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Details about Cees Diks

E-mail:
Homepage:http://home.uva.nl/c.g.h.diks
Phone:+31 20 525 5329
Postal address:CeNDEF/Department of Economics University of Amsterdam Roetersstraat 11 1018 WB Amsterdam The Netherlands
Workplace:Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Afdeling Kwantitatieve Economie (Department of Quantitative Economics), Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Cees Diks.

Last updated 2015-03-01. Update your information in the RePEc Author Service.

Short-id: pdi108


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Working Papers

2014

  1. Identifying Booms and Busts in House Prices under Heterogeneous Expectations
    European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission Downloads View citations (7)
    Also in DNB Working Papers, Netherlands Central Bank, Research Department (2014) Downloads View citations (7)

2013

  1. Nonlinear Granger Causality: Guidelines for Multivariate Analysis
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)
  2. Partial Symbolic Transfer Entropy
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads

2011

  1. Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (1)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2011) Downloads View citations (1)
  2. Likelihood-based scoring rules for comparing density forecasts in tails
    Post-Print, HAL Downloads View citations (16)
    See also Journal Article in Journal of Econometrics (2011)
  3. Phenomenological and ratio bifurcations of a class of discrete time stochastic processes
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)

2009

  1. Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2012)

2008

  1. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (2)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) Downloads View citations (1)

    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  2. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (5)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2008) Downloads View citations (5)

2007

  1. Informational differences and learning in an asset market with boundedly rational agents
    Working Papers, Warwick Business School, Finance Group Downloads View citations (2)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2006) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2008)
  2. The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (2008)
  3. The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)
    See also Journal Article in Energy Economics (2008)

2006

  1. A weak bifucation theory for discrete time stochastic dynamical systems
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2006) Downloads View citations (1)
  2. E&F Chaos: a user friendly software package for nonlinear economic dynamics
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (4)
    See also Journal Article in Computational Economics (2008)
  3. Rank-based entropy tests for serial independence
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2008)

2005

  1. Equivalence and bifurcations of finite order stochastic processes
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    Also in Working Papers, Warwick Business School, Finance Group (2005) Downloads
  2. Financial markets with heterogeneous agents as nonlinear news filters
    Computing in Economics and Finance 2005, Society for Computational Economics
  3. Nonparametric Tests for Serial Independence Based on Quadratic Forms
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
  4. Test for serial independence based on quadratic forms
    Computing in Economics and Finance 2005, Society for Computational Economics
  5. The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks
    IMF Working Papers, International Monetary Fund Downloads

2004

  1. A new statistic and practical guidelines for nonparametric Granger causality testing
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)
  2. A note on the Hiemstra-Jones test for Granger non-causality
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (10)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2005)
  3. Modified Hiemstra-Jones Test for Granger Non-causality
    Computing in Economics and Finance 2004, Society for Computational Economics
  4. Testing multivariate hypotheses with positive definite bilinear forms
    Computing in Economics and Finance 2004, Society for Computational Economics

2003

  1. Conditional distribution resampling for time series
    Computing in Economics and Finance 2003, Society for Computational Economics
  2. Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2005)
  3. Heterogeneity as a natural source of randomness
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (9)
  4. The correlation dimension of returns with stochastic volatility
    Computing in Economics and Finance 2003, Society for Computational Economics

2002

  1. Continuous Beliefs Dynamics
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (4)
  2. Detecting serial dependence in tail events: A test dual to BDS test
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
  3. Endogenous Noise from Continuous Choice
    Computing in Economics and Finance 2002, Society for Computational Economics
  4. Location of investors and capitical flight
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

2001

  1. A nonparametric bootstrap test for nonlinear Granger causality
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
  2. Asset pricing with a continuum of belief types
    Computing in Economics and Finance 2001, Society for Computational Economics
  3. Tests for serial independence and linearity based on correlation integrals
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2002)

2000

  1. Dimension estimations, stock returns and volatility clustering
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads
  2. Redundancies in the Earth's climatological time series
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance Downloads View citations (1)

1999

  1. Consistent Testing for Serial Independence
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (2)
  2. Dynamical Behavior of Agent Models
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

Journal Articles

2014

  1. Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
    Journal of Economic Dynamics and Control, 2014, 48, (C), 79-94 Downloads View citations (1)

2013

  1. More memory under evolutionary learning may lead to chaos
    Physica A: Statistical Mechanics and its Applications, 2013, 392, (4), 808-812 Downloads View citations (4)

2012

  1. Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns
    Central European Journal of Economic Modelling and Econometrics, 2012, 4, (1), 23-44 Downloads View citations (1)
    See also Working Paper (2009)

2011

  1. Likelihood-based scoring rules for comparing density forecasts in tails
    Journal of Econometrics, 2011, 163, (2), 215-230 Downloads View citations (32)
    See also Working Paper (2011)

2010

  1. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 Downloads View citations (14)
    See also Working Paper (2008)

2008

  1. E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics
    Computational Economics, 2008, 32, (1), 221-244 Downloads View citations (14)
    See also Working Paper (2006)
  2. Informational differences and learning in an asset market with boundedly rational agents
    Journal of Economic Dynamics and Control, 2008, 32, (5), 1432-1465 Downloads View citations (14)
    See also Working Paper (2007)
  3. Rank-based Entropy Tests for Serial Independence
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 1-21 Downloads
    See also Working Paper (2006)
  4. The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing
    Journal of Macroeconomics, 2008, 30, (4), 1641-1650 Downloads View citations (9)
    See also Working Paper (2007)
  5. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality
    Energy Economics, 2008, 30, (5), 2673-2685 Downloads View citations (82)
    See also Working Paper (2007)

2006

  1. A new statistic and practical guidelines for nonparametric Granger causality testing
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1647-1669 Downloads View citations (132)
    See also Working Paper (2004)
  2. Comments on "Global sunspots in OLG models"
    Journal of Macroeconomics, 2006, 28, (1), 46-50 Downloads View citations (1)
  3. Computing in economics and finance
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1441-1444 Downloads

2005

  1. A Note on the Hiemstra-Jones Test for Granger Non-causality
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 1-9 Downloads View citations (39)
    See also Working Paper (2004)
  2. Herding, a-synchronous updating and heterogeneity in memory in a CBS
    Journal of Economic Dynamics and Control, 2005, 29, (4), 741-763 Downloads View citations (41)
    See also Working Paper (2003)

2003

  1. Detecting serial dependence in tail events: a test dual to the BDS test
    Economics Letters, 2003, 79, (3), 319-324 Downloads View citations (1)

2002

  1. Tests for Serial Independence and Linearity Based on Correlation Integrals
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (2), 1-22 Downloads View citations (3)
    See also Working Paper (2001)

1992

  1. Quasicrystalline polymers
    Physica A: Statistical Mechanics and its Applications, 1992, 183, (1), 51-53 Downloads
 
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