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 6 378 1 1 18 974
A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production 0 0 0 0 0 0 2 436
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 252 4 7 9 649
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 355 1 1 3 824
A Recommitment Strategy for Long Term Private Equity Fund Investors 0 0 4 128 1 3 11 381
A multi-level panel smooth transition autoregression for US sectoral production 0 0 1 37 0 1 3 106
A multivariate STAR analysis of the relationship between money and output 0 0 2 120 2 3 14 287
A nonlinear long memory model for US unemployment 0 0 2 41 2 2 7 91
A simple test for PPP among traded goods 0 0 1 11 0 0 4 60
A unified approach to nonlinearity, structural change and outliers 0 0 3 45 0 0 7 115
An Alternative Bayesian Approach to Structural Breaks in Time Series Models 0 0 1 75 1 1 6 147
Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry 0 1 1 26 0 2 2 77
Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models 0 0 1 98 1 1 3 285
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models 0 0 0 27 1 1 2 237
Asymmetric and common absorption of shocks in nonlinear autoregressive models 0 1 2 24 1 2 4 69
Bayesian Forecasting of Federal Funds Target Rate Decisions 0 0 0 23 4 11 110 267
Bayesian Model Averaging in the Presence of Structural Breaks 1 2 2 33 2 4 24 110
Changes in International Business Cycle Affiliations 0 0 0 72 1 2 5 267
Changes in International Business Cycle Affiliations 0 0 0 28 1 2 4 81
Changes in Variability of the Business Cycle in the G7 Countries 0 0 0 129 1 1 1 406
Changes in variability of the business cycle in the G7 countries 0 0 0 13 1 1 2 71
Changes in variability of the business cycle in the G7 countries 0 0 0 65 1 1 1 252
Cointegration in a historical perspective 0 0 2 109 1 1 6 119
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support 0 0 1 40 0 0 4 75
Contagion as Domino Effect in Global Stock Markets 0 0 1 95 1 2 7 260
Corporate Governance and the Cost of Debt of Large European Firms 0 2 4 89 1 4 13 217
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 3 4 86 2 6 9 281
Do We Often Find ARCH Because Of Neglected Outliers? 0 0 0 4 0 0 1 36
Do leading indicators lead peaks more than troughs? 0 0 1 91 0 0 10 216
Does Africa grow slower than Asia and Latin America? 0 0 0 12 3 4 4 47
Does the absence of cointegration explain the typical findings in long horizon regressions? 0 0 1 59 1 2 7 182
Dynamic Factor Models for the Volatility Surface 0 0 2 43 2 3 6 85
Evaluating real-time forecasts in real-time 0 0 1 15 2 2 8 63
Financial Development and Convergence Clubs 0 1 2 50 0 2 8 137
Forecast comparison of principal component regression and principal covariate regression 0 0 1 45 1 1 3 151
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices 0 0 0 79 0 0 5 98
Forecasting Interest Rates with Shifting Endpoints 0 0 1 73 0 2 9 174
Forecasting US Inflation Using Model Averaging 0 0 0 2 1 1 12 807
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 4 32 0 2 10 47
Forecasting Volatility with Copula-Based Time Series Models 1 1 1 194 1 2 9 386
Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading 0 0 1 18 0 0 3 88
Forecasting aggregates using panels of nonlinear time series 0 0 0 18 1 1 2 69
Forecasting business cycles 0 0 0 0 1 1 3 23
Forecasting industrial production with linear, nonlinear, and structural change models 0 0 2 59 0 0 6 149
Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model 0 1 1 117 1 5 9 164
Forecasting volatility with switching persistence GARCH models 0 0 1 20 0 0 3 54
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility 0 1 3 185 0 2 7 226
Good News is No News 0 0 1 31 0 0 5 81
High-Frequency Technical Trading: The Importance of Speed 0 0 8 72 3 3 17 167
How to Identify and Forecast Bull and Bear Markets? 0 2 4 204 1 5 15 208
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 1 83 0 1 4 256
Improved Construction of diffusion indexes for macroeconomic forecasting 0 0 2 23 2 2 8 71
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 64 1 1 2 62
Likelihood-based scoring rules for comparing density forecasts in tails 0 0 0 6 1 1 8 38
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 0 0 1 757 0 0 9 1,440
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 2 4 11 1,465
Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience 0 0 0 140 0 0 0 555
Macroeconomic forecasting with real-time data: an empirical comparison 0 0 2 78 0 0 3 104
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 36 1 1 3 91
Measuring and Predicting Heterogeneous Recessions 0 0 0 72 1 2 5 247
Measuring and Predicting Heterogeneous Recessions 1 1 2 30 2 4 6 78
Measuring volatility with the realized range 0 5 12 61 0 7 26 176
Modeling and Estimation of Synchronization in Multistate Markov-Switching Models 1 2 3 83 1 3 9 194
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity 0 0 3 799 1 1 12 2,316
Modeling asymmetric volatility in weekly Dutch temperature data 0 0 0 21 1 1 4 58
Modeling regional house prices 1 1 4 150 2 4 16 265
