Access Statistics for Dick van Dijk

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models 4 13 41 287 17 37 114 621
A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production 0 0 0 0 6 14 39 257
A Multivariate STAR Analysis of the Raltionship Between Money and Output 0 0 0 1 5 13 58 779
A Multivariate STAR Analysis of the Relationship Between Money and Output 2 9 36 199 8 23 68 501
A Multivariate STAR Analysis of the Relationship Between Money and Output 2 9 44 259 6 15 70 577
A multivariate STAR analysis of the relationship between money and output 10 25 85 460 14 37 155 1,144
A nonlinear long memory model for US unemployment 0 3 26 352 3 9 67 1,162
A simple test for PPP among traded goods 5 10 51 499 26 45 152 1,407
Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry 0 1 6 72 2 9 29 380
Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models 2 4 7 82 2 7 12 230
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models 0 0 0 24 0 2 6 166
Asymmetric and common absorption of shocks in nonlinear autoregressive models 1 4 12 137 3 9 35 462
Changes in Variability of the Business Cycle in the G7 Countries 1 3 12 79 6 10 32 168
Changes in variability of the business cycle in the G7 countries 0 0 7 142 2 6 20 681
Changes in variability of the business cycle in the G7 countries 0 0 2 50 1 2 12 171
Do We Often Find ARCH Because of Neglected Outliers? 0 0 0 0 14 28 39 678
Do we often find ARCH because of neglected outliers ? 1 2 4 156 1 4 11 537
Does Africa grow slower than Asia and Latin America 4 5 13 208 10 16 66 656
Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regression? 0 0 0 1 5 13 35 401
Does the absence of cointegration explain the typical findings in long horizon regressions? 4 7 26 229 8 19 57 615
Forecasting US Inflation Using Model Averaging 0 0 0 2 3 11 53 686
Forecasting Volatility with Switching Persistence GARCH Models 0 0 0 1 0 3 30 848
Forecasting industrial production with linear, nonlinear and structural change models 4 12 59 508 15 32 134 1,165
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 5 8 11 11 10 19 30 30
Instability and nonlinearity in the Euro area Phillips curve 3 8 23 87 6 16 57 173
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 6 20 67 562 6 23 104 1,023
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 9 24 109 1,119
Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience 2 5 22 105 6 15 65 367
Modeling Asymmetric Volatility in Weekly Dutch Temperature Data 0 0 0 0 3 4 26 327
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity 5 14 65 661 23 54 197 1,843
Modelling Multiple Regimes in the Business Cycle 0 0 0 1 2 7 45 1,006
Nonlinear Error-Correction Models for Interest rates in the Netherlands 0 0 0 1 9 22 74 1,129
Nonlinear error-correction models for interest rates in the Netherlands 3 7 36 501 4 13 54 1,130
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts 1 3 11 11 4 9 30 30
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 3 20 20 5 13 30 30
Out-of-sample comparison of copula specifications in multivariate density forecasts 3 5 43 43 7 10 52 52
Outlier Detection in the GARCH(1,1) Model 0 0 0 0 8 21 62 681
Outlier detection in the GARCH (1,1) model 3 7 21 384 5 10 37 993
Panel Smooth Transition Regression Models 7 13 63 338 16 27 152 680
Panel Smooth Transition Regression Models 14 39 157 629 28 88 378 1,392
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 1 5 21 32 2 13 49 79
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 5 15 2 12 29 41
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 2 3 18 45 4 9 64 112
Predicting Growth Cycle Regimes for European Countries 5 8 13 93 7 15 33 253
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? 2 13 38 284 14 41 140 946
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information 7 15 55 258 9 24 123 545
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information 3 11 29 88 6 17 60 182
SETS, Arbitrage Activity, and Stock Price Dynamics 1 2 9 292 2 5 40 1,241
Seasonal smooth transition autoregression 5 7 25 236 7 11 48 697
Selecting a nonlinear time series model using weighted tests of equal forecast accuracy 2 8 24 553 6 21 73 1,551
Short Patches of Outliers, ARCH and Volatility Modeling 1 1 13 256 4 8 36 912
Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series 2 3 6 48 3 6 22 182
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 2 2 10 121 3 6 31 362
