Dick van Dijk
Names
first: |
Dick |
last: |
van Dijk |
Contact
email: |
|
homepage: |
https://sites.google.com/view/dickvandijk/ |
phone: |
+31 10 4081263 |
postal address: |
Econometric Institute
Erasmus University Rotterdam
P.O. Box 1738
NL-3000 DR Rotterdam
The Netherlands |
Affiliations
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Erasmus Universiteit Rotterdam
→ Faculteit der Economische Wetenschappen
→ Econometrisch Instituut (weight: 98%)
- website
- location: Rotterdam, Netherlands
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Tinbergen Instituut (weight: 1%)
- website
- location: Amsterdam, Netherlands
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Erasmus Universiteit Rotterdam
→ Erasmus Research Institute of Management (ERIM) (weight: 1%)
- website
- location: Rotterdam, Netherlands
Research profile
author of:
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Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models
by Boswijk, H. P. & van Dijk, D. & Franses, P. H.
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Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
by Sensier, Marianne & Dick van Dijk
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Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
by H. Peter Boswijk & Philip Hans Franses & Dick van Dijk
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Time-Varying Smooth Transition Autoregressive Models
by Lundbergh, Stefan & Teräsvirta, Timo & van Dijk, Dick
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Smooth Transition Autoregressive Models - A Survey of Recent Developments
by van Dijk, Dick & Teräsvirta, Timo & Franses, Philip Hans
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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
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Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series
by M. Sensier & D. van Dijk
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Changes in variability of the business cycle in the G7 countries
by D. van Dijk & D. R. Osborn & M. Sensier
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A Multivariate STAR Analysis of the Relationship Between Money and Output
by Phillip Rothman & Dick van Dijk & Philip Hans Franses
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A Multivariate STAR Analysis of the Relationship Between Money and Output
by Philip Rothman & Dick van Dijk & Philip Hans Franses
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Testing for Smooth Transition Nonlinearity in the Presence of Outliers.
by Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre
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Time-Varying Smooth Transition Autoregressive Models.
by Lundbergh, Stefan & Terasvirta, Timo & van Dijk, Dick
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Testing for ARCH in the Presence of Additive Outliers.
by van Dijk, Dick & Franses, Philip Hans & Lucas, Andre
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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
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On SETAR non-linearity and forecasting
by Dick van Dijk & Philip Hans Franses & Michael P. Clements & Jeremy Smith
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Predicting Growth Cycle Regimes for European Countries
by D. R. Osborn & M. Sensier & D. van Dijk
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Testing for Volatility Changes in US Macroeconomic Time Series
by M. Sensier & D. van Dijk
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A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
by P. H. Franses & D. Fok & D. van Dijk
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Changes in Variability of the Business Cycle in the G7 Countries
by D. van Dijk & D. R. Osborn & M. Sensier
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Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
by M. Sensier & D. van Dijk
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Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
by Timo Teräsvirta & Dick van Dijk & Marcelo Cunha Medeiros
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Stock selection strategies in emerging markets
by van der Hart, Jaap & Slagter, Erica & van Dijk, Dick
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Testing for Volatility Changes in U.S. Macroeconomic Time Series
by Marianne Sensier & Dick van Dijk
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Forecasting US Inflation Using Model Averaging
by Dick van Dijk
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Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
by Teräsvirta, Timo & van Dijk, Dick & Medeiros, Marcelo
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Short patches of outliers, ARCH and volatility modelling
by Philip Hans Franses & Dick van Dijk & Andre Lucas
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Testing for causality in variance in the presence of breaks
by D. van Dijk & D. R. Osborn & M. Sensier
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On the dynamics of business cycle analysis: editors' introduction
by Philip Hans Franses & Herman K. van Dijk & Dick van Dijk
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A nonlinear long memory model, with an application to US unemployment
by van Dijk, Dick & Franses, Philip Hans & Paap, Richard
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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
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The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
by Franses, Philip Hans & van Dijk, Dick
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Panel Smooth Transition Regression Models
by González, Andrés & Teräsvirta, Timo & van Dijk, Dick & Yang, Yukai
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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
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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.
