Details about Cees Diks

Access statistics for papers by Cees Diks.

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

Short-id: pdi108

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 View citations (30)

2013

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

2011

4. Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices
   CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (3)
5. Likelihood-based scoring rules for comparing density forecasts in tails
   Post-Print, HAL View citations (69)
   See also Journal Article Likelihood-based scoring rules for comparing density forecasts in tails, Journal of Econometrics, Elsevier (2011) View citations (92) (2011)
6. 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 View citations (3)

2009

7. 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 View citations (2)
   See also Journal Article Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns, Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics (2012) View citations (4) (2012)

2008

8. 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 (2)
   Also in Discussion Papers, School of Economics, The University of New South Wales (2008) View citations (2)
   See also Journal Article Out-of-sample comparison of copula specifications in multivariate density forecasts, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (31) (2010)
9. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
   Discussion Papers, School of Economics, The University of New South Wales View citations (6)
   Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) View citations (6)

2007

10. 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 View citations (2)
    See also Journal Article The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing, Journal of Macroeconomics, Elsevier (2008) View citations (37) (2008)
11. 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 View citations (3)
    See also Journal Article The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality, Energy Economics, Elsevier (2008) View citations (206) (2008)

2006

12. A weak bifurcation theory for discrete time stochastic dynamical systems
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (1)
13. 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 View citations (5)
    See also Journal Article E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics, Computational Economics, Springer (2008) View citations (25) (2008)
14. Informational differences and learning in an asset market with boundedly rational agents
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (1)
    See also Journal Article Informational differences and learning in an asset market with boundedly rational agents, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (19) (2008)
15. Rank-based entropy tests for serial independence
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
    See also Journal Article Rank-based Entropy Tests for Serial Independence, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2008) View citations (2) (2008)

2005

16. Equivalence and bifurcations of finite order stochastic processes
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
17. Financial markets with heterogeneous agents as nonlinear news filters
    Computing in Economics and Finance 2005, Society for Computational Economics
18. Nonparametric Tests for Serial Independence Based on Quadratic Forms
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
19. Test for serial independence based on quadratic forms
    Computing in Economics and Finance 2005, Society for Computational Economics

2004

20. 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 View citations (3)
    See also Journal Article A new statistic and practical guidelines for nonparametric Granger causality testing, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (482) (2006)
21. 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 View citations (10)
    See also Journal Article A Note on the Hiemstra-Jones Test for Granger Non-causality, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2005) View citations (125) (2005)
22. Modified Hiemstra-Jones Test for Granger Non-causality
    Computing in Economics and Finance 2004, Society for Computational Economics
23. Testing multivariate hypotheses with positive definite bilinear forms
    Computing in Economics and Finance 2004, Society for Computational Economics

2003

24. Conditional distribution resampling for time series
    Computing in Economics and Finance 2003, Society for Computational Economics
25. 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
    See also Journal Article Herding, a-synchronous updating and heterogeneity in memory in a CBS, Journal of Economic Dynamics and Control, Elsevier (2005) View citations (92) (2005)
26. Heterogeneity as a natural source of randomness
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (20)
27. The correlation dimension of returns with stochastic volatility
    Computing in Economics and Finance 2003, Society for Computational Economics

2002

28. Continuous Beliefs Dynamics
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (6)
29. 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
    See also Journal Article Detecting serial dependence in tail events: a test dual to the BDS test, Economics Letters, Elsevier (2003) View citations (2) (2003)
30. Endogenous Noise from Continuous Choice
    Computing in Economics and Finance 2002, Society for Computational Economics
31. Location of investors and capitical flight
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

2001

32. A nonparametric bootstrap test for nonlinear Granger causality
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
33. Asset pricing with a continuum of belief types
    Computing in Economics and Finance 2001, Society for Computational Economics
34. Tests for serial independence and linearity based on correlation integrals
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (1)
    See also Journal Article Tests for Serial Independence and Linearity Based on Correlation Integrals, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2002) View citations (8) (2002)

