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 2 381 2 5 24 1,001
A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production 0 0 0 0 0 2 6 443
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 252 0 0 4 656
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 1 356 1 1 6 832
A Recommitment Strategy for Long Term Private Equity Fund Investors 1 1 1 129 2 4 12 395
A multi-level panel smooth transition autoregression for US sectoral production 0 0 0 37 0 0 2 109
A multivariate STAR analysis of the relationship between money and output 0 0 1 121 1 1 12 301
A nonlinear long memory model for US unemployment 0 0 1 42 0 0 2 93
A simple test for PPP among traded goods 0 0 0 11 0 2 5 66
A unified approach to nonlinearity, structural change and outliers 1 1 2 47 2 3 7 123
An Alternative Bayesian Approach to Structural Breaks in Time Series Models 0 0 0 75 0 1 5 156
Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry 0 0 1 27 0 1 6 86
Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models 0 0 0 98 0 0 1 287
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models 0 0 0 27 0 1 5 242
Asymmetric and common absorption of shocks in nonlinear autoregressive models 0 0 1 25 0 2 8 78
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error 3 4 11 48 4 9 30 54
Bayesian Forecasting of Federal Funds Target Rate Decisions 0 0 0 23 1 4 53 324
Bayesian Model Averaging in the Presence of Structural Breaks 0 0 0 34 0 0 7 120
Changes in International Business Cycle Affiliations 1 1 1 29 2 2 7 91
Changes in International Business Cycle Affiliations 0 0 0 72 1 2 6 275
Changes in Variability of the Business Cycle in the G7 Countries 0 0 1 130 0 2 10 418
Changes in variability of the business cycle in the G7 countries 0 0 1 14 0 0 6 79
Changes in variability of the business cycle in the G7 countries 1 1 1 66 2 2 12 267
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 0 1 35 1 3 18 34
Cointegration in a historical perspective 0 0 0 109 0 3 10 130
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support 0 0 0 40 0 1 6 84
Contagion as Domino Effect in Global Stock Markets 0 0 1 97 1 5 19 281
Corporate Governance and the Cost of Debt of Large European Firms 0 0 0 89 1 4 17 236
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 1 87 3 6 13 300
Do We Often Find ARCH Because Of Neglected Outliers? 0 0 0 4 0 2 3 42
Do leading indicators lead peaks more than troughs? 0 0 1 92 1 2 17 234
Does Africa grow slower than Asia and Latin America? 0 0 0 12 0 1 1 49
Does the absence of cointegration explain the typical findings in long horizon regressions? 0 0 2 62 0 2 26 213
Dynamic Factor Models for the Volatility Surface 1 1 3 46 1 5 11 98
Evaluating real-time forecasts in real-time 0 0 2 17 0 1 7 70
Financial Development and Convergence Clubs 0 1 2 53 0 2 6 148
Forecast comparison of principal component regression and principal covariate regression 0 1 3 48 0 1 9 161
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices 0 1 2 82 0 2 10 110
Forecasting Interest Rates with Shifting Endpoints 0 0 1 74 0 1 7 182
Forecasting US Inflation Using Model Averaging 0 0 0 2 2 3 7 815
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 1 33 0 3 17 69
Forecasting Volatility with Copula-Based Time Series Models 0 0 4 198 0 3 12 404
Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading 0 0 0 19 0 1 3 95
Forecasting aggregates using panels of nonlinear time series 0 0 0 18 0 1 1 74
Forecasting business cycles 0 0 0 0 1 2 5 21
Forecasting business cycles 0 0 0 0 0 0 2 27
Forecasting industrial production with linear, nonlinear, and structural change models 0 3 3 62 1 6 14 169
Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model 0 0 1 118 0 3 8 175
Forecasting volatility with switching persistence GARCH models 0 0 1 21 0 4 9 65
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility 0 0 1 186 0 2 7 234
Good News is No News 0 1 2 33 1 5 10 91
High-Frequency Technical Trading: The Importance of Speed 0 1 2 75 2 5 13 182
How to Identify and Forecast Bull and Bear Markets? 1 1 6 212 4 9 31 247
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 0 83 0 0 4 262
Improved Construction of diffusion indexes for macroeconomic forecasting 0 0 0 23 0 1 3 75
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 64 0 3 8 74
Instability and nonlinearity in the euro area Phillips curve 0 0 1 152 1 4 11 394
Likelihood-based scoring rules for comparing density forecasts in tails 0 0 0 6 0 0 12 54
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 0 1 3 762 1 3 11 1,456
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 1 6 11 1,479
Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience 1 1 1 142 2 2 8 570
Macroeconomic forecasting with real-time data: an empirical comparison 0 0 1 79 0 2 7 113
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 36 0 0 1 92
Measuring and Predicting Heterogeneous Recessions 0 1 1 73 1 2 5 253
Measuring and Predicting Heterogeneous Recessions 0 0 0 30 0 2 7 86
Measuring volatility with the realized range 0 1 6 67 1 4 17 195
Modeling and Estimation of Synchronization in Multistate Markov-Switching Models 0 1 4 87 0 2 10 205
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity 1 3 6 805 3 7 26 2,344
Modeling asymmetric volatility in weekly Dutch temperature data 0 0 0 21 0 1 3 61
Modeling regional house prices 0 0 2 152 0 0 7 272
