Details about Dick van Dijk

E-mail:
Homepage:	https://sites.google.com/view/dickvandijk/
Phone:	+31 10 4081263
Postal address:	Econometric Institute Erasmus University Rotterdam P.O. Box 1738 NL-3000 DR Rotterdam The Netherlands
Workplace:	Econometrisch Instituut (Econometric Institute), Faculteit der Economische Wetenschappen (Erasmus School of Economics), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC) Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC) Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam (Erasmus University of Rotterdam), (more information at EDIRC)

Access statistics for papers by Dick van Dijk.

Last updated 2022-08-25. Update your information in the RePEc Author Service.

Short-id: pva27

---

Jump to Journal Articles Chapters

Working Papers

2021

1. Heterogeneity in Manufacturing Growth Risk
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2020

2. Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model
   Tinbergen Institute Discussion Papers, Tinbergen Institute

2019

3. Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
4. Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article in Journal of Business & Economic Statistics (2021)

2017

5. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
   See also Journal Article in The Journal of Financial Econometrics (2017)
6. Panel Smooth Transition Regression Models
   SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (231)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) View citations (76)
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (235)

2015

7. Dynamic Factor Models for the Volatility Surface
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
8. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
9. Why do Pit-Hours outlive the Pit?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2014

10. Forecasting business cycles
    Post-Print, HAL
    Also in Post-Print, HAL (2014)
11. Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
    Tinbergen Institute Discussion Papers, Tinbergen Institute
12. Market Set-Up in Advance of Federal Reserve Policy Decisions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2013

13. Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
    Tinbergen Institute Discussion Papers, Tinbergen Institute
14. Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (13)
    See also Journal Article in Energy Economics (2015)
15. How to Identify and Forecast Bull and Bear Markets?
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (4)
16. Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (4)
    See also Journal Article in International Journal of Forecasting (2016)
17. Predicting Covariance Matrices with Financial Conditions Indexes
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)

2012

18. Forecasting Interest Rates with Shifting Endpoints
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
19. Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
    See also Journal Article in The North American Journal of Economics and Finance (2013)
20. High-Frequency Technical Trading: The Importance of Speed
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
21. Measuring and Predicting Heterogeneous Recessions
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
    See also Journal Article in Journal of Economic Dynamics and Control (2013)
22. On the Effects of Private Information on Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011)
23. Realized mixed-frequency factor models for vast dimensional covariance estimation
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (5)
24. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article in Journal of Banking & Finance (2014)

2011

25. An Alternative Bayesian Approach to Structural Breaks in Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
26. Bayesian Forecasting of Federal Funds Target Rate Decisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article in Journal of Macroeconomics (2013)
27. Forecasting Volatility with Copula-Based Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
28. Likelihood-based scoring rules for comparing density forecasts in tails
    Post-Print, HAL View citations (63)
    See also Journal Article in Journal of Econometrics (2011)
29. Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (17)
30. The Euro-introduction and non-Euro currencies
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2006) View citations (7)
    See also Journal Article in Applied Financial Economics (2011)

2010

31. Corporate Governance and the Cost of Debt of Large European Firms
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
32. Financial Development and Convergence Clubs
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
33. Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    See also Journal Article in Journal of Forecasting (2013)
34. Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
35. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Post-Print, HAL View citations (26)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (1)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) View citations (1)
    Discussion Papers, School of Economics, The University of New South Wales (2008) View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
36. Term structure forecasting using macro factors and forecast combination
    Working Paper, Norges Bank View citations (21)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2010) View citations (16)

2009

37. Changes in International Business Cycle Affiliations
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
38. Cointegration in a historical perspective
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article in Journal of Econometrics (2010)
39. Macroeconomic forecasting with real-time data: an empirical comparison
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
40. Structural Breaks in the International Transmission of Inflation
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (3)
41. Time Variation in Asset Return Dependence: Strength or Structure?
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (7)

2008

42. Contagion as Domino Effect in Global Stock Markets
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
    See also Journal Article in Journal of Banking & Finance (2009)
43. Corporate Governance and the Value of Excess Cash Holdings of Large European Firms
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (1)
    See also Journal Article in European Financial Management (2013)
44. 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 University of Manchester View citations (5)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
45. 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 View citations (6)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) View citations (6)
    Discussion Papers, School of Economics, The University of New South Wales (2008) View citations (6)
46. Range-based covariance estimation using high-frequency data: The realized co-range
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
47. Structural Differences in Economic Growth
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
48. The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