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 1 3 11 39 6 22 80 251
Short-term volatility versus long-term growth 0 1 7 207 6 15 55 1,196
Smooth Transition Autoregressive Models - A Survey of Recent Developments 18 53 266 1,215 23 70 407 2,132
Smooth transition autoregressive models - A survey of recent developments 16 52 316 1,908 25 72 465 2,797
Stock Selection Strategies in Emerging Markets 4 14 67 667 11 38 195 1,456
Structural Breaks in the International Transmission of Inflation 4 13 38 38 9 32 48 48
Structural Differences in Economic Growth 1 4 32 76 4 18 77 89
Testing for ARCH in the Presence of Additive Outliners 0 0 0 0 0 3 39 1,061
Testing for ARCH in the presence of additive outliers 1 3 17 240 2 8 41 824
Testing for Volatility Changes in US Macroeconomic Time Series 4 8 43 212 6 17 75 389
Testing for causality in variance in the presence of breaks 4 7 22 110 5 12 38 202
Testing for smooth transition nonlinearity in the presence of outliers 3 4 22 197 4 5 39 653
Testing for stochastic unit roots - Some Monte Carlo evidence 3 5 21 236 4 7 34 569
The Euro Introduction and Non-Euro Currencies 1 3 22 161 3 8 72 647
The Forecasting Performance of Various Models for Seasonality and Nonlinearity for Quarterly Industrial Production 10 18 70 445 34 78 292 1,416
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 2 5 12 159 13 29 90 952
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 2 4 10 164 6 11 38 836
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 13 25 117 1,638
Total Working Papers 199 514 2,212 15,912 551 1,397 5,746 50,556
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A multi-level panel STAR model for US manufacturing sectors 3 8 27 122 7 21 78 354
A nonlinear long memory model, with an application to US unemployment 1 2 13 58 3 5 21 122
A simple test for PPP among traded goods 0 1 10 61 2 6 25 194
A unified approach to nonlinearity, structural change, and outliers 2 4 14 68 3 6 28 128
Absorption of shocks in nonlinear autoregressive models 1 1 7 18 2 3 14 31
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry 0 2 11 28 1 9 32 133
Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? 0 1 3 33 0 5 9 134
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method 0 1 4 67 0 4 13 144
Forecast comparison of principal component regression and principal covariate regression 0 2 8 46 1 6 19 104
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements 5 17 32 32 13 37 82 82
Forecasting aggregates using panels of nonlinear time series 0 0 1 36 1 1 8 90
Forecasting returns and risk in financial markets using linear and nonlinear models 6 24 53 53 11 41 113 113
Instability and Nonlinearity in the Euro-Area Phillips Curve 2 7 9 9 3 14 17 17
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 1 7 26 203 4 13 47 394
MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP 2 8 12 12 5 13 24 24
Macroeconomic forecasting with matched principal components 2 2 13 16 4 7 45 63
Measuring volatility with the realized range 3 8 26 70 5 15 53 202
On SETAR non-linearity and forecasting 4 9 23 150 6 11 46 475
On the dynamics of business cycle analysis: editors' introduction 2 3 5 45 3 5 15 150
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 4 7 26 140 7 17 67 356
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? 4 7 38 56 12 21 142 209
Reply 2 2 4 14 2 3 10 41
SMOOTH TRANSITION AUTOREGRESSIVE MODELS - A SURVEY OF RECENT DEVELOPMENTS 28 91 391 944 49 156 653 1,562
Sample size, lag order and critical values of seasonal unit root tests 1 2 5 11 2 5 23 50
Short patches of outliers, ARCH and volatility modelling 0 0 6 30 1 2 19 115
Stock selection strategies in emerging markets 0 2 11 171 5 10 38 482
Testing for ARCH in the Presence of Additive Outliers 1 3 28 168 1 5 44 620
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 4 5 25 344
Testing for Volatility Changes in U.S. Macroeconomic Time Series 2 5 26 164 4 9 49 449
Testing for causality in variance in the presence of breaks 0 1 5 40 1 3 13 108
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 4 69 3 3 52 357
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 1 3 11 41 3 6 26 146
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? 0 0 1 50 0 0 3 120
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 18 30 180 1,149
Total Journal Articles 77 230 853 3,033 186 497 2,033 9,062

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Statistics updated 2009-11-04