Modelling Multiple Regimes in the Business Cycle 0 2 8 52 1 5 19 139
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 0 34 1 3 4 62
Nonlinear Error-Correction Models for Interest Rates in The Netherlands 1 2 7 57 4 8 27 137
Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression 0 0 0 166 0 5 12 455
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression 0 0 2 100 0 0 5 207
Nonlinearities and outliers: robust specification of STAR models 0 0 2 40 0 1 5 89
On the Effects of Private Information on Volatility 0 0 0 40 0 5 10 129
On the Effects of Private Information on Volatility 0 0 0 15 0 0 5 93
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts 0 0 0 98 0 3 8 301
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 2 0 0 6 27
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 56 1 2 9 163
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 2 64 0 1 6 172
Outlier detection in the GARCH (1,1) model 0 0 0 25 0 1 2 87
Panel Smooth Transition Regression Models 12 38 173 2,673 60 190 660 7,442
Panel Smooth Transition Regression Models 2 6 45 697 4 32 164 1,911
Panel Smooth Transition Regression Models 3 14 53 106 8 36 186 347
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 2 66 0 1 7 205
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 65 0 1 7 214
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 37 0 0 5 194
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 1 12 0 0 4 64
Predicting Growth Cycle Regimes for European Countries 0 0 0 142 0 2 9 434
Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use? 0 0 0 360 1 3 15 1,279
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information 0 0 3 353 3 6 17 882
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information 0 0 1 140 0 4 10 356
Range-based covariance estimation using high-frequency data: The realized co-range 0 0 1 85 0 4 11 202
Realized mixed-frequency factor models for vast dimensional covariance estimation 0 0 1 57 0 4 10 115
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 2 8 1,380
Seasonal smooth transition autoregression 0 1 5 31 1 2 10 108
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy 0 0 1 13 1 2 6 61
Semi-Parametric Modelling of Correlation Dynamics 0 0 2 56 0 1 7 128
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 0 280 0 1 8 1,008
Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 57 0 1 2 277
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 97 1 2 8 685
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 134 0 0 4 451
Short-term volatility versus long-term growth: evidence in US macroeconomic time series 0 0 0 7 0 1 4 72
Smooth Transition Autoregressive Models - A Survey of Recent Developments 1 1 8 1,789 2 5 35 3,314
Smooth transition autoregressive models - A survey of recent developments 2 5 11 430 6 14 53 787
Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements 0 1 3 62 0 6 15 162
Stock Selection Strategies in Emerging Markets 0 0 4 788 0 1 17 1,875
Structural Breaks in the International Transmission of Inflation 0 0 0 210 0 1 2 461
Structural Differences in Economic Growth 0 0 0 117 0 4 10 255
Term structure forecasting using macro factors and forecast combination 0 0 1 92 1 3 13 249
Term structure forecasting using macro factors and forecast combination 0 0 1 151 1 3 8 313
Testing for ARCH in the Presence of Additive Outliers 0 0 0 25 0 0 4 125
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 3 45 0 2 10 115
Testing for Stochastic Unit Roots - Some Monte Carlo evidence 0 0 0 14 0 1 3 44
Testing for Volatility Changes in US Macroeconomic Time Series 0 1 3 327 0 4 23 806
Testing for causality in variance in the presence of breaks 0 0 0 15 0 1 2 72
Testing for causality in variance in the presence of breaks 0 0 0 152 0 2 9 359
Testing for changes in volatility in heteroskedastic time series - a further examination 0 2 6 55 0 4 22 184
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets 0 0 1 207 2 3 15 461
The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations 0 0 2 292 1 5 11 553
The Euro Introduction and Non-Euro Currencies 0 0 3 214 0 3 13 879
The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets 0 0 0 79 1 3 6 204
The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? 0 0 0 145 1 3 12 435
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 4 84
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series 0 0 1 203 0 0 4 962
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 1 2 24 0 2 8 77
Time Variation in Asset Return Dependence: Strength or Structure? 0 0 3 48 1 3 15 140
Time series forecasting by principal covariate regression 1 1 1 85 1 2 7 284
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 0 2 28 2,111
Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks 0 0 0 17 0 2 4 62
Unit root tests and assymmetric adjustment 0 0 0 6 0 0 4 39
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 1 146 2 3 6 466
Why do Pit-Hours outlive the Pit? 0 0 0 6 0 0 10 43
Total Working Papers 33 101 453 19,247 152 582 2,359 55,318


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 1 2 64 1 3 10 261
A multi-level panel STAR model for US manufacturing sectors 2 3 6 369 4 5 10 979
A nonlinear long memory model, with an application to US unemployment 0 0 0 122 1 1 3 308
A simple test for PPP among traded goods 0 0 0 93 0 0 6 285
A unified approach to nonlinearity, structural change, and outliers 1 2 5 164 3 4 12 358
