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 2 398 3 4 9 1,071
A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production 0 0 0 0 0 0 2 459
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 252 0 0 0 666
A Multivariate STAR Analysis of the Relationship Between Money and Output 0 0 0 357 0 0 2 840
A Recommitment Strategy for Long Term Private Equity Fund Investors 0 0 0 133 0 1 3 417
A multi-level panel smooth transition autoregression for US sectoral production 0 0 0 38 0 1 3 123
A multivariate STAR analysis of the relationship between money and output 0 0 0 127 0 0 1 317
A nonlinear long memory model for US unemployment 0 0 2 45 0 0 3 99
A simple test for PPP among traded goods 0 0 0 12 0 0 2 76
A unified approach to nonlinearity, structural change and outliers 0 0 0 49 0 0 0 139
Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model 0 0 0 61 0 0 0 40
An Alternative Bayesian Approach to Structural Breaks in Time Series Models 0 0 0 77 0 1 2 179
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 2 293
Asymmetric and Common Abssorbtion of Shocks in Nonlinear Autoregressive Models 0 0 0 28 0 0 1 254
Asymmetric and common absorption of shocks in nonlinear autoregressive models 0 0 0 26 1 2 5 102
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error 0 0 2 66 0 1 4 131
Bayesian Forecasting of Federal Funds Target Rate Decisions 0 0 3 27 0 1 6 395
Bayesian Model Averaging in the Presence of Structural Breaks 0 0 0 35 1 1 1 130
Changes in International Business Cycle Affiliations 0 0 1 31 0 0 2 99
Changes in International Business Cycle Affiliations 0 0 0 73 0 0 0 282
Changes in Variability of the Business Cycle in the G7 Countries 0 0 0 131 0 0 0 427
Changes in variability of the business cycle in the G7 countries 0 0 0 14 0 0 0 84
Changes in variability of the business cycle in the G7 countries 0 0 0 66 0 0 0 277
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings 0 0 2 40 0 0 2 99
Cointegration in a historical perspective 0 0 0 110 0 0 0 141
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support 0 0 0 42 0 1 3 96
Contagion as Domino Effect in Global Stock Markets 0 0 0 103 0 1 2 342
Corporate Governance and the Cost of Debt of Large European Firms 0 0 1 101 0 1 3 277
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms 0 0 0 92 1 1 2 320
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 0 245
Does Africa grow slower than Asia and Latin America? 0 0 0 12 1 1 2 55
Does economic uncertainty predict real activity in real-time? 0 0 0 7 1 1 5 12
Does the absence of cointegration explain the typical findings in long horizon regressions? 0 0 1 72 0 0 2 237
Dynamic Factor Models for the Volatility Surface 0 0 1 49 1 1 2 111
Evaluating real-time forecasts in real-time 0 0 0 21 0 1 3 93
Financial Development and Convergence Clubs 0 0 0 54 0 0 0 154
Forecast comparison of principal component regression and principal covariate regression 0 0 0 50 0 0 0 173
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices 0 0 0 90 0 1 2 136
Forecasting Interest Rates with Shifting Endpoints 0 0 0 80 0 0 2 201
Forecasting US Inflation Using Model Averaging 0 0 0 2 0 0 8 845
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 0 0 36 0 0 2 116
Forecasting Volatility with Copula-Based Time Series Models 0 0 0 203 1 2 3 428
Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading 0 0 0 19 0 0 2 106
Forecasting aggregates using panels of nonlinear time series 0 0 0 18 0 0 1 82
Forecasting business cycles 0 0 0 0 0 0 0 22
Forecasting business cycles 0 0 0 0 0 0 1 33
Forecasting industrial production with linear, nonlinear, and structural change models 0 0 0 65 0 1 2 184
Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model 0 1 1 122 0 1 1 192
Forecasting volatility with switching persistence GARCH models 0 0 0 22 0 0 1 71
Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility 0 0 0 187 1 1 2 245
Good News is No News 0 0 0 34 2 5 6 109
Heterogeneity in Manufacturing Growth Risk 0 0 0 10 1 1 3 35
High-Frequency Technical Trading: The Importance of Speed 0 0 1 80 1 1 6 219
How to Identify and Forecast Bull and Bear Markets? 0 0 1 224 0 3 6 331
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 0 87 0 0 2 276
