Development and Convergence Clubs
  by Basturk, N. & Paap, R. & van Dijk, D. J. C.
• Changes in variability of the business cycle in the G7 countries
  by van Dijk, D. J. C. & Osborn, D. R. & Sensier, M.
• A simple test for PPP among traded goods
  by Franses, Ph. H. B. F. & van Dijk, D. J. C.
• Semi-Parametric Modelling of Correlation Dynamics
  by Hafner, C. M. & van Dijk, D. J. C. & Franses, Ph. H. B. F.
• Forecast comparison of principal component regression and principal covariate regression
  by Heij, C. & Groenen, P. J. F. & van Dijk, D. J. C.
• Improved Construction of diffusion indexes for macroeconomic forecasting
  by Heij, C. & van Dijk, D. J. C. & Groenen, P. J. F.
• Measuring volatility with the realized range
  by Martens, M. P. E. & van Dijk, D. J. C.
• Bayesian Model Averaging in the Presence of Structural Breaks
  by Ravazzolo, F. & van Dijk, D. J. C. & Paap, R. & Franses, Ph. H. B. F.
• Time series forecasting by principal covariate regression.
  by Heij, C. & Groenen, P. J. F. & van Dijk, D. J. C.
• Do leading indicators lead peaks more than troughs?
  by Paap, R. & Segers, R. & van Dijk, D. J. C.
• When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
  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
  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
  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
  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
  by de Zwart, G. J. & van Dijk, D. J. C.
• Corporate Governance and the Value of Excess Cash Holdings of Large European Firms
  by Schauten, M. B. J. & van Dijk, D. J. C. & van der Waal, J.-P.
• Contagion as Domino Effect in Global Stock Markets
  by Markwat, T. D. & Kole, H. J. W. G. & van Dijk, D. J. C.
• Time Variation in Asset Return Dependence: Strength or Structure?
  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?
  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
  by Schauten, M. B. J. & van Dijk, D. J. C.
• Realized mixed-frequency factor models for vast dimensional covariance estimation
  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
  by Bannouh, K. & Martens, M. P. E. & van Dijk, D. J. C.
• How to Identify and Forecast Bull and Bear Markets?
  by Kole, H. J. W. G. & van Dijk, D. J. C.
• Measuring and predicting heterogeneous recessions
  by Çakmaklı, Cem & Paap, Richard & van Dijk, Dick
• Forecasting volatility with the realized range in the presence of noise and non-trading
  by Bannouh, Karim & Martens, Martin & van Dijk, Dick
• Speed, algorithmic trading, and market quality around macroeconomic news announcements
  by Scholtus, Martin & van Dijk, Dick & Frijns, Bart
• Market Set-Up in Advance of Federal Reserve Policy Decisions
  by Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel
• Order flow and volatility: An empirical investigation
  by Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick
• Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation
  by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
• Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
  by Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick
• Likelihood-based scoring rules for comparing density forecasts in tails
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Predicting volatility and correlations with Financial Conditions Indexes
  by Opschoor, Anne & van Dijk, Dick & van der Wel, Michel
• Dynamic Factor Models for the Volatility Surface
  by Michel van der Wel & Sait R. Ozturk & Dick van Dijk
• Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
  by Cem Cakmakli & Richard Paap & Dick J. C. van Dijk
• Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
  by Martin Martens & Dick van Dijk & Michiel de Pooter
• Measuring and Predicting Heterogeneous Recessions
  by Cem Cakmakli & Richard Paap & Dick van Dijk
• Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
  by Anne Opschoor & Dick van Dijk & Michel van der Wel
• Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
  by Michiel D. de Pooter & Francesco Ravazzolo & Dick van Dijk
• Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience
  by Karen Watkins & Dick van Dijk & Jaap Spronk
• Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Stock Selection Strategies in Emerging Markets
  by Jaap van der Hart & Erica Slagter & Dick van Dijk
• Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• Predicting Covariance Matrices with Financial Conditions Indexes
  by Anne Opschoor & Dick van Dijk & Michel van der Wel
• Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression
  by Peter Exterkate & Patrick J. F. Groenen & Christiaan Heij & Dick van Dijk
• On the Effects of Private Information on Volatility
  by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor
• Why do Pit-Hours outlive the Pit?
