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 4 379 7 10 24 987
A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production 0 0 0 0 2 3 6 440
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 1 1 356 2 4 7 830
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 252 1 3 13 655
A Recommitment Strategy for Long Term Private Equity Fund Investors 0 0 2 128 2 3 11 386
A multi-level panel smooth transition autoregression for US sectoral production 0 0 1 37 1 2 6 109
A multivariate STAR analysis of the relationship between money and output 0 0 2 120 2 4 16 293
A nonlinear long memory model for US unemployment 0 0 2 41 0 0 7 91
A simple test for PPP among traded goods 0 0 0 11 0 1 2 62
A unified approach to nonlinearity, structural change and outliers 0 0 0 45 2 2 5 118
An Alternative Bayesian Approach to Structural Breaks in Time Series Models 0 0 0 75 4 4 10 155
Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry 0 0 1 26 1 2 7 82
Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models 0 0 1 98 0 1 4 287
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models 0 0 0 27 0 2 3 239
Asymmetric and common absorption of shocks in nonlinear autoregressive models 0 0 2 24 0 1 5 71
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error 0 4 41 41 0 9 33 33
Bayesian Forecasting of Federal Funds Target Rate Decisions 0 0 0 23 9 10 59 281
Bayesian Model Averaging in the Presence of Structural Breaks 0 0 3 34 0 2 15 115
Changes in International Business Cycle Affiliations 0 0 0 28 3 4 10 88
Changes in International Business Cycle Affiliations 0 0 0 72 1 3 8 272
Changes in Variability of the Business Cycle in the G7 Countries 0 0 0 129 0 3 6 411
Changes in variability of the business cycle in the G7 countries 0 0 0 13 0 4 7 77
Changes in variability of the business cycle in the G7 countries 0 0 0 65 0 3 7 258
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 1 35 35 1 4 20 20
Cointegration in a historical perspective 0 0 2 109 1 4 9 124
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support 0 0 0 40 1 1 6 79
Contagion as Domino Effect in Global Stock Markets 0 0 2 96 5 7 12 269
Corporate Governance and the Cost of Debt of Large European Firms 0 0 2 89 1 4 16 223
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 3 86 2 2 14 289
Do We Often Find ARCH Because Of Neglected Outliers? 0 0 0 4 0 0 4 39
Do leading indicators lead peaks more than troughs? 0 0 1 91 3 7 12 224
Does Africa grow slower than Asia and Latin America? 0 0 0 12 0 0 5 48
Does the absence of cointegration explain the typical findings in long horizon regressions? 0 1 3 61 5 13 22 200
Dynamic Factor Models for the Volatility Surface 0 0 1 43 1 2 8 89
Evaluating real-time forecasts in real-time 0 0 1 15 2 2 9 65
Financial Development and Convergence Clubs 0 0 2 51 1 2 10 144
Forecast comparison of principal component regression and principal covariate regression 0 1 2 46 1 3 6 155
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices 0 0 1 80 2 4 8 104
Forecasting Interest Rates with Shifting Endpoints 0 0 0 73 1 2 6 177
Forecasting US Inflation Using Model Averaging 0 0 0 2 1 3 13 811
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 3 32 1 1 13 53
Forecasting Volatility with Copula-Based Time Series Models 1 1 2 195 2 4 14 396
Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading 0 0 2 19 2 2 9 94
Forecasting aggregates using panels of nonlinear time series 0 0 0 18 0 0 6 73
Forecasting industrial production with linear, nonlinear, and structural change models 0 0 1 59 1 4 13 159
Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model 0 0 1 117 0 0 8 167
Forecasting volatility with switching persistence GARCH models 0 0 0 20 0 1 3 57
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility 0 0 1 185 2 2 6 229
Good News is No News 0 0 0 31 1 1 2 82
High-Frequency Technical Trading: The Importance of Speed 0 0 4 73 2 4 13 173
How to Identify and Forecast Bull and Bear Markets? 0 0 4 206 2 3 20 219
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 1 83 3 3 7 261
Improved Construction of diffusion indexes for macroeconomic forecasting 0 0 0 23 2 2 6 74
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 64 2 2 8 68
Instability and nonlinearity in the euro area Phillips curve 0 1 2 152 0 2 10 385
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 0 0 3 759 2 2 13 1,447
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 1 1 13 1,469
Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience 0 0 1 141 3 3 10 565
Macroeconomic forecasting with real-time data: an empirical comparison 0 0 2 78 2 3 7 109
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 36 0 0 2 91
Measuring and Predicting Heterogeneous Recessions 0 0 1 30 2 3 9 82
Measuring and Predicting Heterogeneous Recessions 0 0 0 72 0 2 7 250
Measuring volatility with the realized range 0 1 9 62 1 3 18 181
Modeling and Estimation of Synchronization in Multistate Markov-Switching Models 0 3 6 86 1 5 10 200
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity 0 1 4 800 4 9 18 2,327
Modeling asymmetric volatility in weekly Dutch temperature data 0 0 0 21 0 1 4 59
Modeling regional house prices 0 0 2 150 2 5 15 270
Modelling Multiple Regimes in the Business Cycle 0 3 5 47 3 8 13 128
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 1 34 0 0 5 58