2007

49. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article in Quantitative Finance (2010)
50. A Recommitment Strategy for Long Term Private Equity Fund Investors
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
51. Do leading indicators lead peaks more than troughs?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
52. Evaluating real-time forecasts in real-time
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
53. Good News is No News
    ERIM Inaugural Address Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
54. Instability and nonlinearity in the euro area Phillips curve
    Working Paper Series, European Central Bank View citations (23)
    See also Journal Article in International Journal of Central Banking (2009)
55. Modeling regional house prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (10)
    See also Journal Article in Applied Economics (2011)
56. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (17)
    Also in MPRA Paper, University Library of Munich, Germany (2007) View citations (16)
57. The Economic Value of Fundamental and Technical Information in Emerging Currency Markets
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (6)
    See also Journal Article in Journal of International Money and Finance (2009)
58. The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (2)
59. When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam
    See also Journal Article in Review of Finance (2013)

2006

60. Bayesian Model Averaging in the Presence of Structural Breaks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (14)
61. Improved Construction of diffusion indexes for macroeconomic forecasting
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
62. Measuring volatility with the realized range
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (6)
    See also Journal Article in Journal of Econometrics (2007)
63. 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 (4)
    See also Journal Article in Econometric Reviews (2008)
64. Time series forecasting by principal covariate regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)

2005

65. A unified approach to nonlinearity, structural change and outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
    See also Journal Article in Journal of Econometrics (2007)
66. Forecast comparison of principal component regression and principal covariate regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
67. Semi-Parametric Modelling of Correlation Dynamics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (7)
68. The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?
    ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam View citations (15)
    See also Journal Article in Emerging Markets Review (2005)

2004

69. A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (2)
70. Forecasting US Inflation Using Model Averaging
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
71. Forecasting aggregates using panels of nonlinear time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article in International Journal of Forecasting (2005)
72. 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 SSE/EFI 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)
73. Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
74. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (66)
75. Testing for causality in variance in the presence of breaks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2004)
    See also Journal Article in Economics Letters (2005)
76. Testing for changes in volatility in heteroskedastic time series - a further examination
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (19)
77. The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001)
    See also Journal Article in Econometrics Journal (2003)

2003

78. Does Africa grow slower than Asia and Latin America?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (5)
79. Forecasting industrial production with linear, nonlinear, and structural change models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (20)
80. Predicting Growth Cycle Regimes for European Countries
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester
81. Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (30)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
82. Testing for Volatility Changes in US Macroeconomic Time Series
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (7)
    See also Journal Article in The Review of Economics and Statistics (2004)

2002

83. A simple test for PPP among traded goods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
    See also Journal Article in Applied Financial Economics (2006)
84. Changes in Variability of the Business Cycle in the G7 Countries
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester View citations (32)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2002) View citations (32)
85. Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (2)
    Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2001) View citations (13)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) View citations (13)

2001

86. Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2006)
87. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (69)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (20)
    See also Journal Article in Econometric Reviews (2002)
88. Stock Selection Strategies in Emerging Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    See also Journal Article in Journal of Empirical Finance (2003)
89. The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
    See also Journal Article in International Journal of Forecasting (2005)

2000

90. A Multivariate STAR Analysis of the Relationship Between Money and Output
    Working Papers, East Carolina University, Department of Economics View citations (17)
    Also in Working Papers, East Carolina University, Department of Economics (1999) View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (3)
91. A nonlinear long memory model for US unemployment
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
92. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (13)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (17)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) View citations (3)
93. Seasonal smooth transition autoregression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (8)
94. Time-Varying Smooth Transition Autoregressive Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (9)
    See also Journal Article in Journal of Business & Economic Statistics (2003)

1999

95. Outlier detection in the GARCH (1,1) model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
96. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
97. Testing for Stochastic Unit Roots - Some Monte Carlo evidence
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
98. Unit root tests and assymmetric adjustment
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1998

99. Does the absence of cointegration explain the typical findings in long horizon regressions?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (49)
100. Forecasting volatility with switching persistence GARCH models
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (12)
101. Modeling asymmetric volatility in weekly Dutch temperature data
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
102. Nonlinearities and outliers: robust specification of STAR models
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
103. Short Patches of Outliers, ARCH and Volatility Modeling
     Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
     See also Journal Article in Applied Financial Economics (2004)

1997

104. Do We Often Find ARCH Because Of Neglected Outliers?
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
105. Modelling Multiple Regimes in the Business Cycle
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
106. Nonlinear Error-Correction Models for Interest Rates in The Netherlands
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)
107. Timing of Vote Decision in First and Second Order Dutch Elections 1978-1995: Evidence from Artificial Neural Networks
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1996

108. Testing for ARCH in the Presence of Additive Outliers
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
     See also Journal Article in Journal of Applied Econometrics (1999)
109. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
     Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (9)
     See also Journal Article in Journal of Business & Economic Statistics (1999)

