Details about Dick van Dijk

Access statistics for papers by Dick van Dijk.

Last updated 2012-02-24. Update your information in the RePEc Author Service.

Short-id: pva27

Working Papers

2012

1. Measuring and Predicting Heterogeneous Recessions
   TÜSÝAD-Koç University Economic Research Forum Working Papers, TUSIAD-Koc University Economic Research Forum
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
   Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)

2011

2. An Alternative Bayesian Approach to Structural Breaks in Time Series Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute
3. Bayesian Forecasting of Federal Funds Target Rate Decisions
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
4. Forecasting Volatility with Copula-Based Time Series Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute
5. Modeling and Estimation of Synchronization in Multistate Markov
   Tinbergen Institute Discussion Papers, Tinbergen Institute
6. Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
7. Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
8. On the Effects of Private Information on Volatility
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2010

9. Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
   Tinbergen Institute Discussion Papers, Tinbergen Institute
10. Term structure forecasting using macro factors and forecast combination
    Working Paper, Norges Bank
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2010) View citations (1)

2009

11. Changes in International Business Cycle Affiliations
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester
    Also in The School of Economics Discussion Paper Series, Economics, The University of Manchester (2009)
12. Structural Breaks in the International Transmission of Inflation
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations (1)

2008

13. 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 View citations (2)
14. 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 View citations (1)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2008) View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
15. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    Discussion Papers, School of Economics, The University of New South Wales View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (3)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) View citations (3)
16. Structural Differences in Economic Growth
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2007

17. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
    See also Journal Article in Quantitative Finance (2010)
18. Instability and nonlinearity in the Euro area Phillips curve
    Working Paper Series, European Central Bank View citations (3)
    See also Journal Article in International Journal of Central Banking (2009)
19. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (11)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (9)

2006

20. 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 (6)
    See also Journal Article in Econometric Reviews (2008)
21. The Euro Introduction and Non-Euro Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
    See also Journal Article in Applied Financial Economics (2011)

2005

22. Panel Smooth Transition Regression Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (25)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (14)

2004

23. A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
24. Forecasting US Inflation Using Model Averaging
    Econometric Society 2004 Australasian Meetings, Econometric Society
25. 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 (5)
    Also in Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations (3)
    See also Journal Article in International Journal of Forecasting (2005)
26. Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience
    Tinbergen Institute Discussion Papers, Tinbergen Institute
27. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (23)
28. 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 View citations (1)
    See also Journal Article in Economics Letters (2005)
29. 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 (1)
    See also Journal Article in Econometrics Journal (2003)

2003

30. Predicting Growth Cycle Regimes for European Countries
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester View citations (1)
31. 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 (13)
    See also Journal Article in The Review of Economics and Statistics (2004)

2002

32. 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 (8)
    Also in The School of Economics Discussion Paper Series, Economics, The University of Manchester (2002) View citations (12)
33. 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 (7)
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2001) View citations (6)

2001

34. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (76)
    See also Journal Article in Econometric Reviews (2002)
35. Stock Selection Strategies in Emerging Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Empirical Finance (2003)

2000

36. A Multivariate STAR Analysis of the Relationship Between Money and Output
    Working Papers, East Carolina University, Department of Economics View citations (19)
    Also in Working Papers, East Carolina University, Department of Economics (1999) View citations (1)
37. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000)
38. Time-Varying Smooth Transition Autoregressive Models
    Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2003)

1999

39. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)

1998

40. Short Patches of Outliers, ARCH and Volatility Modeling
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    See also Journal Article in Applied Financial Economics (2004)

Journal Articles

2011

1. Forecasting with Leading Indicators by means of the Principal Covariate Index
   OECD Journal: Journal of Business Cycle Measurement and Analysis, 2011, 2011, (1), 4
2. Likelihood-based scoring rules for comparing density forecasts in tails
   Journal of Econometrics, 2011, 163, (2), 215-230
3. Modelling regional house prices
   Applied Economics, 2011, 43, (17), 2097-2110
4. Real-time macroeconomic forecasting with leading indicators: An empirical comparison
   International Journal of Forecasting, 2011, 27, (2), 466-481
5. The euro introduction and noneuro currencies
   Applied Financial Economics, 2011, 21, (1-2), 95-116
   See also Working Paper (2006)