Nonlinear Error-Correction Models for Interest Rates in The Netherlands 1 2 8 52 3 6 24 116
Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression 0 0 2 166 1 5 13 448
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression 0 0 0 98 0 1 2 203
Nonlinearities and outliers: robust specification of STAR models 0 1 2 39 0 1 3 85
On the Effects of Private Information on Volatility 0 0 0 40 2 3 7 122
On the Effects of Private Information on Volatility 0 0 0 15 2 4 6 92
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts 0 0 0 98 1 2 7 295
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 1 56 0 1 5 155
Out-of-sample comparison of copula specifications in multivariate density forecasts 1 1 2 63 2 3 7 169
Outlier detection in the GARCH (1,1) model 0 0 2 25 1 1 8 86
Panel Smooth Transition Regression Models 2 15 35 667 12 35 98 1,782
Panel Smooth Transition Regression Models 7 34 126 2,534 29 117 540 6,899
Panel Smooth Transition Regression Models 3 11 46 64 13 46 151 207
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 37 0 3 5 192
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 65 2 3 5 210
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 1 1 2 65 2 3 5 201
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 11 1 1 5 61
Predicting Growth Cycle Regimes for European Countries 0 0 1 142 2 2 9 427
Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use? 0 0 1 360 4 8 16 1,272
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information 0 0 0 350 2 5 16 870
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information 0 0 0 139 0 3 13 349
Range-based covariance estimation using high-frequency data: The realized co-range 0 0 1 84 1 3 7 194
Realized mixed-frequency factor models for vast dimensional covariance estimation 0 0 0 56 1 4 11 109
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 2 2 6 1,374
Seasonal smooth transition autoregression 1 4 5 30 2 6 10 104
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy 0 0 0 12 0 2 8 57
Semi-Parametric Modelling of Correlation Dynamics 0 0 2 54 1 1 10 122
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 1 280 1 3 8 1,003
Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 57 0 0 5 275
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 134 3 3 9 450
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 97 1 4 12 681
Short-term volatility versus long-term growth: evidence in US macroeconomic time series 0 0 0 7 0 1 9 69
Smooth Transition Autoregressive Models - A Survey of Recent Developments 2 3 8 1,784 5 9 35 3,288
Smooth transition autoregressive models - A survey of recent developments 0 1 15 420 8 17 48 751
Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements 0 0 1 59 0 0 5 147
Stock Selection Strategies in Emerging Markets 0 0 6 784 2 3 27 1,861
Structural Breaks in the International Transmission of Inflation 0 0 0 210 0 0 2 459
Structural Differences in Economic Growth 0 0 1 117 3 4 10 249
Term structure forecasting using macro factors and forecast combination 0 0 1 150 2 3 14 308
Term structure forecasting using macro factors and forecast combination 0 0 2 91 3 6 19 242
Testing for ARCH in the Presence of Additive Outliers 0 0 0 25 2 3 10 124
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 2 3 44 1 5 7 110
Testing for Stochastic Unit Roots - Some Monte Carlo evidence 0 0 0 14 1 1 5 42
Testing for Volatility Changes in US Macroeconomic Time Series 0 0 3 324 3 10 19 793
Testing for causality in variance in the presence of breaks 0 0 0 152 3 3 11 353
Testing for causality in variance in the presence of breaks 0 0 0 15 0 0 6 70
Testing for changes in volatility in heteroskedastic time series - a further examination 1 1 2 50 4 10 22 172
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets 0 1 2 207 3 5 11 451
The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations 0 1 3 291 1 2 6 544
The Euro Introduction and Non-Euro Currencies 1 1 1 212 3 5 17 871
The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets 0 0 0 79 0 0 2 198
The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? 0 0 2 145 0 3 10 426
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 0 0 1 11 0 1 11 81
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 1 202 2 2 4 960
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 0 0 22 2 3 6 72
Time Variation in Asset Return Dependence: Strength or Structure? 0 1 1 46 2 6 14 131
Time series forecasting by principal covariate regression 0 0 1 84 2 3 9 280
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 4 12 28 2,095
Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks 0 0 1 17 0 1 2 59
Unit root tests and assymmetric adjustment 0 0 0 6 0 4 10 39
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 1 2 146 1 2 8 462
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 0 3 2 4 9 35
Why do Pit-Hours outlive the Pit? 0 0 0 6 2 4 5 37
Total Working Papers 21 99 464 18,888 258 629 2,165 53,515
4 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 62 1 1 3 252
A multi-level panel STAR model for US manufacturing sectors 0 0 2 363 0 0 11 969
A nonlinear long memory model, with an application to US unemployment 0 0 1 122 0 1 10 306
A simple test for PPP among traded goods 0 0 0 93 0 1 2 280
A unified approach to nonlinearity, structural change, and outliers 0 1 3 160 2 4 13 350
Absorption of shocks in nonlinear autoregressive models 0 0 0 45 0 0 2 112