2000

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

1999

37. Consistent Testing for Serial Independence
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance View citations (2)
38. 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 View citations (12)

2013

2. More memory under evolutionary learning may lead to chaos
   Physica A: Statistical Mechanics and its Applications, 2013, 392, (4), 808-812 View citations (10)

2012

3. 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 View citations (4)
   See also Working Paper Information Flows Around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns, CeNDEF Working Papers (2009) View citations (2) (2009)

2011

4. Likelihood-based scoring rules for comparing density forecasts in tails
   Journal of Econometrics, 2011, 163, (2), 215-230 View citations (92)
   See also Working Paper Likelihood-based scoring rules for comparing density forecasts in tails, Post-Print (2011) View citations (69) (2011)

2010

5. Out-of-sample comparison of copula specifications in multivariate density forecasts
   Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 View citations (31)
   See also Working Paper Out-of-sample comparison of copula specifications in multivariate density forecasts, CeNDEF Working Papers (2008) View citations (2) (2008)

2008

6. E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics
   Computational Economics, 2008, 32, (1), 221-244 View citations (25)
   See also Working Paper E&F Chaos: a user friendly software package for nonlinear economic dynamics, CeNDEF Working Papers (2006) View citations (5) (2006)
7. Informational differences and learning in an asset market with boundedly rational agents
   Journal of Economic Dynamics and Control, 2008, 32, (5), 1432-1465 View citations (19)
   See also Working Paper Informational differences and learning in an asset market with boundedly rational agents, CeNDEF Working Papers (2006) View citations (1) (2006)
8. Rank-based Entropy Tests for Serial Independence
   Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (1), 21 View citations (2)
   See also Working Paper Rank-based entropy tests for serial independence, CeNDEF Working Papers (2006) (2006)
9. The nonlinear dynamic relationship of exchange rates: Parametric and nonparametric causality testing
   Journal of Macroeconomics, 2008, 30, (4), 1641-1650 View citations (37)
   See also Working Paper The Nonlinear Dynamic Relationship of Exchange Rates: Parametric and Nonparametric Causality testing, CeNDEF Working Papers (2007) View citations (2) (2007)
10. The relationship between crude oil spot and futures prices: Cointegration, linear and nonlinear causality
    Energy Economics, 2008, 30, (5), 2673-2685 View citations (206)
    See also Working Paper The Relationship between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality, CeNDEF Working Papers (2007) View citations (3) (2007)

2006

11. A new statistic and practical guidelines for nonparametric Granger causality testing
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1647-1669 View citations (482)
    See also Working Paper A new statistic and practical guidelines for nonparametric Granger causality testing, CeNDEF Working Papers (2004) View citations (3) (2004)
12. Comments on "Global sunspots in OLG models"
    Journal of Macroeconomics, 2006, 28, (1), 46-50 View citations (1)
13. Computing in economics and finance
    Journal of Economic Dynamics and Control, 2006, 30, (9-10), 1441-1444

2005

14. A Note on the Hiemstra-Jones Test for Granger Non-causality
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (2), 9 View citations (125)
    See also Working Paper A note on the Hiemstra-Jones test for Granger non-causality, CeNDEF Working Papers (2004) View citations (10) (2004)
15. Herding, a-synchronous updating and heterogeneity in memory in a CBS
    Journal of Economic Dynamics and Control, 2005, 29, (4), 741-763 View citations (92)
    See also Working Paper Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS, CeNDEF Working Papers (2003) (2003)

2003

16. Detecting serial dependence in tail events: a test dual to the BDS test
    Economics Letters, 2003, 79, (3), 319-324 View citations (2)
    See also Working Paper Detecting serial dependence in tail events: A test dual to BDS test, CeNDEF Working Papers (2002) (2002)

2002

17. Tests for Serial Independence and Linearity Based on Correlation Integrals
    Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (2), 22 View citations (8)
    See also Working Paper Tests for serial independence and linearity based on correlation integrals, CeNDEF Working Papers (2001) View citations (1) (2001)

1992

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