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 0 0 5 394 0 0 12 1,059
A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production 0 0 0 0 0 2 3 457
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 252 0 0 1 665
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 357 0 1 1 838
A Recommitment Strategy for Long Term Private Equity Fund Investors 0 0 1 133 0 0 2 412
A multi-level panel smooth transition autoregression for US sectoral production 0 0 0 38 0 0 1 120
A multivariate STAR analysis of the relationship between money and output 0 0 1 127 0 0 4 316
A nonlinear long memory model for US unemployment 0 0 0 43 0 1 2 96
A simple test for PPP among traded goods 0 0 0 12 0 0 1 74
A unified approach to nonlinearity, structural change and outliers 0 0 0 49 0 0 1 139
Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model 0 0 1 61 0 1 3 40
An Alternative Bayesian Approach to Structural Breaks in Time Series Models 0 0 0 77 1 7 9 176
Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry 0 0 0 27 0 0 0 88
Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models 0 0 0 99 0 0 1 291
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models 0 0 0 28 0 0 0 253
Asymmetric and common absorption of shocks in nonlinear autoregressive models 0 0 0 26 0 0 1 97
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error 0 0 0 64 0 0 4 127
Bayesian Forecasting of Federal Funds Target Rate Decisions 1 1 1 24 1 1 1 389
Bayesian Model Averaging in the Presence of Structural Breaks 0 0 0 35 0 0 1 129
Changes in International Business Cycle Affiliations 0 0 0 73 0 0 1 282
Changes in Variability of the Business Cycle in the G7 Countries 0 0 0 131 0 0 1 426
Changes in variability of the business cycle in the G7 countries 0 0 0 14 1 1 2 84
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 0 1 38 0 0 7 97
Cointegration in a historical perspective 0 0 0 110 0 1 1 140
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support 0 0 0 42 0 0 0 93
Contagion as Domino Effect in Global Stock Markets 0 0 0 103 0 3 6 340
Corporate Governance and the Cost of Debt of Large European Firms 0 0 1 100 0 0 1 274
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 1 92 0 0 2 318
Do We Often Find ARCH Because Of Neglected Outliers? 0 0 0 4 0 0 0 45
Do leading indicators lead peaks more than troughs? 0 0 0 92 0 0 1 244
Does Africa grow slower than Asia and Latin America? 0 0 0 12 0 0 1 53
Does the absence of cointegration explain the typical findings in long horizon regressions? 0 1 1 71 0 1 1 235
Dynamic Factor Models for the Volatility Surface 1 2 2 48 1 2 5 109
Evaluating real-time forecasts in real-time 0 0 1 20 0 1 4 89
Financial Development and Convergence Clubs 0 0 0 54 0 0 0 154
Forecast comparison of principal component regression and principal covariate regression 0 1 1 50 0 1 2 173
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices 0 0 0 90 0 0 2 134
Forecasting Interest Rates with Shifting Endpoints 0 1 1 80 0 2 3 199
Forecasting US Inflation Using Model Averaging 0 0 0 2 0 1 2 836
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 1 36 1 1 6 113
Forecasting Volatility with Copula-Based Time Series Models 0 0 3 203 0 0 5 425
Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading 0 0 0 19 0 0 0 104
Forecasting aggregates using panels of nonlinear time series 0 0 0 18 0 0 0 80
Forecasting business cycles 0 0 0 0 0 0 0 32
Forecasting industrial production with linear, nonlinear, and structural change models 0 0 1 65 0 0 1 182
Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model 0 0 0 120 0 0 3 190
Forecasting volatility with switching persistence GARCH models 0 0 0 22 0 0 0 70
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility 0 0 0 187 0 0 1 243
Good News is No News 0 0 0 34 0 0 5 102
Heterogeneity in Manufacturing Growth Risk 0 0 0 10 0 0 1 32
High-Frequency Technical Trading: The Importance of Speed 0 0 2 79 0 0 4 212
How to Identify and Forecast Bull and Bear Markets? 0 0 0 223 0 0 2 325
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 0 87 0 0 1 274
Improved Construction of diffusion indexes for macroeconomic forecasting 0 0 0 25 0 0 0 80
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 0 3 88
Instability and nonlinearity in the euro area Phillips curve 0 0 0 154 0 0 12 485
Likelihood-based scoring rules for comparing density forecasts in tails 1 1 4 14 1 1 7 72
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 0 0 0 766 0 1 1 1,480
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 0 2 4 1,497
Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience 0 0 0 146 0 1 2 585
Macroeconomic forecasting with real-time data: an empirical comparison 0 0 0 79 0 1 3 119
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 1 5 110
Measuring and Predicting Heterogeneous Recessions 0 0 0 30 0 0 0 90
Measuring and Predicting Heterogeneous Recessions 0 0 1 76 0 0 2 279
Measuring volatility with the realized range 0 0 5 89 1 2 13 267
Modeling and Estimation of Synchronization in Multistate Markov-Switching Models 0 0 0 88 0 0 3 220
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity 0 0 0 822 0 1 8 2,399
Modeling asymmetric volatility in weekly Dutch temperature data 0 0 1 23 0 1 2 69
Modeling regional house prices 0 0 1 159 0 0 1 288
Modelling Multiple Regimes in the Business Cycle 0 0 0 57 0 0 1 163
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 0 34 0 0 2 68
