Details about Dick van Dijk

Access statistics for papers by Dick van Dijk.

Last updated 2009-11-14. Update your information in the RePEc Author Service.

Short-id: pva27

Working Papers

2009

1. Structural Breaks in the International Transmission of Inflation
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester

2008

2. Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester
3. Out-of-sample comparison of copula specifications in multivariate density forecasts
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute
   Discussion Papers, School of Economics, The University of New South Wales (2008)
4. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
   Discussion Papers, School of Economics, The University of New South Wales View citations
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008)
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008)
5. Structural Differences in Economic Growth
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2007

6. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
7. Instability and nonlinearity in the Euro area Phillips curve
   Working Paper Series, European Central Bank View citations
   See also Journal Article in International Journal of Central Banking (2009)
8. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
   Also in MPRA Paper, University Library of Munich, Germany (2007) View citations

2006

9. Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
   See also Journal Article in Econometric Reviews (2008)
10. The Euro Introduction and Non-Euro Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2005

11. Panel Smooth Transition Regression Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2005) View citations

2004

12. A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations
13. Forecasting US Inflation Using Model Averaging
    Econometric Society 2004 Australasian Meetings, Econometric Society
14. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations
    See also Journal Article in International Journal of Forecasting (2005)
15. Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience
    Tinbergen Institute Discussion Papers, Tinbergen Institute
16. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
17. Testing for causality in variance in the presence of breaks
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester
    See also Journal Article in Economics Letters (2005)
18. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2001)
    See also Journal Article in Econometrics Journal (2003)

2003

19. Does Africa grow slower than Asia and Latin America
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
20. Forecasting industrial production with linear, nonlinear and structural change models
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
21. Predicting Growth Cycle Regimes for European Countries
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations
22. Selecting a nonlinear time series model using weighted tests of equal forecast accuracy
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
23. Testing for Volatility Changes in US Macroeconomic Time Series
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations
    See also Journal Article in The Review of Economics and Statistics (2004)

2002

24. A simple test for PPP among traded goods
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See also Journal Article in Applied Financial Economics (2006)
25. Changes in Variability of the Business Cycle in the G7 Countries
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2002) View citations
    The School of Economics Discussion Paper Series, Economics, The University of Manchester (2002) View citations
26. Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
    Royal Economic Society Annual Conference 2002, Royal Economic Society
    Also in The School of Economics Discussion Paper Series, Economics, The University of Manchester (2001) View citations
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2001) View citations

2001

27. Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See also Journal Article in Journal of Business & Economic Statistics (2006)
28. Short-term volatility versus long-term growth
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
29. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000) View citations
    See also Journal Article in Econometric Reviews (2002)
30. Stock Selection Strategies in Emerging Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Empirical Finance (2003)
31. The Forecasting Performance of Various Models for Seasonality and Nonlinearity for Quarterly Industrial Production
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    See also Journal Article in International Journal of Forecasting (2005)

2000

32. A Multivariate STAR Analysis of the Relationship Between Money and Output
    Working Papers, East Carolina University, Department of Economics View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
    Working Papers, Erasmus University of Rotterdam - Econometric Institute (1999)
    Working Papers, East Carolina University, Department of Economics (1999) View citations
33. A nonlinear long memory model for US unemployment
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
34. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000) View citations
35. Seasonal smooth transition autoregression
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
36. Time-Varying Smooth Transition Autoregressive Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations
    See also Journal Article in Journal of Business & Economic Statistics (2003)

1999

37. Outlier Detection in the GARCH(1,1) Model
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
38. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
39. Testing for stochastic unit roots - Some Monte Carlo evidence
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations

1998

40. Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regression?
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1998) View citations
41. Forecasting Volatility with Switching Persistence GARCH Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
42. Modeling Asymmetric Volatility in Weekly Dutch Temperature Data
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
43. Short Patches of Outliers, ARCH and Volatility Modeling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    See also Journal Article in Applied Financial Economics (2004)

1997

44. Do We Often Find ARCH Because of Neglected Outliers?
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997) View citations
45. Modelling Multiple Regimes in the Business Cycle
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
46. Nonlinear Error-Correction Models for Interest rates in the Netherlands
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997) View citations