  by Sait R. Ozturk & Michel van der Wel & Dick van Dijk
• Forecasting Interest Rates with Shifting Endpoints
  by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright
• Structural Differences in Economic Growth
  by Nalan Basturk & Richard Paap & Dick van Dijk
• Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
  by Eran Raviv & Kees E. Bouwman & Dick van Dijk
• Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?
  by Michiel de Pooter & Martin Martens & Dick van Dijk
• High-Frequency Technical Trading: The Importance of Speed
  by Martin Scholtus & Dick van Dijk
• Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
  by Martin L. Scholtus & Dick van Dijk & Bart Frijns
• SETS, Arbitrage Activity, and Stock Price Dynamics
  by Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas
• Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
  by Cem Cakmakli & Dick van Dijk
• An Alternative Bayesian Approach to Structural Breaks in Time Series Models
  by Sjoerd van den Hauwe & Richard Paap & Dick J. C. van Dijk
• Short Patches of Outliers, ARCH and Volatility Modeling
  by Philip Hans Franses & Dick van Dijk & André Lucas
• Bayesian Forecasting of Federal Funds Target Rate Decisions
  by Sjoerd van den Hauwe & Dick van Dijk & Richard Paap
• The Euro Introduction and Non-Euro Currencies
  by Dick van Dijk & Haris Munandar & Christian M. Hafner
• A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
  by Roger Lord & Remmert Koekkoek & Dick van Dijk
• Forecasting Volatility with Copula-Based Time Series Models
  by Oleg Sokolinskiy & Dick van Dijk
• Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
  by Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy & Dick van Dijk
• Forecasting day-ahead electricity prices: Utilizing hourly prices
  by Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick
• Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
  by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
• Out-of-sample comparison of copula specifications in multivariate density forecasts
  by Cees Diks & Valentyn Panchenko & Dick van Dijk
• New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
  by Pawel Janus & André Lucas & Anne Opschoor & Dick J. C. van Dijk
• Forecasting business cycles
  by Laurent Ferrara & Dick van Dijk
• Getting the most out of macroeconomic information for predicting excess stock returns
  by Çakmaklı, Cem & van Dijk, Dick
• Nonlinear forecasting with many predictors using kernel ridge regression
  by Exterkate, Peter & Groenen, Patrick J. F. & Heij, Christiaan & van Dijk, Dick
• Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
  by Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel
• Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
  by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
• Instability and nonlinearity in the euro area Phillips curve
  by Stracca, Livio & Musso, Alberto & van Dijk, Dick
• Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*
  by Dick van Dijk & Philip Hans Franses
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns
  by Anne Opschoor & Pawel Janus & André Lucas & Dick Van Dijk
• Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
  by Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk
• Forecasting business cycles
  by Laurent Ferrara & Dick van Dijk
• Intraday price discovery in fragmented markets
  by Ozturk, Sait R. & van der Wel, Michel & van Dijk, Dick
• Combining expert‐adjusted forecasts
  by Dick van Dijk & Philip Hans Franses
• Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
  by Sander Barendse & Erik Kole & Dick van Dijk
• Dynamic Factor Models for the Volatility Surface
  by Michel van der Wel & Sait R. Ozturk & Dick van Dijk
  edited by
• Panel Smooth Transition Regression Models
  by Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang
• Corporate Governance and the Value of Excess Cash Holdings of Large European Firms
  by Marc B. J. Schauten & Dick van Dijk & Janâ Paul van der Waal
• Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective
  by Karen Watkins & Jaap Spronk & Dick Van Dijk
• The Euro-introduction and non-Euro currencies
  by Van Dijk, Dick & Munandar, Haris & Hafner, Christian
• Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model
  by Bram van Os & Dick van Dijk
• Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
  by A. M. Robert Taylor & Dick van Dijk