Nonlinear Error-Correction Models for Interest Rates in The Netherlands 0 1 3 70 0 1 7 175
Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression 0 0 0 169 0 0 2 472
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression 0 0 0 104 0 0 1 241
Nonlinearities and outliers: robust specification of STAR models 0 0 0 42 0 0 6 143
On the Effects of Private Information on Volatility 0 0 0 40 0 0 1 133
On the Effects of Private Information on Volatility 0 0 0 15 0 0 0 98
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts 0 0 0 99 0 0 0 305
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 2 72 0 0 2 182
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 56 0 0 3 173
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 2 0 0 0 32
Outlier detection in the GARCH (1,1) model 1 1 4 33 1 2 7 105
Panel Smooth Transition Regression Models 0 5 22 230 4 23 109 861
Panel Smooth Transition Regression Models 5 15 81 3,187 26 86 402 9,556
Panel Smooth Transition Regression Models 0 4 27 828 3 14 88 2,432
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 2 73 0 0 3 216
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 38 0 0 1 201
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 66 0 0 1 217
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 0 0 0 73
Predicting Growth Cycle Regimes for European Countries 0 0 0 143 0 0 0 438
Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use? 0 0 1 364 0 0 2 1,296
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information 0 0 0 356 0 1 3 903
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information 0 0 0 141 0 1 1 364
Range-based covariance estimation using high-frequency data: The realized co-range 0 0 0 88 0 0 2 214
Realized mixed-frequency factor models for vast dimensional covariance estimation 0 0 1 60 1 1 3 130
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 0 0 1,381
Seasonal smooth transition autoregression 1 1 4 39 1 1 4 122
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy 0 0 0 14 0 0 0 69
Semi-Parametric Modelling of Correlation Dynamics 0 0 0 57 0 0 2 137
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 1 281 0 0 2 1,015
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 134 0 1 2 456
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 99 0 0 1 697
Short-term volatility versus long-term growth: evidence in US macroeconomic time series 0 0 0 7 0 0 2 76
Smooth Transition Autoregressive Models - A Survey of Recent Developments 3 3 6 1,808 5 7 33 3,398
Smooth transition autoregressive models - A survey of recent developments 1 1 2 455 1 1 7 865
Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements 0 0 3 71 0 0 6 195
Stock Selection Strategies in Emerging Markets 0 0 0 802 0 0 2 1,918
Structural Breaks in the International Transmission of Inflation 0 0 0 210 0 0 0 464
Structural Differences in Economic Growth 0 0 1 121 1 1 4 266
Term structure forecasting using macro factors and forecast combination 0 0 0 95 0 1 4 279
Term structure forecasting using macro factors and forecast combination 0 0 0 154 0 0 0 323
Testing for ARCH in the Presence of Additive Outliers 0 0 0 26 0 0 0 138
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 47 0 1 2 141
Testing for Stochastic Unit Roots - Some Monte Carlo evidence 0 0 0 14 0 0 2 49
Testing for Volatility Changes in US Macroeconomic Time Series 0 0 1 334 0 0 1 818
Testing for causality in variance in the presence of breaks 0 0 0 16 0 0 0 75
Testing for causality in variance in the presence of breaks 0 0 0 154 0 0 1 368
Testing for changes in volatility in heteroskedastic time series - a further examination 0 0 0 56 2 2 3 204
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets 0 0 0 209 0 0 2 475
The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations 0 0 2 298 0 0 2 572
The Euro Introduction and Non-Euro Currencies 0 0 0 216 0 0 0 890
The Euro-introduction and non-Euro currencies 0 0 0 0 0 0 0 9
The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets 0 0 0 79 0 0 0 206
The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? 0 0 0 146 0 2 2 447
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 0 0 0 11 0 0 0 92
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 0 204 0 0 0 965
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 0 1 25 0 0 2 85
Time Variation in Asset Return Dependence: Strength or Structure? 0 0 0 49 0 0 0 148
Time series forecasting by principal covariate regression 0 0 0 86 0 0 0 295
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 1 2 6 2,139
Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks 0 0 0 19 0 0 0 85
Unit root tests and assymmetric adjustment 0 0 0 6 0 0 0 41
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 0 146 1 2 2 474
Why do Pit-Hours outlive the Pit? 0 1 1 9 0 2 2 58
Total Working Papers 14 39 202 20,353 54 190 928 60,229
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 comparison of biased simulation schemes for stochastic volatility models 0 0 0 74 3 4 8 299
A multi-level panel STAR model for US manufacturing sectors 0 0 0 375 0 0 2 1,013
A nonlinear long memory model, with an application to US unemployment 1 1 3 130 2 3 6 339
A simple test for PPP among traded goods 0 0 0 93 0 0 0 290
A unified approach to nonlinearity, structural change, and outliers 0 0 0 167 0 1 9 403
Absorption of shocks in nonlinear autoregressive models 0 0 1 48 3 5 13 148
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry 0 0 2 70 0 0 2 297