Modelling Multiple Regimes in the Business Cycle 0 0 2 44 1 1 6 119
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 1 34 0 1 6 56
Nonlinear Error-Correction Models for Interest Rates in The Netherlands 0 0 6 49 1 4 17 106
Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression 0 0 1 165 3 4 11 441
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression 0 0 0 98 0 0 3 202
Nonlinearities and outliers: robust specification of STAR models 0 0 1 38 0 1 3 84
On the Effects of Private Information on Volatility 0 0 0 40 1 2 4 118
On the Effects of Private Information on Volatility 0 0 0 15 1 1 4 87
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts 0 0 0 98 0 0 4 290
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 1 2 1 1 5 20
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 1 56 0 0 4 152
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 1 2 62 1 2 4 165
Outlier detection in the GARCH (1,1) model 0 0 1 24 3 3 7 84
Panel Smooth Transition Regression Models 11 26 131 2,478 40 116 560 6,674
Panel Smooth Transition Regression Models 5 9 29 650 11 21 92 1,735
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 1 3 64 0 1 5 198
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 37 0 0 2 188
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 65 1 1 3 207
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 1 11 1 1 5 58
Predicting Growth Cycle Regimes for European Countries 1 1 1 142 2 2 4 421
Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use? 0 1 2 360 2 3 8 1,262
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information 0 0 1 350 1 4 11 862
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information 0 0 1 139 1 1 11 343
Range-based covariance estimation using high-frequency data: The realized co-range 0 0 5 84 0 0 7 189
Realized mixed-frequency factor models for vast dimensional covariance estimation 0 0 1 56 0 4 8 103
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 3 4 4 1,372
Seasonal smooth transition autoregression 0 0 3 26 1 1 7 97
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy 0 0 0 12 1 1 5 54
Semi-Parametric Modelling of Correlation Dynamics 0 1 2 54 1 3 5 117
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 0 279 0 0 0 995
Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 57 1 1 6 271
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 97 2 2 7 673
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 134 0 1 2 442
Short-term volatility versus long-term growth: evidence in US macroeconomic time series 0 0 0 7 2 3 4 63
Smooth Transition Autoregressive Models - A Survey of Recent Developments 0 0 6 1,778 1 4 26 3,268
Smooth transition autoregressive models - A survey of recent developments 1 5 13 414 2 8 33 721
Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements 0 1 1 59 0 2 5 145
Stock Selection Strategies in Emerging Markets 2 3 7 784 3 7 21 1,851
Structural Breaks in the International Transmission of Inflation 0 0 0 210 1 2 3 459
Structural Differences in Economic Growth 0 1 1 117 0 3 6 244
Term structure forecasting using macro factors and forecast combination 0 1 1 90 1 4 11 231
Term structure forecasting using macro factors and forecast combination 0 0 1 150 1 2 9 301
Testing for ARCH in the Presence of Additive Outliers 0 0 0 25 1 1 6 117
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 2 41 0 0 5 104
Testing for Stochastic Unit Roots - Some Monte Carlo evidence 0 0 0 14 1 1 3 39
Testing for Volatility Changes in US Macroeconomic Time Series 1 1 2 323 1 2 7 778
Testing for causality in variance in the presence of breaks 0 0 0 152 0 0 4 346
Testing for causality in variance in the presence of breaks 0 0 0 15 1 2 2 66
Testing for changes in volatility in heteroskedastic time series - a further examination 0 1 3 49 4 6 18 159
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets 0 0 0 205 1 3 7 444
The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations 0 0 1 288 0 0 3 538
The Euro Introduction and Non-Euro Currencies 0 0 0 211 0 2 7 858
The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets 0 0 1 79 0 0 2 197
The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? 0 1 3 145 0 2 8 421
The effects of institutional and technological change and business cycle fluctiations on seasonal patterns in quarterly industrial production series 1 1 1 11 3 4 15 80
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 0 201 0 0 2 957
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 0 0 22 0 1 2 67
Time Variation in Asset Return Dependence: Strength or Structure? 0 0 1 45 0 3 7 121
Time series forecasting by principal covariate regression 0 0 0 83 0 1 4 275
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 3 8 18 2,080
Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks 0 0 0 16 0 0 1 57
Unit root tests and assymmetric adjustment 0 0 0 6 1 1 5 33
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 0 3 0 1 4 29
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 1 145 0 2 5 459
Why do Pit-Hours outlive the Pit? 0 0 0 6 0 0 0 32
Total Working Papers 27 79 344 18,464 171 392 1,652 51,943