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Testing for causality in variance in the presence of breaks
by van Dijk, Dick & Osborn, Denise R. & Sensier, Marianne
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Forecasting aggregates using panels of nonlinear time series
by Fok, Dennis & van Dijk, Dick & Franses, Philip Hans
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A multi-level panel STAR model for US manufacturing sectors
by Dick van Dijk & Dennis Fok & Philip Hans Franses
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Reply
by Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C.
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Panel Smooth Transition Regression Models
by Andres Gonzalez & Timo Terasvirta & Dick van Dijk
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A simple test for PPP among traded goods
by Philip Hans Franses & Dick van Dijk
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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
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Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
by Swanson, Norman R. & van Dijk, Dick
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Sample size, lag order and critical values of seasonal unit root tests
by Harvey, David I. & van Dijk, Dick
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A unified approach to nonlinearity, structural change, and outliers
by Giordani, Paolo & Kohn, Robert & van Dijk, Dick
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Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information
by De Pooter, Michiel & Ravazzolo, Francesco & van Dijk, Dick
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Absorption of shocks in nonlinear autoregressive models
by van Dijk, Dick & Hans Franses, Philip & Peter Boswijk, H.
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Forecast comparison of principal component regression and principal covariate regression
by Heij, Christiaan & Groenen, Patrick J. F. & van Dijk, Dick
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Measuring volatility with the realized range
by Martens, Martin & van Dijk, Dick
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SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
by Dick van Dijk & Timo Terasvirta & Philip Hans Franses
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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
by Cees Diks & Valentyn Panchenko & Dick van Dijk
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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
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Macroeconomic forecasting with matched principal components
by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J. F.
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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
by Dijk, D. van & Diks, C. G. H. & Panchenko, V.
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Forecasting returns and risk in financial markets using linear and nonlinear models
by Clements, Michael P. & Milas, Costas & van Dijk, Dick
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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
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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
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Out-of-sample comparison of copula specifications in multivariate density forecasts
by Cees Diks & Valentyn Panchenko & Dick van Dijk
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Out-of-sample comparison of copula specifications in multivariate density forecasts
by Diks, C. G. H. & Dijk, D. van & Panchenko, V.
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Structural Breaks in the International Transmission of Inflation
by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
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Instability and Nonlinearity in the Euro-Area Phillips Curve
by Alberto Musso & Livio Stracca & Dick van Dijk
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Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-*
by Karim Bannouh & Dick van Dijk & Martin Martens
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The economic value of fundamental and technical information in emerging currency markets
by de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick
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Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana
by Watkins, Karen & van Dijk, Dick & Spronk, Jaap
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Changes in International Business Cycle Affiliations
by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
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Do Leading Indicators Lead Peaks More Than Troughs?
by Paap, Richard & Segers, Rene & van Dijk, Dick
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Changes in International Business Cycle Affiliations
by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
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Contagion as a domino effect in global stock markets
by Markwat, Thijs & Kole, Erik & van Dijk, Dick
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A comparison of biased simulation schemes for stochastic volatility models
by Roger Lord & Remmert Koekkoek & Dick Van Dijk
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Term structure forecasting using macro factors and forecast combination
by Michiel de Pooter & Francesco Ravazzolo & Dick van Dijk
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Term structure forecasting using macro factors and forecast combination
by Michiel De Pooter & Francesco Ravazzolo & Dick Van Dijk
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The euro introduction and noneuro currencies
by Dick van Dijk & Haris Munandar & Christian Hafner
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Cointegration in a historical perspective
by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
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Real-time macroeconomic forecasting with leading indicators: An empirical comparison
by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J. F.
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Twenty years of cointegration
by Boswijk, H. Peter & Franses, Philip Hans & van Dijk, Dick
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MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP
by Rothman, Philip & van Dijk, Dick & , Philip Hans
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Out-of-sample comparison of copula specifications in multivariate density forecasts
by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
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Forecasting with Leading Indicators by means of the Principal Covariate Index
by Christiaan Heij & Dick van Dijk & Patrick J. F. Groenen
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Likelihood-based scoring rules for comparing density forecasts in tails
by Diks, Cees & Panchenko, Valentyn & van Dijk, Dick
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Modelling regional house prices
by Bram van Dijk & Philip Hans Franses & Richard Paap & Dick van Dijk
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Measuring and Predicting Heterogeneous Recessions
by Cem Cakmakli & Richard Paap & Dick van Dijk
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On the Effects of Private Information on Volatility
by Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor
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Real-time macroeconomic forecasting with leading indicators: An empirical comparison
by Heij, Christiaan & van Dijk, Dick & Groenen, Patrick J. F.