Bayesian forecasting of federal funds target rate decisions 0 0 1 15 4 27 49 186
Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? 0 0 0 0 0 0 0 3
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings 0 0 2 2 0 2 7 17
Cointegration in a historical perspective 0 0 0 26 0 1 1 128
Combining expert‐adjusted forecasts 0 0 0 1 0 0 0 11
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support 0 0 1 9 0 0 2 56
Contagion as a domino effect in global stock markets 0 0 2 121 0 1 5 448
Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis 0 0 0 1 0 0 0 5
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 1 9 0 0 5 52
Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective 0 0 0 1 0 0 0 13
Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana 0 0 0 0 0 0 0 239
Do Leading Indicators Lead Peaks More Than Troughs? 0 0 0 58 0 0 2 235
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method 2 2 3 165 2 3 8 380
Forecast comparison of principal component regression and principal covariate regression 0 0 1 70 0 0 2 208
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements 1 1 1 169 1 2 3 435
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 1 1 2 11 3 3 6 48
Forecasting aggregates using panels of nonlinear time series 0 0 0 66 0 0 1 169
Forecasting day-ahead electricity prices: Utilizing hourly prices 0 1 4 50 1 4 11 158
Forecasting returns and risk in financial markets using linear and nonlinear models 0 0 0 95 0 0 1 216
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model 0 0 0 0 0 0 1 64
Forecasting volatility with the realized range in the presence of noise and non-trading 0 0 0 9 1 1 1 60
Forecasting with Leading Indicators by means of the Principal Covariate Index 0 0 0 18 0 0 3 90
Getting the most out of macroeconomic information for predicting excess stock returns 0 1 2 27 0 1 4 81
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 0 22 0 0 0 84
Instability and Nonlinearity in the Euro-Area Phillips Curve 0 0 1 84 0 0 13 352
Intraday price discovery in fragmented markets 0 2 5 22 0 4 7 73
Likelihood-based scoring rules for comparing density forecasts in tails 1 1 3 107 1 3 19 337
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 300 0 0 1 644
MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP 0 0 0 46 0 0 1 140
Macroeconomic forecasting with matched principal components 0 0 0 44 0 1 1 198
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 1 3 0 0 1 19
Measuring and predicting heterogeneous recessions 0 0 0 16 0 0 1 99
Measuring volatility with the realized range 1 3 7 227 1 5 27 647
Modelling regional house prices 0 0 1 35 0 1 3 114
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 1 1 1 4 1 1 3 12
Nonlinear forecasting with many predictors using kernel ridge regression 1 1 1 20 2 4 12 97
On SETAR non-linearity and forecasting 0 0 1 206 1 1 3 658
On the dynamics of business cycle analysis: editors' introduction 0 0 0 56 0 1 1 209
On the dynamics of business cycle analysis: editors' introduction 0 1 1 1 0 1 1 6
Order flow and volatility: An empirical investigation 0 0 1 16 1 3 6 82
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 31 0 2 2 151
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 0 0 0 212 1 1 1 665
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? 0 0 0 173 0 0 2 682
Predicting volatility and correlations with Financial Conditions Indexes 0 0 2 18 0 0 3 83
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* 0 0 1 30 0 0 2 120
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 29 0 1 3 237
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 8 1 1 2 50
Reply 0 0 0 24 0 0 1 88
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 3 6 15 2,435 6 15 44 4,717
Sample size, lag order and critical values of seasonal unit root tests 0 0 0 22 0 0 0 105
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* 0 0 1 25 0 0 2 96
Short patches of outliers, ARCH and volatility modelling 0 0 0 37 0 0 0 210
Speed, algorithmic trading, and market quality around macroeconomic news announcements 1 1 6 73 2 2 13 286
Stock selection strategies in emerging markets 0 1 7 274 0 2 14 795
Structural Breaks in the International Dynamics of Inflation 0 0 3 66 0 0 3 207
Structural differences in economic growth: an endogenous clustering approach 0 0 1 42 0 0 3 171
Testing for ARCH in the Presence of Additive Outliers 0 0 0 213 0 0 2 788
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 0 0 1 512
Testing for Volatility Changes in U.S. Macroeconomic Time Series 0 0 0 285 0 0 1 755
Testing for causality in variance in the presence of breaks 0 0 0 66 0 1 4 202
The economic value of fundamental and technical information in emerging currency markets 0 0 1 169 0 0 2 491
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 0 84 0 0 0 463
The euro introduction and noneuro currencies 0 0 0 39 0 0 0 198
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 1 3 73 0 1 6 270
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? 0 0 0 73 0 2 2 239
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 0 0 1 1,681
Twenty years of cointegration 0 0 0 43 0 0 2 89
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 1 29 1 3 5 117
Total Journal Articles 13 25 90 7,670 38 114 373 24,330


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Dynamic Factor Models for the Volatility Surface☆ 0 0 2 21 0 1 4 98
Total Chapters 0 0 2 21 0 1 4 98


Statistics updated 2024-05-04