1996

47. Testing for ARCH in the Presence of Additive Outliners
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996)
    See also Journal Article in Journal of Applied Econometrics (1999)
48. Testing for smooth transition nonlinearity in the presence of outliers
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    See also Journal Article in Journal of Business & Economic Statistics (1999)

Journal Articles

2009

1. Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana
   El Trimestre Económico, 2009, LXXVI (4), (304), 991-1026
2. Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
   International Journal of Forecasting, 2009, 25, (2), 282-303
3. Forecasting returns and risk in financial markets using linear and nonlinear models
   International Journal of Forecasting, 2009, 25, (2), 215-217
4. Instability and Nonlinearity in the Euro-Area Phillips Curve
   International Journal of Central Banking, 2009, 5, (2), 181-212
   See also Working Paper (2007)
5. Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range-super-*
   Journal of Financial Econometrics, 2009, 7, (4), 341-372
6. The economic value of fundamental and technical information in emerging currency markets
   Journal of International Money and Finance, 2009, 28, (4), 581-604

2008

7. Macroeconomic forecasting with matched principal components
   International Journal of Forecasting, 2008, 24, (1), 87-100 View citations
8. Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?
   Econometric Reviews, 2008, 27, (1-3), 199-229
   See also Working Paper (2006)

2007

9. A unified approach to nonlinearity, structural change, and outliers
   Journal of Econometrics, 2007, 137, (1), 112-133 View citations
10. Absorption of shocks in nonlinear autoregressive models
    Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226
11. Forecast comparison of principal component regression and principal covariate regression
    Computational Statistics & Data Analysis, 2007, 51, (7), 3612-3625
12. Measuring volatility with the realized range
    Journal of Econometrics, 2007, 138, (1), 181-207 View citations

2006

13. A simple test for PPP among traded goods
    Applied Financial Economics, 2006, 16, (1-2), 19-27
    See also Working Paper (2002)
14. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
    Journal of Business & Economic Statistics, 2006, 24, 24-42 View citations
    See also Working Paper (2001)
15. 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
    International Journal of Forecasting, 2006, 22, (2), 407-408
16. Sample size, lag order and critical values of seasonal unit root tests
    Computational Statistics & Data Analysis, 2006, 50, (10), 2734-2751 View citations

2005

17. A multi-level panel STAR model for US manufacturing sectors
    Journal of Applied Econometrics, 2005, 20, (6), 811-827 View citations
18. Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method
    Journal of Development Economics, 2005, 77, (2), 553-570 View citations
19. Forecasting aggregates using panels of nonlinear time series
    International Journal of Forecasting, 2005, 21, (4), 785-794 View citations
20. Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
    International Journal of Forecasting, 2005, 21, (4), 755-774 View citations
    See also Working Paper (2004)
21. On the dynamics of business cycle analysis: editors' introduction
    Journal of Applied Econometrics, 2005, 20, (2), 147-150 View citations
22. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783
23. Testing for causality in variance in the presence of breaks
    Economics Letters, 2005, 89, (2), 193-199 View citations
    See also Working Paper (2004)
24. The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
    International Journal of Forecasting, 2005, 21, (1), 87-102 View citations
    See also Working Paper (2001)
25. The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
    Emerging Markets Review, 2005, 6, (3), 238-262

2004

26. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 View citations
    See also Working Paper (1998)
27. Testing for Volatility Changes in U.S. Macroeconomic Time Series
    The Review of Economics and Statistics, 2004, 86, (3), 833-839 View citations
    See also Working Paper (2003)

2003

28. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 View citations
29. Stock selection strategies in emerging markets
    Journal of Empirical Finance, 2003, 10, (1-2), 105-132 View citations
    See also Working Paper (2001)
30. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    Econometrics Journal, 2003, 6, (1), 79-98 View citations
    See also Working Paper (2004)
31. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations
    See also Working Paper (2000)

2002

32. A nonlinear long memory model, with an application to US unemployment
    Journal of Econometrics, 2002, 110, (2), 135-165 View citations
33. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-97 View citations
34. SMOOTH TRANSITION AUTOREGRESSIVE MODELS - A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 View citations
    See also Working Paper (2001)

2001

35. MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2001, 5, (04), 506-532 View citations

1999

36. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations
    See also Working Paper (1996)
37. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations
    See also Working Paper (1996)