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Structural differences in economic growth: an endogenous clustering approach
by Nalan Baştürk & Richard Paap & Dick van Dijk
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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
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Structural Breaks in the International Dynamics of Inflation
by Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk
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Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression
by Peter Exterkate & Patrick J. F. Groenen & Christiaan Heij & Dick van Dijk
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When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
by Jana P. Fidrmuc & Alessandro Palandri & Peter Roosenboom & Dick van Dijk
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Bayesian forecasting of federal funds target rate decisions
by van den Hauwe, Sjoerd & Paap, Richard & van Dijk, Dick
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Good News is No News
by van Dijk, D. J. C.
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Evaluating real-time forecasts in real-time
by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Ravazzolo, F.
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A multi-level panel smooth transition autoregression for US sectoral production
by Fok, D. & van Dijk, D. J. C. & Franses, Ph. H. B. F.
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Range-based covariance estimation using high-frequency data: The realized co-range
by Bannouh, K. & van Dijk, D. J. C. & Martens, M. P. E.
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Modeling regional house prices
by van Dijk, A. & Franses, Ph. H. B. F. & Paap, R. & van Dijk, D. J. C.
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Testing for Smooth Transition Nonlinearity in the Presence of Outliers
by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Lucas, A.
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Testing for ARCH in the Presence of Additive Outliers
by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Lucas, A.
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Modelling Multiple Regimes in the Business Cycle
by van Dijk, D. J. C. & Franses, Ph. H. B. F.
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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.
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Do We Often Find ARCH Because Of Neglected Outliers?
by Franses, Ph. H. B. F. & van Dijk, D. J. C.
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Nonlinear Error-Correction Models for Interest Rates in The Netherlands
by van Dijk, D. J. C. & Franses, Ph. H. B. F.
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Modeling asymmetric volatility in weekly Dutch temperature data
by Franses, Ph. H. B. F. & Neele, J. & van Dijk, D. J. C.
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Nonlinearities and outliers: robust specification of STAR models
by Escribano, A. & Franses, Ph. H. B. F. & van Dijk, D. J. C.
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Forecasting volatility with switching persistence GARCH models
by Franses, Ph. H. B. F. & Neele, J. & van Dijk, D. J. C.
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Does the absence of cointegration explain the typical findings in long horizon regressions?
by Berben, R.-P. & van Dijk, D. J. C.
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Unit root tests and assymmetric adjustment
by Berben, R.-P. & van Dijk, D. J. C.
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Cointegration in a historical perspective
by Franses, Ph. H. B. F. & van Dijk, D. J. C.
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Testing for Stochastic Unit Roots - Some Monte Carlo evidence
by Taylor, A. M. R. & van Dijk, D. J. C.
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Outlier detection in the GARCH (1,1) model
by Franses, Ph. H. B. F. & van Dijk, D. J. C.
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A multivariate STAR analysis of the relationship between money and output
by Rothman, P. & van Dijk, D. J. C. & Franses, Ph. H. B. F.
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Testing for changes in volatility in heteroskedastic time series - a further examination
by de Pooter, M. D. & van Dijk, D. J. C.
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Asymmetric and common absorption of shocks in nonlinear autoregressive models
by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Boswijk, H. P.
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Seasonal smooth transition autoregression
by Franses, Ph. H. B. F. & de Bruin, P. & van Dijk, D. J. C.
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Smooth transition autoregressive models - A survey of recent developments
by van Dijk, D. J. C. & Terasvirta, T. & Franses, Ph. H. B. F.
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A nonlinear long memory model for US unemployment
by van Dijk, D. J. C. & Franses, Ph. H. B. F. & Paap, R.
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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.