Journal Articles

2021

1. Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
   Journal of Business & Economic Statistics, 2021, 39, (4), 1066-1079 View citations (1)
   See also Working Paper (2019)

2019

2. Combining expert‐adjusted forecasts
   Journal of Forecasting, 2019, 38, (5), 415-421 View citations (2)

2018

3. New HEAVY Models for Fat-Tailed Realized Covariances and Returns
   Journal of Business & Economic Statistics, 2018, 36, (4), 643-657 View citations (22)

2017

4. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
   The Journal of Financial Econometrics, 2017, 15, (4), 649-677 View citations (7)
   See also Working Paper (2017)
5. Intraday price discovery in fragmented markets
   Journal of Financial Markets, 2017, 32, (C), 28-48 View citations (14)

2016

6. Getting the most out of macroeconomic information for predicting excess stock returns
   International Journal of Forecasting, 2016, 32, (3), 650-668 View citations (16)
7. Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
   Economic Journal, 2016, (592), 618-653 View citations (2)
8. Nonlinear forecasting with many predictors using kernel ridge regression
   International Journal of Forecasting, 2016, 32, (3), 736-753 View citations (16)
   See also Working Paper (2013)

2015

9. Forecasting day-ahead electricity prices: Utilizing hourly prices
   Energy Economics, 2015, 50, (C), 227-239 View citations (60)
   See also Working Paper (2013)

2014

10. 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 (10)
11. Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation
    Oxford Bulletin of Economics and Statistics, 2014, 76, (3), 360-388 View citations (26)
    See also Working Paper (2008)
12. Order flow and volatility: An empirical investigation
    Journal of Empirical Finance, 2014, 28, (C), 185-201 View citations (12)
13. Predicting volatility and correlations with Financial Conditions Indexes
    Journal of Empirical Finance, 2014, 29, (C), 435-447 View citations (17)
14. Speed, algorithmic trading, and market quality around macroeconomic news announcements
    Journal of Banking & Finance, 2014, 38, (C), 89-105 View citations (37)
    See also Working Paper (2012)

2013

15. Bayesian forecasting of federal funds target rate decisions
    Journal of Macroeconomics, 2013, 37, (C), 19-40 View citations (4)
    See also Working Paper (2011)
16. Corporate Governance and the Value of Excess Cash Holdings of Large European Firms
    European Financial Management, 2013, 19, (5), 991-1016 View citations (6)
    See also Working Paper (2008)
17. Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model
    Journal of Forecasting, 2013, 32, (3), 193-214 View citations (20)
    See also Working Paper (2010)
18. Forecasting volatility with the realized range in the presence of noise and non-trading
    The North American Journal of Economics and Finance, 2013, 26, (C), 535-551 View citations (9)
    See also Working Paper (2012)
19. Measuring and predicting heterogeneous recessions
    Journal of Economic Dynamics and Control, 2013, 37, (11), 2195-2216 View citations (5)
    See also Working Paper (2012)
20. Structural Breaks in the International Dynamics of Inflation
    The Review of Economics and Statistics, 2013, 95, (2), 646-659 View citations (36)
21. When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
    Review of Finance, 2013, 17, (3), 1099-1139 View citations (8)
    See also Working Paper (2007)

2012

22. Structural differences in economic growth: an endogenous clustering approach
    Applied Economics, 2012, 44, (1), 119-134 View citations (5)

2011

23. Forecasting with Leading Indicators by means of the Principal Covariate Index
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2011, 2011, (1), 73-92 View citations (1)
24. Likelihood-based scoring rules for comparing density forecasts in tails
    Journal of Econometrics, 2011, 163, (2), 215-230 View citations (71)
    See also Working Paper (2011)
25. Modelling regional house prices
    Applied Economics, 2011, 43, (17), 2097-2110 View citations (10)
    See also Working Paper (2007)
26. Real-time macroeconomic forecasting with leading indicators: An empirical comparison
    International Journal of Forecasting, 2011, 27, (2), 466-481 View citations (12)
    Also in International Journal of Forecasting, 2011, 27, (2), 466-481 (2011) View citations (12)
27. The euro introduction and noneuro currencies
    Applied Financial Economics, 2011, 21, (1-2), 95-116 View citations (23)
    See also Working Paper (2011)

2010

28. A comparison of biased simulation schemes for stochastic volatility models
    Quantitative Finance, 2010, 10, (2), 177-194 View citations (95)
    See also Working Paper (2007)
29. Cointegration in a historical perspective
    Journal of Econometrics, 2010, 158, (1), 156-159 View citations (2)
    See also Working Paper (2009)
30. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 View citations (25)
    See also Working Paper (2010)
31. Twenty years of cointegration
    Journal of Econometrics, 2010, 158, (1), 1-2