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry 0 0 0 66 0 0 3 277
Bayesian forecasting of federal funds target rate decisions 0 0 0 14 4 6 14 128
Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? 0 0 0 38 0 0 3 162
Cointegration in a historical perspective 0 0 1 21 1 2 6 110
Combining expert‐adjusted forecasts 0 0 0 0 1 2 5 5
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support 0 0 0 8 0 0 7 49
Contagion as a domino effect in global stock markets 0 1 6 76 3 8 23 326
Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis 1 1 2 12 4 9 15 65
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 1 2 3 4 8 10
Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective 0 0 0 0 2 2 3 5
Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana 0 0 0 0 2 2 2 230
Do Leading Indicators Lead Peaks More Than Troughs? 0 0 0 56 0 0 3 215
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method 0 0 4 150 0 2 12 345
Forecast comparison of principal component regression and principal covariate regression 0 0 0 69 0 0 1 195
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements 1 1 5 156 4 9 25 392
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 3 5 1 2 8 17
Forecasting aggregates using panels of nonlinear time series 0 0 1 63 2 2 7 161
Forecasting day-ahead electricity prices: Utilizing hourly prices 0 2 6 34 3 7 20 104
Forecasting returns and risk in financial markets using linear and nonlinear models 0 0 0 94 0 2 4 212
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model 0 0 0 0 1 1 8 51
Forecasting volatility with the realized range in the presence of noise and non-trading 0 0 0 8 1 1 5 54
Forecasting with Leading Indicators by means of the Principal Covariate Index 0 0 1 18 0 0 3 77
Getting the most out of macroeconomic information for predicting excess stock returns 0 1 7 17 2 3 17 54
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 0 21 0 0 7 77
Instability and Nonlinearity in the Euro-Area Phillips Curve 1 1 3 74 3 5 13 219
Intraday price discovery in fragmented markets 0 2 4 9 0 4 12 39
Likelihood-based scoring rules for comparing density forecasts in tails 1 1 8 78 2 5 20 250
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 3 286 2 3 17 594
MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP 0 0 1 44 0 1 3 130
Macroeconomic forecasting with matched principal components 0 0 1 44 5 6 9 192
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 0 0 0 3 15
Measuring and predicting heterogeneous recessions 0 0 0 15 0 3 6 92
Measuring volatility with the realized range 1 1 10 194 3 4 23 547
Modelling regional house prices 0 1 1 29 0 2 6 91
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 0 0 0 0 0 1 2 2
Nonlinear forecasting with many predictors using kernel ridge regression 0 1 1 7 1 4 9 45
On SETAR non-linearity and forecasting 0 0 1 201 1 4 11 640
On the dynamics of business cycle analysis: editors' introduction 0 0 1 56 0 0 2 207
Order flow and volatility: An empirical investigation 1 1 3 13 1 4 13 63
Out-of-sample comparison of copula specifications in multivariate density forecasts 1 1 4 29 2 3 18 134
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 1 3 201 1 4 10 630
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? 0 0 1 170 2 3 9 657
Predicting volatility and correlations with Financial Conditions Indexes 0 1 3 12 1 3 14 55
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* 0 1 1 27 0 2 4 110
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 8 0 0 3 42
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 1 29 1 1 13 219
Reply 0 0 1 24 1 1 5 75
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 4 9 27 2,357 8 16 76 4,472
Sample size, lag order and critical values of seasonal unit root tests 0 0 0 21 0 1 1 102
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* 0 0 0 22 4 5 7 86
Short patches of outliers, ARCH and volatility modelling 0 0 1 37 0 0 4 204
Speed, algorithmic trading, and market quality around macroeconomic news announcements 0 2 9 55 3 7 31 209
Stock selection strategies in emerging markets 0 1 8 242 2 6 29 701
Structural Breaks in the International Dynamics of Inflation 0 0 6 51 1 3 18 166
Structural differences in economic growth: an endogenous clustering approach 0 0 1 40 1 1 7 157
Testing for ARCH in the Presence of Additive Outliers 0 0 3 212 1 6 17 768
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 2 3 6 494
Testing for Volatility Changes in U.S. Macroeconomic Time Series 0 2 5 279 1 8 22 720
Testing for causality in variance in the presence of breaks 0 0 3 65 0 0 8 195
The economic value of fundamental and technical information in emerging currency markets 0 0 3 160 0 4 20 434
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 11 454
The euro introduction and noneuro currencies 0 0 0 36 3 3 10 183
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 0 0 66 1 2 10 243
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? 0 0 3 71 0 3 13 210
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 0 2 7 1,647
Twenty years of cointegration 0 0 0 39 0 0 2 81
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 1 1 5 26 4 5 22 87
Total Journal Articles 12 34 168 7,194 94 209 796 22,251


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 1 9 16 3 7 38 60
Total Chapters 0 1 9 16 3 7 38 60


Statistics updated 2020-02-04