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Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry
by Swanson, N. R. & van Dijk, D. J. C.
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Does Africa grow slower than Asia and Latin America?
by Paap, R. & Franses, Ph. H. B. F. & van Dijk, D. J. C.
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Macroeconomic forecasting with real-time data: an empirical comparison
by Heij, C. & van Dijk, D. J. C. & Groenen, P. J. F.
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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy
by van Dijk, D. J. C. & Franses, Ph. H. B. F.
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Forecasting industrial production with linear, nonlinear, and structural change models
by Siliverstovs, B. & van Dijk, D. J. C.
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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.
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A unified approach to nonlinearity, structural change and outliers
by Giordani, P. & Kohn, R. & van Dijk, D. J. C.
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Financial Development and Convergence Clubs
by Basturk, N. & Paap, R. & van Dijk, D. J. C.
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Changes in variability of the business cycle in the G7 countries
by van Dijk, D. J. C. & Osborn, D. R. & Sensier, M.
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A simple test for PPP among traded goods
by Franses, Ph. H. B. F. & van Dijk, D. J. C.
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Semi-Parametric Modelling of Correlation Dynamics
by Hafner, C. M. & van Dijk, D. J. C. & Franses, Ph. H. B. F.
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Forecast comparison of principal component regression and principal covariate regression
by Heij, C. & Groenen, P. J. F. & van Dijk, D. J. C.
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Improved Construction of diffusion indexes for macroeconomic forecasting
by Heij, C. & van Dijk, D. J. C. & Groenen, P. J. F.
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Measuring volatility with the realized range
by Martens, M. P. E. & van Dijk, D. J. C.
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Bayesian Model Averaging in the Presence of Structural Breaks
by Ravazzolo, F. & van Dijk, D. J. C. & Paap, R. & Franses, Ph. H. B. F.
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Time series forecasting by principal covariate regression.
by Heij, C. & Groenen, P. J. F. & van Dijk, D. J. C.
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Do leading indicators lead peaks more than troughs?
by Paap, R. & Segers, R. & van Dijk, D. J. C.
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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.
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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.
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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.
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A Recommitment Strategy for Long Term Private Equity Fund Investors
by de Zwart, G. J. & Frieser, B. & van Dijk, D. J. C.
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The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets
by de Zwart, G. J. & van Dijk, D. J. C.
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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.
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Contagion as Domino Effect in Global Stock Markets
by Markwat, T. D. & Kole, H. J. W. G. & van Dijk, D. J. C.
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Time Variation in Asset Return Dependence: Strength or Structure?
by Markwat, T. D. & Kole, H. J. W. G. & van Dijk, D. J. C.
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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.
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Corporate Governance and the Cost of Debt of Large European Firms
by Schauten, M. B. J. & van Dijk, D. J. C.
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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.
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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.
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How to Identify and Forecast Bull and Bear Markets?
by Kole, H. J. W. G. & van Dijk, D. J. C.
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Measuring and predicting heterogeneous recessions
by Çakmaklı, Cem & Paap, Richard & van Dijk, Dick
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Forecasting volatility with the realized range in the presence of noise and non-trading
by Bannouh, Karim & Martens, Martin & van Dijk, Dick
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Speed, algorithmic trading, and market quality around macroeconomic news announcements
by Scholtus, Martin & van Dijk, Dick & Frijns, Bart
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Market Set-Up in Advance of Federal Reserve Policy Decisions
by Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel
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Order flow and volatility: An empirical investigation
by Opschoor, Anne & Taylor, Nick & van der Wel, Michel & van Dijk, Dick
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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
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Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
by Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick
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Likelihood-based scoring rules for comparing density forecasts in tails
by Cees Diks & Valentyn Panchenko & Dick van Dijk
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Predicting volatility and correlations with Financial Conditions Indexes
by Opschoor, Anne & van Dijk, Dick & van der Wel, Michel
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Dynamic Factor Models for the Volatility Surface
by Michel van der Wel & Sait R. Ozturk & Dick van Dijk
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
by Cem Cakmakli & Richard Paap & Dick J. C. van Dijk
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
by Martin Martens & Dick van Dijk & Michiel de Pooter
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Measuring and Predicting Heterogeneous Recessions
by Cem Cakmakli & Richard Paap & Dick van Dijk
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Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
by Anne Opschoor & Dick van Dijk & Michel van der Wel
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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
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Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience
by Karen Watkins & Dick van Dijk & Jaap Spronk
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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
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Why do Pit-Hours outlive the Pit?