Implicit score-driven filters for time-varying parameter models 2 2 4 13 3 5 14 31
Improved Construction of diffusion indexes for macroeconomic forecasting 0 0 0 25 0 1 2 82
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities 0 0 0 65 0 0 1 89
Instability and nonlinearity in the euro area Phillips curve 0 0 0 154 0 0 0 485
Likelihood-based scoring rules for comparing density forecasts in tails 0 0 0 14 0 0 2 76
Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination 0 1 1 767 0 3 4 1,484
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 240 0 0 1 1,498
Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience 0 0 0 146 0 0 0 585
Macroeconomic forecasting with real-time data: an empirical comparison 0 0 0 79 0 1 3 122
Market Set-Up in Advance of Federal Reserve Policy Decisions 0 0 0 40 0 0 0 110
Measuring and Predicting Heterogeneous Recessions 0 0 0 76 1 1 4 283
Measuring and Predicting Heterogeneous Recessions 0 0 0 30 0 0 0 90
Measuring volatility with the realized range 0 0 0 89 1 2 3 270
Modeling and Estimation of Synchronization in Multistate Markov-Switching Models 0 0 1 89 0 0 4 224
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity 0 0 0 822 2 3 4 2,406
Modeling asymmetric volatility in weekly Dutch temperature data 0 0 0 26 0 0 0 72
Modeling regional house prices 0 0 0 159 0 0 1 289
Modelling Multiple Regimes in the Business Cycle 0 0 1 58 0 0 4 167
Moments, Shocks and Spillovers in Markov-switching VAR Models 0 0 0 34 1 1 3 19
New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels 0 0 0 34 0 0 0 69
Nonlinear Error-Correction Models for Interest Rates in The Netherlands 0 0 0 70 1 3 4 179
Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression 0 0 0 169 0 1 3 475
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression 0 1 1 105 0 3 4 245
Nonlinearities and outliers: robust specification of STAR models 0 0 0 42 1 3 3 146
On the Effects of Private Information on Volatility 0 0 0 40 0 0 0 133
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 2 307
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 56 1 1 2 175
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 0 72 0 0 2 184
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 1 3 0 0 2 34
Outlier detection in the GARCH (1,1) model 0 0 1 34 0 0 1 107
Panel Smooth Transition Regression Models 1 2 19 253 7 14 51 925
Panel Smooth Transition Regression Models 5 12 53 3,248 20 56 234 9,833
Panel Smooth Transition Regression Models 1 3 14 844 5 11 48 2,491
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 66 0 0 1 218
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 73 0 0 1 217
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails 0 0 0 38 1 1 2 203
Predicting Covariance Matrices with Financial Conditions Indexes 0 0 0 13 0 0 0 74
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 0 364 0 0 3 1,299
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information 0 0 0 356 0 1 5 908
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information 0 0 0 141 0 1 2 366
Range-based covariance estimation using high-frequency data: The realized co-range 0 0 0 88 0 0 0 214
Realized mixed-frequency factor models for vast dimensional covariance estimation 0 0 0 60 0 1 2 132
SETS, Arbitrage Activity, and Stock Price Dynamics 0 0 0 310 0 1 2 1,383
Seasonal smooth transition autoregression 0 0 0 39 0 0 0 123
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy 0 0 0 14 0 0 1 70
Semi-Parametric Modelling of Correlation Dynamics 0 0 0 58 0 0 1 139
Short Patches of Outliers, ARCH and Volatility Modeling 0 0 0 281 0 0 0 1,015
Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 58 1 1 3 294
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 134 0 0 0 456
Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series 0 0 0 99 0 0 2 699
Short-term volatility versus long-term growth: evidence in US macroeconomic time series 0 0 0 7 0 0 1 77
Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models 0 0 0 45 2 2 6 29
Smooth Transition Autoregressive Models - A Survey of Recent Developments 0 0 2 1,810 0 0 11 3,411
Smooth transition autoregressive models - A survey of recent developments 0 0 3 459 0 4 14 880
Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements 0 0 0 71 0 0 1 196
Stock Selection Strategies in Emerging Markets 0 0 1 803 0 0 2 1,921
Structural Breaks in the International Transmission of Inflation 0 0 0 210 0 0 1 465
Structural Differences in Economic Growth 0 0 0 121 0 0 1 267
Term structure forecasting using macro factors and forecast combination 0 2 2 156 0 4 8 331
Term structure forecasting using macro factors and forecast combination 0 1 1 100 1 7 13 300
Testing for ARCH in the Presence of Additive Outliers 0 0 0 26 0 0 3 141
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 47 0 1 1 142
Testing for Stochastic Unit Roots - Some Monte Carlo evidence 0 0 0 14 0 1 4 53
Testing for Volatility Changes in US Macroeconomic Time Series 0 0 0 334 0 1 1 819
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 1 2 3 371
Testing for changes in volatility in heteroskedastic time series - a further examination 0 1 1 57 0 1 1 205
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets 0 0 0 209 0 0 1 476
The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations 0 0 2 300 0 0 4 576
The Euro Introduction and Non-Euro Currencies 0 0 0 216 0 1 4 894
The Euro-introduction and non-Euro currencies 0 0 0 0 0 0 4 13
The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets 0 0 0 79 1 1 1 207
The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias? 0 0 0 146 0 0 0 448
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 1 93
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 2 967
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 0 0 25 0 0 0 85
Time Variation in Asset Return Dependence: Strength or Structure? 0 0 0 49 0 2 2 150
Time series forecasting by principal covariate regression 0 0 0 86 0 1 2 297
Time-Varying Smooth Transition Autoregressive Models 0 0 0 175 0 0 3 2,143
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 3 44
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 0 146 1 1 2 477
Why do Pit-Hours outlive the Pit? 0 0 0 9 0 0 2 61
Total Working Papers 9 26 126 20,755 66 180 657 61,749


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 5 6 81 0 7 9 310
A multi-level panel STAR model for US manufacturing sectors 0 1 4 379 0 1 11 1,024
A nonlinear long memory model, with an application to US unemployment 0 0 2 134 0 0 3 344
A simple test for PPP among traded goods 0 0 0 93 0 1 1 291
A unified approach to nonlinearity, structural change, and outliers 0 0 0 167 0 0 2 406
Absorption of shocks in nonlinear autoregressive models 0 0 0 48 0 0 9 158
Accelerating peak dating in a dynamic factor Markov-switching model 0 0 0 0 0 0 1 3
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry 0 0 0 70 1 2 3 300
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* 0 0 0 1 0 2 3 7
Bayesian forecasting of federal funds target rate decisions 0 0 1 16 0 2 11 198
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 1 3 0 1 3 20
Cointegration in a historical perspective 0 1 3 29 1 2 5 133
Combining expert‐adjusted forecasts 0 0 0 1 1 1 1 12
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support 1 2 2 11 2 3 4 60
Contagion as a domino effect in global stock markets 0 1 3 124 0 3 7 456
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 10 1 1 2 54
Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective 0 0 0 1 1 1 1 14
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 1 237
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method 0 0 0 166 1 1 4 386
Forecast comparison of principal component regression and principal covariate regression 0 0 0 70 0 0 0 208
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements 0 0 1 170 0 0 3 439
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation 0 1 2 15 0 1 5 55
Forecasting aggregates using panels of nonlinear time series 0 0 0 66 0 0 1 171
Forecasting day-ahead electricity prices: Utilizing hourly prices 0 0 0 50 0 0 1 159
Forecasting returns and risk in financial markets using linear and nonlinear models 0 0 0 95 0 0 0 216
Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model 0 0 0 0 1 3 5 71
Forecasting volatility with the realized range in the presence of noise and non-trading 0 0 0 9 0 0 0 60