Absorption of shocks in nonlinear autoregressive models 0 0 0 45 0 0 0 112
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry 0 0 0 66 1 3 7 284
Bayesian forecasting of federal funds target rate decisions 0 0 0 14 0 0 6 128
Cointegration in a historical perspective 0 0 1 22 0 1 8 116
Combining expert‐adjusted forecasts 0 0 0 0 0 0 2 5
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support 0 0 0 8 0 0 1 50
Contagion as a domino effect in global stock markets 0 1 16 91 2 6 51 369
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 0 2 1 3 11 17
Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective 0 0 0 0 0 0 3 6
Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana 0 0 0 0 1 1 8 236
Do Leading Indicators Lead Peaks More Than Troughs? 0 0 0 56 1 1 5 220
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method 0 1 4 154 1 3 10 353
Forecast comparison of principal component regression and principal covariate regression 0 0 0 69 1 1 4 199
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements 1 1 5 160 2 5 20 403
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 4 9 0 0 14 29
Forecasting aggregates using panels of nonlinear time series 0 0 1 64 0 0 4 163
Forecasting day-ahead electricity prices: Utilizing hourly prices 0 0 6 38 1 2 20 117
Forecasting returns and risk in financial markets using linear and nonlinear models 0 0 0 94 0 0 2 212
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model 0 0 0 0 0 0 4 54
Forecasting volatility with the realized range in the presence of noise and non-trading 0 0 1 9 0 0 4 57
Forecasting with Leading Indicators by means of the Principal Covariate Index 0 0 0 18 0 2 4 81
Getting the most out of macroeconomic information for predicting excess stock returns 0 1 3 19 1 3 9 60
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 0 21 1 1 4 81
Instability and Nonlinearity in the Euro-Area Phillips Curve 0 0 4 77 1 3 15 229
Intraday price discovery in fragmented markets 0 1 4 11 1 4 13 48
Likelihood-based scoring rules for comparing density forecasts in tails 1 2 10 87 1 4 30 275
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 1 6 292 2 3 17 608
MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP 0 0 1 45 1 1 5 134
Macroeconomic forecasting with matched principal components 0 0 0 44 0 0 7 193
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 0 0 0 1 16
Measuring and predicting heterogeneous recessions 0 0 0 15 0 0 4 93
Measuring volatility with the realized range 0 0 8 201 1 1 19 562
Modelling regional house prices 0 0 2 30 1 1 6 95
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 0 1 1 1 0 2 4 5
Nonlinear forecasting with many predictors using kernel ridge regression 2 2 3 9 2 4 11 52
On SETAR non-linearity and forecasting 0 2 2 203 1 3 9 645
On the dynamics of business cycle analysis: editors' introduction 0 0 0 56 0 0 1 208
Order flow and volatility: An empirical investigation 0 0 1 13 0 0 5 64
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 1 3 31 0 3 10 141
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 2 202 1 1 6 632
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? 1 2 2 172 2 4 8 662
Predicting volatility and correlations with Financial Conditions Indexes 0 0 1 12 0 0 7 59
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* 0 0 2 28 0 0 5 113
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 8 1 2 3 45
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 29 1 3 7 225
Reply 0 0 0 24 0 2 4 78
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 2 5 28 2,376 13 27 88 4,544
Sample size, lag order and critical values of seasonal unit root tests 0 0 0 21 0 0 1 102
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* 0 0 0 22 1 1 8 89
Short patches of outliers, ARCH and volatility modelling 0 0 0 37 0 2 4 208
Speed, algorithmic trading, and market quality around macroeconomic news announcements 0 1 5 58 0 4 33 235
Stock selection strategies in emerging markets 2 2 6 247 2 3 25 720
Structural Breaks in the International Dynamics of Inflation 1 1 1 52 5 7 14 177
Structural differences in economic growth: an endogenous clustering approach 0 0 0 40 0 2 4 160
Testing for ARCH in the Presence of Additive Outliers 0 0 0 212 0 0 8 770
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 1 2 9 500
Testing for Volatility Changes in U.S. Macroeconomic Time Series 0 0 4 281 1 2 17 729
Testing for causality in variance in the presence of breaks 0 0 0 65 0 0 0 195
The economic value of fundamental and technical information in emerging currency markets 0 0 1 161 3 7 23 453
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 1 455
The euro introduction and noneuro currencies 0 1 1 37 1 3 7 187
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 1 2 68 0 2 7 248
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? 0 0 1 72 1 3 12 219
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 1 6 16 1,661
Twenty years of cointegration 0 0 0 39 1 1 2 83
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 1 26 2 3 13 95
Total Journal Articles 13 33 156 7,267 70 161 731 22,555
2 registered items for which data could not be found


Chapter File Downloads Abstract Views
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Dynamic Factor Models for the Volatility Surface 0 0 3 18 0 1 20 73
Total Chapters 0 0 3 18 0 1 20 73


Statistics updated 2020-11-03