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 0 0 2 250
A multi-level panel STAR model for US manufacturing sectors 1 1 4 363 1 2 14 967
A nonlinear long memory model, with an application to US unemployment 0 1 1 122 0 1 5 297
A simple test for PPP among traded goods 0 0 1 93 0 0 2 278
A unified approach to nonlinearity, structural change, and outliers 0 0 2 158 0 3 14 345
Absorption of shocks in nonlinear autoregressive models 0 0 0 45 0 0 1 111
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry 0 0 0 66 0 0 1 275
Bayesian forecasting of federal funds target rate decisions 0 0 0 14 2 4 8 121
Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? 0 0 0 38 1 2 3 161
Cointegration in a historical perspective 0 0 0 20 2 2 5 107
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support 0 0 0 8 0 0 4 45
Contagion as a domino effect in global stock markets 0 1 5 73 0 3 22 311
Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis 0 0 1 11 0 0 7 54
Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana 0 0 0 0 0 0 0 228
Do Leading Indicators Lead Peaks More Than Troughs? 0 0 0 56 0 0 6 213
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method 1 2 5 150 3 4 14 341
Forecast comparison of principal component regression and principal covariate regression 0 0 0 69 0 0 2 194
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements 0 1 6 155 3 6 19 381
Forecasting aggregates using panels of nonlinear time series 0 0 1 63 1 2 5 158
Forecasting day-ahead electricity prices: Utilizing hourly prices 0 1 4 31 0 3 22 96
Forecasting returns and risk in financial markets using linear and nonlinear models 0 0 0 94 0 0 2 209
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model 0 0 0 0 1 4 8 48
Forecasting volatility with the realized range in the presence of noise and non-trading 0 0 0 8 0 0 4 50
Forecasting with Leading Indicators by means of the Principal Covariate Index 1 1 1 18 2 2 5 77
Getting the most out of macroeconomic information for predicting excess stock returns 0 1 8 16 1 5 22 50
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 2 21 0 0 4 72
Instability and Nonlinearity in the Euro-Area Phillips Curve 1 1 5 73 1 1 11 210
Likelihood-based scoring rules for comparing density forecasts in tails 0 2 8 77 1 4 13 241
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 2 285 0 2 12 588
MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP 0 0 2 44 1 1 4 129
Macroeconomic forecasting with matched principal components 1 1 1 44 1 3 3 186
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 0 2 2 2 14
Measuring and predicting heterogeneous recessions 0 0 0 15 2 2 2 88
Measuring volatility with the realized range 2 6 14 193 2 7 27 540
Modelling regional house prices 0 0 0 28 0 1 3 88
Nonlinear forecasting with many predictors using kernel ridge regression 0 0 0 6 1 1 7 39
On SETAR non-linearity and forecasting 0 0 1 201 1 3 6 635
On the dynamics of business cycle analysis: editors' introduction 0 0 1 56 0 0 1 206
Order flow and volatility: An empirical investigation 0 0 0 10 0 3 9 56
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 2 4 28 3 8 19 130
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 6 200 0 0 14 625
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? 0 1 3 170 1 2 8 652
Predicting volatility and correlations with Financial Conditions Indexes 0 0 2 11 1 4 13 50
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* 0 0 0 26 1 1 2 108
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 2 8 0 0 5 40
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 1 29 3 4 12 213
Reply 0 0 1 24 1 1 4 73
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1 3 20 2,341 5 17 81 4,441
Sample size, lag order and critical values of seasonal unit root tests 0 0 0 21 0 0 2 101
Short patches of outliers, ARCH and volatility modelling 0 0 0 36 0 0 2 200
Speed, algorithmic trading, and market quality around macroeconomic news announcements 0 5 8 53 2 9 29 196
Stock selection strategies in emerging markets 2 3 6 238 8 9 22 688
Structural Breaks in the International Dynamics of Inflation 0 1 9 51 0 1 18 158
Structural differences in economic growth: an endogenous clustering approach 1 1 2 40 3 4 6 155
Testing for ARCH in the Presence of Additive Outliers 0 0 3 212 0 2 11 760
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 0 0 2 490
Testing for Volatility Changes in U.S. Macroeconomic Time Series 0 0 5 277 1 1 16 706
Testing for causality in variance in the presence of breaks 0 0 3 65 1 1 6 192
The economic value of fundamental and technical information in emerging currency markets 0 2 3 159 0 6 26 426
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 0 84 4 4 7 449
The euro introduction and noneuro currencies 0 0 1 36 1 4 5 177
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 0 0 66 1 1 2 234
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? 1 2 3 71 2 3 8 202
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 1 1 8 1,644
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 2 23 1 3 14 76
Total Journal Articles 13 40 159 7,102 69 159 645 21,726


Statistics updated 2019-09-09