by Sait R. Ozturk & Michel van der Wel & Dick van Dijk
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Forecasting Interest Rates with Shifting Endpoints
by Dick van Dijk & Siem Jan Koopman & Michel van der Wel & Jonathan H. Wright
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Structural Differences in Economic Growth
by Nalan Basturk & Richard Paap & Dick van Dijk
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Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
by Eran Raviv & Kees E. Bouwman & Dick van Dijk
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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
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High-Frequency Technical Trading: The Importance of Speed
by Martin Scholtus & Dick van Dijk
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Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
by Martin L. Scholtus & Dick van Dijk & Bart Frijns
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SETS, Arbitrage Activity, and Stock Price Dynamics
by Nick Taylor & Dick van Dijk & Philip Hans Franses & André Lucas
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Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
by Cem Cakmakli & Dick van Dijk
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
by Sjoerd van den Hauwe & Richard Paap & Dick J. C. van Dijk
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Short Patches of Outliers, ARCH and Volatility Modeling
by Philip Hans Franses & Dick van Dijk & André Lucas
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Bayesian Forecasting of Federal Funds Target Rate Decisions
by Sjoerd van den Hauwe & Dick van Dijk & Richard Paap
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The Euro Introduction and Non-Euro Currencies
by Dick van Dijk & Haris Munandar & Christian M. Hafner
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
by Roger Lord & Remmert Koekkoek & Dick van Dijk
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Forecasting Volatility with Copula-Based Time Series Models
by Oleg Sokolinskiy & Dick van Dijk
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
by Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy & Dick van Dijk
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Forecasting day-ahead electricity prices: Utilizing hourly prices
by Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick
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Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
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Out-of-sample comparison of copula specifications in multivariate density forecasts
by Cees Diks & Valentyn Panchenko & Dick van Dijk
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New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
by Pawel Janus & André Lucas & Anne Opschoor & Dick J. C. van Dijk
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Forecasting business cycles
by Laurent Ferrara & Dick van Dijk
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Getting the most out of macroeconomic information for predicting excess stock returns
by Çakmaklı, Cem & van Dijk, Dick
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Nonlinear forecasting with many predictors using kernel ridge regression
by Exterkate, Peter & Groenen, Patrick J. F. & Heij, Christiaan & van Dijk, Dick
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Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
by Dick van Dijk & Robin L. Lumsdaine & Michel van der Wel
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Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
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Instability and nonlinearity in the euro area Phillips curve
by Stracca, Livio & Musso, Alberto & van Dijk, Dick
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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*
by Dick van Dijk & Philip Hans Franses
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New HEAVY Models for Fat-Tailed Realized Covariances and Returns
by Anne Opschoor & Pawel Janus & André Lucas & Dick Van Dijk
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Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
by Anne Opschoor & André Lucas & Istvan Barra & Dick van Dijk
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Forecasting business cycles
by Laurent Ferrara & Dick van Dijk
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Intraday price discovery in fragmented markets
by Ozturk, Sait R. & van der Wel, Michel & van Dijk, Dick
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Combining expert‐adjusted forecasts
by Dick van Dijk & Philip Hans Franses
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Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
by Sander Barendse & Erik Kole & Dick van Dijk
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Dynamic Factor Models for the Volatility Surface
by Michel van der Wel & Sait R. Ozturk & Dick van Dijk
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Panel Smooth Transition Regression Models
by Andrés González & Timo Teräsvirta & Dick van Dijk & Yukai Yang
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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
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Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective
by Karen Watkins & Jaap Spronk & Dick Van Dijk
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The Euro-introduction and non-Euro currencies
by Van Dijk, Dick & Munandar, Haris & Hafner, Christian
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Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model
by Bram van Os & Dick van Dijk
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Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
by A. M. Robert Taylor & Dick van Dijk