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Details about Jan G. De Gooijer

E-mail:
Homepage:http://www.jandegooijer.nl
Workplace: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)

Access statistics for papers by Jan G. De Gooijer.

Last updated 2019-10-13. Update your information in the RePEc Author Service.

Short-id: pgo185


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Working Papers

2011

  1. Asymptotically Informative Prior for Bayesian Analysis
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)

2010

  1. Some Exact Tests for Manifest Properties of Latent Trait Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2011)

2009

  1. Efficient Estimation of an Additive Quantile Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Efficient Estimation of an Additive Quantile Regression Model
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Scandinavian Journal of Statistics (2011)
  3. 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
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2009) Downloads

    See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2012)

2008

  1. MDL Mean Function Selection in Semiparametric Kernel Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2007

  1. Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
    Umeå Economic Studies, Umeå University, Department of Economics Downloads View citations (3)

2006

  1. Semiparametric Regression with Kernel Error Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Scandinavian Journal of Statistics (2007)

2005

  1. 25 Years of IIF Time Series Forecasting: A Selective Review
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2005) Downloads View citations (4)
  2. Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2004

  1. On the u-th Geometric Conditional Quantile
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2002

  1. On Conditional Density Estimation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Statistica Neerlandica (2003)

2000

  1. ASYMMETRIES IN CONDITIONAL MEAN AND VARIANCE: MODELLING STOCK RETURNS BY asMA-asQGARCH
    Umeå Economic Studies, Umeå University, Department of Economics View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2000) Downloads View citations (1)

    See also Journal Article in Journal of Forecasting (2004)
  2. Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

1999

  1. Nonparametric Regression with Serially Correlated Errors
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

1997

  1. Testing Linearity against Nonlinear Moving Average Models
    Umeå Economic Studies, Umeå University, Department of Economics
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (1996)

1987

  1. Higher order moments of bilinear time series processes with symmetrically distributed errors
    Research Memorandum, Tilburg University, School of Economics and Management Downloads

1983

  1. Approximate moments for the sampled space-time autocorrelation function
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business Downloads

1980

  1. FORMULAE FOR THE COVARIANCE STRUCTURE OF THE SAMPLED AUTOCOVARIANCES FROM SERIES GENERATED BY GENERAL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESSES OF ORDER (n,d,q) d = 0 or 1
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business Downloads

1977

  1. On the inverse of the autocovariance matrix for a general mixed autoregressive movie average process
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business Downloads

Journal Articles

2019

  1. Semiparametric quantile averaging in the presence of high-dimensional predictors
    International Journal of Forecasting, 2019, 35, (3), 891-909 Downloads

2018

  1. Mean–variance and mean–semivariance portfolio selection: a multivariate nonparametric approach
    Financial Markets and Portfolio Management, 2018, 32, (4), 419-436 Downloads

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 (2)
    See also Working Paper (2009)
  2. Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 1-24 Downloads View citations (2)

2011

  1. Efficient Estimation of an Additive Quantile Regression Model
    Scandinavian Journal of Statistics, 2011, 38, (1), 46-62 Downloads View citations (2)
    See also Working Paper (2009)
  2. Some exact tests for manifest properties of latent trait models
    Computational Statistics & Data Analysis, 2011, 55, (1), 34-44 Downloads View citations (1)
    See also Working Paper (2010)

2008

  1. Parametric and nonparametric Granger causality testing: Linkages between international stock markets
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (11), 2547-2560 Downloads View citations (10)
  2. Partial sums of lagged cross-products of AR residuals and a test for white noise
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2008, 17, (3), 567-584 Downloads

2007

  1. Power of the Neyman Smooth Test for Evaluating Multivariate Forecast Densities
    Journal of Applied Statistics, 2007, 34, (4), 371-381 Downloads View citations (4)
  2. Semiparametric Regression with Kernel Error Model
    Scandinavian Journal of Statistics, 2007, 34, (4), 841-869 Downloads View citations (14)
    See also Working Paper (2006)

2006

  1. 25 years of time series forecasting
    International Journal of Forecasting, 2006, 22, (3), 443-473 Downloads View citations (109)
  2. Detecting change-points in multidimensional stochastic processes
    Computational Statistics & Data Analysis, 2006, 51, (3), 1892-1903 Downloads View citations (6)