2010

6. A comparison of biased simulation schemes for stochastic volatility models
   Quantitative Finance, 2010, 10, (2), 177-194
   See also Working Paper (2007)
7. Cointegration in a historical perspective
   Journal of Econometrics, 2010, 158, (1), 156-159
8. Out-of-sample comparison of copula specifications in multivariate density forecasts
   Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 View citations (1)
   See also Working Paper (2008)
9. Twenty years of cointegration
   Journal of Econometrics, 2010, 158, (1), 1-2

2009

10. Contagion as a domino effect in global stock markets
    Journal of Banking & Finance, 2009, 33, (11), 1996-2012 View citations (7)
11. Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana
    El Trimestre Económico, 2009, LXXVI (4), (304), 991-1026
12. Do Leading Indicators Lead Peaks More Than Troughs?
    Journal of Business & Economic Statistics, 2009, 27, (4), 528-543 View citations (5)
13. 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 View citations (5)
14. Forecasting returns and risk in financial markets using linear and nonlinear models
    International Journal of Forecasting, 2009, 25, (2), 215-217
15. Instability and Nonlinearity in the Euro-Area Phillips Curve
    International Journal of Central Banking, 2009, 5, (2), 181-212 View citations (11)
    See also Working Paper (2007)
16. Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range-super-*
    Journal of Financial Econometrics, 2009, 7, (4), 341-372
17. The economic value of fundamental and technical information in emerging currency markets
    Journal of International Money and Finance, 2009, 28, (4), 581-604 View citations (5)

2008

18. Macroeconomic forecasting with matched principal components
    International Journal of Forecasting, 2008, 24, (1), 87-100 View citations (3)
19. 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 View citations (2)
    See also Working Paper (2006)

2007

20. A unified approach to nonlinearity, structural change, and outliers
    Journal of Econometrics, 2007, 137, (1), 112-133 View citations (9)
21. Absorption of shocks in nonlinear autoregressive models
    Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226 View citations (2)
22. Forecast comparison of principal component regression and principal covariate regression
    Computational Statistics & Data Analysis, 2007, 51, (7), 3612-3625 View citations (1)
23. Measuring volatility with the realized range
    Journal of Econometrics, 2007, 138, (1), 181-207 View citations (18)

2006

24. A simple test for PPP among traded goods
    Applied Financial Economics, 2006, 16, (1-2), 19-27
25. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
    Journal of Business & Economic Statistics, 2006, 24, 24-42 View citations (16)
26. 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
27. Sample size, lag order and critical values of seasonal unit root tests
    Computational Statistics & Data Analysis, 2006, 50, (10), 2734-2751 View citations (2)

2005

28. A multi-level panel STAR model for US manufacturing sectors
    Journal of Applied Econometrics, 2005, 20, (6), 811-827 View citations (5)
29. 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 (14)
30. Forecasting aggregates using panels of nonlinear time series
    International Journal of Forecasting, 2005, 21, (4), 785-794 View citations (1)
31. 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 (7)
    See also Working Paper (2004)
32. On the dynamics of business cycle analysis: editors' introduction
    Journal of Applied Econometrics, 2005, 20, (2), 147-150 View citations (4)
33. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783
34. Testing for causality in variance in the presence of breaks
    Economics Letters, 2005, 89, (2), 193-199 View citations (1)
    See also Working Paper (2004)
35. 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 (4)
36. The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
    Emerging Markets Review, 2005, 6, (3), 238-262

2004

37. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231
    See also Working Paper (1998)
38. Testing for Volatility Changes in U.S. Macroeconomic Time Series
    The Review of Economics and Statistics, 2004, 86, (3), 833-839 View citations (37)
    See also Working Paper (2003)

2003

39. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 View citations (9)
40. Stock selection strategies in emerging markets
    Journal of Empirical Finance, 2003, 10, (1-2), 105-132 View citations (2)
    See also Working Paper (2001)
41. 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 (9)
    See also Working Paper (2004)
42. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (26)
    See also Working Paper (2000)

2002

43. A nonlinear long memory model, with an application to US unemployment
    Journal of Econometrics, 2002, 110, (2), 135-165 View citations (11)
44. 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 (1)
45. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 View citations (47)
    See also Working Paper (2001)

2001

46. MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2001, 5, (04), 506-532 View citations (6)

1999

47. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations (26)
48. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (15)