Forecasting with Leading Indicators by means of the Principal Covariate Index 0 0 0 18 0 0 0 90
Getting the most out of macroeconomic information for predicting excess stock returns 0 0 0 27 0 0 2 83
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation 0 0 1 23 0 0 1 85
Instability and Nonlinearity in the Euro-Area Phillips Curve 0 0 0 84 0 0 3 355
Intraday price discovery in fragmented markets 0 0 0 22 0 0 0 73
Likelihood-based scoring rules for comparing density forecasts in tails 0 1 4 114 1 4 8 349
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination 0 0 0 300 1 1 9 654
MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP 0 0 1 47 1 2 4 144
Macroeconomic forecasting with matched principal components 0 1 1 45 0 2 2 200
Market Set‐up in Advance of Federal Reserve Policy Rate Decisions 0 0 0 3 0 0 0 19
Measuring and predicting heterogeneous recessions 0 0 0 16 0 0 1 100
Measuring volatility with the realized range 0 1 3 231 1 7 18 670
Modeling and estimation of synchronization in size-sorted portfolio returns 0 0 1 1 0 0 1 1
Modelling regional house prices 0 1 3 38 0 1 8 123
Moments, shocks and spillovers in Markov-switching VAR models 0 0 1 8 1 2 7 25
New HEAVY Models for Fat-Tailed Realized Covariances and Returns 0 0 0 5 0 0 1 14
Nonlinear forecasting with many predictors using kernel ridge regression 0 1 1 21 1 4 9 107
On SETAR non-linearity and forecasting 0 0 0 206 0 0 1 660
On the dynamics of business cycle analysis: editors' introduction 0 0 0 56 0 0 0 209
On the dynamics of business cycle analysis: editors' introduction 0 0 0 1 0 0 0 6
Order flow and volatility: An empirical investigation 0 0 0 16 0 2 4 87
Out-of-sample comparison of copula specifications in multivariate density forecasts 0 0 1 32 1 1 3 154
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 4 217 0 1 7 673
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? 0 0 0 173 0 1 5 687
Predicting volatility and correlations with Financial Conditions Indexes 0 0 0 18 0 0 1 86
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* 0 0 0 30 0 0 5 125
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 8 1 1 2 52
Real-time macroeconomic forecasting with leading indicators: An empirical comparison 0 0 0 29 1 3 7 244
Reply 0 0 0 24 0 0 4 92
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS 1 3 14 2,454 2 9 52 4,781
Sample size, lag order and critical values of seasonal unit root tests 0 0 0 22 0 0 1 106
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* 0 0 0 25 1 3 3 99
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 0 1 9 84 3 11 30 321
Stock selection strategies in emerging markets 0 0 4 281 0 0 9 810
Structural Breaks in the International Dynamics of Inflation 0 0 2 68 0 0 4 212
Structural differences in economic growth: an endogenous clustering approach 0 0 0 42 1 1 1 172
Testing for ARCH in the Presence of Additive Outliers 0 0 0 213 0 0 2 790
Testing for Smooth Transition Nonlinearity in the Presence of Outliers 0 0 0 0 0 1 2 514
Testing for Volatility Changes in U.S. Macroeconomic Time Series 0 0 0 285 1 2 5 760
Testing for causality in variance in the presence of breaks 0 0 0 66 0 0 1 203
The economic value of fundamental and technical information in emerging currency markets 0 0 0 169 0 2 5 496
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 5 468
The euro introduction and noneuro currencies 0 0 0 39 0 0 1 199
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production 0 1 1 74 0 1 3 274
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias? 0 0 0 74 0 0 0 240
Time-Varying Smooth Transition Autoregressive Models 0 0 0 8 0 0 2 1,684
Twenty years of cointegration 0 0 0 43 0 0 1 90
When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? 0 0 1 30 0 0 3 122
Total Journal Articles 2 21 78 7,779 26 94 339 24,757
1 registered items for which data could not be found


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Chapter 15 Bayesian Model Averaging in the Presence of Structural Breaks 0 1 1 1 0 1 2 2
Dynamic Factor Models for the Volatility Surface☆ 0 0 1 23 0 1 4 103
Semi-Parametric Modelling of Correlation Dynamics 0 0 0 0 0 0 4 4
Total Chapters 0 1 2 24 0 2 10 109


Statistics updated 2025-07-04