2009

32. Contagion as a domino effect in global stock markets
    Journal of Banking & Finance, 2009, 33, (11), 1996-2012 View citations (98)
    See also Working Paper (2008)
33. Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective
    International Journal of Corporate Governance, 2009, 1, (4), 382-399 View citations (1)
34. Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana
    El Trimestre Económico, 2009, LXXVI (4), (304), 991-1026
35. Do Leading Indicators Lead Peaks More Than Troughs?
    Journal of Business & Economic Statistics, 2009, 27, (4), 528-543 View citations (21)
    See also Working Paper (2007)
36. 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 (95)
37. Forecasting returns and risk in financial markets using linear and nonlinear models
    International Journal of Forecasting, 2009, 25, (2), 215-217
38. Instability and Nonlinearity in the Euro-Area Phillips Curve
    International Journal of Central Banking, 2009, 5, (2), 181-212 View citations (40)
    See also Working Paper (2007)
39. Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-*
    The Journal of Financial Econometrics, 2009, 7, (4), 341-372 View citations (17)
40. 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 (31)
    See also Working Paper (2007)

2008

41. Macroeconomic forecasting with matched principal components
    International Journal of Forecasting, 2008, 24, (1), 87-100 View citations (7)
42. 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 (54)
    See also Working Paper (2006)

2007

43. A unified approach to nonlinearity, structural change, and outliers
    Journal of Econometrics, 2007, 137, (1), 112-133 View citations (70)
    See also Working Paper (2005)
44. Absorption of shocks in nonlinear autoregressive models
    Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226 View citations (22)
45. Forecast comparison of principal component regression and principal covariate regression
    Computational Statistics & Data Analysis, 2007, 51, (7), 3612-3625 View citations (11)
    See also Working Paper (2005)
46. Measuring volatility with the realized range
    Journal of Econometrics, 2007, 138, (1), 181-207 View citations (143)
    See also Working Paper (2006)

2006

47. A simple test for PPP among traded goods
    Applied Financial Economics, 2006, 16, (1-2), 19-27 View citations (1)
    See also Working Paper (2002)
48. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
    Journal of Business & Economic Statistics, 2006, 24, 24-42 View citations (67)
    See also Working Paper (2001)
49. Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis
    EconoQuantum, Revista de Economia y Finanzas, 2006, 2, (2), 39-55
50. 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
51. Sample size, lag order and critical values of seasonal unit root tests
    Computational Statistics & Data Analysis, 2006, 50, (10), 2734-2751 View citations (15)

2005

52. A multi-level panel STAR model for US manufacturing sectors
    Journal of Applied Econometrics, 2005, 20, (6), 811-827 View citations (80)
53. 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 (56)
54. Forecasting aggregates using panels of nonlinear time series
    International Journal of Forecasting, 2005, 21, (4), 785-794 View citations (13)
    See also Working Paper (2004)
55. 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 (94)
    See also Working Paper (2004)
56. On the dynamics of business cycle analysis: editors' introduction
    Journal of Applied Econometrics, 2005, 20, (2), 147-150
    Also in Journal of Applied Econometrics, 2005, 20, (2), 147-150 (2005) View citations (6)
57. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783
58. Testing for causality in variance in the presence of breaks
    Economics Letters, 2005, 89, (2), 193-199 View citations (40)
    See also Working Paper (2004)
59. 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 (29)
    See also Working Paper (2001)
60. The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
    Emerging Markets Review, 2005, 6, (3), 238-262 View citations (18)
    See also Working Paper (2005)

2004

61. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 View citations (18)
    See also Working Paper (1998)
62. Testing for Volatility Changes in U.S. Macroeconomic Time Series
    The Review of Economics and Statistics, 2004, 86, (3), 833-839 View citations (164)
    See also Working Paper (2003)

2003

63. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 View citations (31)
64. Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 727-744 View citations (32)
    See also Working Paper (2003)
65. Stock selection strategies in emerging markets
    Journal of Empirical Finance, 2003, 10, (1-2), 105-132 View citations (52)
    See also Working Paper (2001)
66. 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 (34)
    See also Working Paper (2004)
67. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (101)
    See also Working Paper (2000)

2002

68. A nonlinear long memory model, with an application to US unemployment
    Journal of Econometrics, 2002, 110, (2), 135-165 View citations (71)
69. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-397 View citations (5)
70. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 View citations (495)
    See also Working Paper (2001)

2001

71. MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2001, 5, (4), 506-532 View citations (28)

1999

72. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 View citations (83)
    See also Working Paper (1996)
73. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (62)
    See also Working Paper (1996)

Chapters

2016

1. Dynamic Factor Models for the Volatility Surface☆
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 127-174