2005

  1. Estimating threshold cointegrated systems
    Economics Bulletin, 2005, 3, (8), 1-7 Downloads View citations (1)
  2. Introduction to nonlinearities, business cycles, and forecasting
    International Journal of Forecasting, 2005, 21, (4), 623-625 Downloads View citations (1)

2004

  1. Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH
    Journal of Forecasting, 2004, 23, (3), 155-171 Downloads View citations (6)
    See also Working Paper (2000)
  2. Editorial Announcement
    International Journal of Forecasting, 2004, 20, (4), 523-524 Downloads
  3. Forecasting threshold cointegrated systems
    International Journal of Forecasting, 2004, 20, (2), 237-253 Downloads View citations (27)

2003

  1. Modeling vector nonlinear time series using POLYMARS
    Computational Statistics & Data Analysis, 2003, 42, (1-2), 73-90 Downloads View citations (3)
  2. Nonlinear stochastic inflation modelling using SEASETARs
    Insurance: Mathematics and Economics, 2003, 32, (1), 3-18 Downloads View citations (2)
  3. On Additive Conditional Quantiles With High Dimensional Covariates
    Journal of the American Statistical Association, 2003, 98, 135-146 Downloads View citations (34)
  4. On Conditional Density Estimation
    Statistica Neerlandica, 2003, 57, (2), 159-176 Downloads View citations (17)
    See also Working Paper (2002)

2002

  1. Introduction to forecasting decisions in conflict situations
    International Journal of Forecasting, 2002, 18, (3), 319-320 Downloads
  2. Mean squared error properties of the kernel-based multi-stage median predictor for time series
    Statistics & Probability Letters, 2002, 56, (1), 51-56 Downloads View citations (3)

2001

  1. Cross‐validation Criteria for Setar Model Selection
    Journal of Time Series Analysis, 2001, 22, (3), 267-281 Downloads

2000

  1. Nonparametric conditional predictive regions for time series
    Computational Statistics & Data Analysis, 2000, 33, (3), 259-275 Downloads View citations (14)

1999

  1. Lagged Regression Residuals and Serial-Correlation Tests
    Journal of Business & Economic Statistics, 1999, 17, (2), 236-47

1998

  1. Forecasting exchange rates using TSMARS
    Journal of International Money and Finance, 1998, 17, (3), 513-534 Downloads View citations (8)
  2. On forecasting SETAR processes
    Statistics & Probability Letters, 1998, 37, (1), 7-14 Downloads View citations (18)
  3. On threshold moving‐average models
    Journal of Time Series Analysis, 1998, 19, (1), 1-18 Downloads View citations (1)

1997

  1. Forecasting and seasonality
    International Journal of Forecasting, 1997, 13, (3), 303-305 Downloads View citations (3)

1996

  1. Component extraction analysis of multivariate time series
    Computational Statistics & Data Analysis, 1996, 21, (5), 487-499 Downloads

1995

  1. Oliver Duncan Anderson: 1940-1995
    International Journal of Forecasting, 1995, 11, (1), 195-196 Downloads

1993

  1. Nonlinear dynamics, chaos, and instability: William A. Brock, David A. Hsieh and Blake LeBaron, 1991, (MIT Press, Cambridge) 328, pp. [UK pound]29.25. ISBN 0-262-02329-6
    International Journal of Forecasting, 1993, 9, (1), 134-135 Downloads
  2. On predictive least squares principles: C.Z. Wei, The Annals of Statistics 20 (1992), 1-42
    International Journal of Forecasting, 1993, 9, (1), 138-139 Downloads View citations (1)

1992

  1. Dynamic factor analysis of nonstationary multivariate time series
    Psychometrika, 1992, 57, (3), 333-349 Downloads View citations (11)
  2. On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes
    International Journal of Forecasting, 1992, 7, (4), 501-513 Downloads View citations (3)
  3. Some recent developments in non-linear time series modelling, testing, and forecasting
    International Journal of Forecasting, 1992, 8, (2), 135-156 Downloads View citations (61)

1990

  1. The role of time series analysis in forecasting: A personal view
    International Journal of Forecasting, 1990, 6, (4), 449-451 Downloads View citations (3)

1989

  1. Testing non-linearities in world stock market prices
    Economics Letters, 1989, 31, (1), 31-35 Downloads View citations (4)

1980

  1. Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1
    Journal of Econometrics, 1980, 14, (3), 365-379 Downloads View citations (4)
 
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