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Details about Dick van Dijk

E-mail:
Homepage:http://people.few.eur.nl/djvandijk/
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 2016-12-05. Update your information in the RePEc Author Service.

Short-id: pva27


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Working Papers

2017

  1. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Panel Smooth Transition Regression Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (139)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (115)

2015

  1. Dynamic Factor Models for the Volatility Surface
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  3. Why do Pit-Hours outlive the Pit?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2014

  1. Forecasting business cycles
    Post-Print, HAL
  2. Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. Market Set-Up in Advance of Federal Reserve Policy Decisions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2013

  1. Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Energy Economics (2015)
  3. 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 Downloads View citations (2)
  4. Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads

    See also Journal Article in International Journal of Forecasting (2016)
  5. Predicting Covariance Matrices with Financial Conditions Indexes
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2012

  1. Forecasting Interest Rates with Shifting Endpoints
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
  2. 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 Downloads
    See also Journal Article in The North American Journal of Economics and Finance (2013)
  3. High-Frequency Technical Trading: The Importance of Speed
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  4. Measuring and Predicting Heterogeneous Recessions
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2013)
  5. On the Effects of Private Information on Volatility
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads
  6. 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 Downloads View citations (3)
  7. Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Banking & Finance (2014)

2011

  1. An Alternative Bayesian Approach to Structural Breaks in Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Bayesian Forecasting of Federal Funds Target Rate Decisions
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Macroeconomics (2013)
  3. Forecasting Volatility with Copula-Based Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
  4. Likelihood-based scoring rules for comparing density forecasts in tails
    Post-Print, HAL Downloads View citations (17)
    See also Journal Article in Journal of Econometrics (2011)
  5. Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)

2010

  1. 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 Downloads
  2. Financial Development and Convergence Clubs
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  3. 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 Downloads View citations (3)
    See also Journal Article in Journal of Forecasting (2013)
  4. Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (8)
  5. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Post-Print, HAL Downloads View citations (6)
    Also in CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) Downloads View citations (1)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads
    Discussion Papers, School of Economics, The University of New South Wales (2008) Downloads View citations (2)

    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  6. Term structure forecasting using macro factors and forecast combination
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (10)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (6)

2009

  1. Changes in International Business Cycle Affiliations
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads
    Also in The School of Economics Discussion Paper Series, Economics, The University of Manchester (2009) Downloads
  2. Cointegration in a historical perspective
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Journal of Econometrics (2010)
  3. Macroeconomic forecasting with real-time data: an empirical comparison
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  4. Structural Breaks in the International Transmission of Inflation
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads View citations (3)
  5. 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 Downloads View citations (6)
  6. When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in 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) Downloads

    See also Journal Article in Review of Finance (2013)

2008

  1. 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 Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2009)
  2. 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 Downloads View citations (1)
  3. 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 Downloads View citations (2)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
  4. Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2008) Downloads
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2008) Downloads View citations (5)
  5. 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 Downloads
  6. Structural Differences in Economic Growth
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  7. 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 Downloads

2007

  1. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Quantitative Finance (2010)
  2. 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 Downloads
  3. Do leading indicators lead peaks more than troughs?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    See also Journal Article in Journal of Business & Economic Statistics (2009)
  4. Evaluating real-time forecasts in real-time
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  5. 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. Downloads
  6. Modeling regional house prices
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    See also Journal Article in Applied Economics (2011)
  7. Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (13)
  8. 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 Downloads View citations (5)
    See also Journal Article in Journal of International Money and Finance (2009)
  9. 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 Downloads View citations (2)

2006

  1. Bayesian Model Averaging in the Presence of Structural Breaks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (14)
  2. Improved Construction of diffusion indexes for macroeconomic forecasting
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  3. Measuring volatility with the realized range
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2007)
  4. Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Econometric Reviews (2008)
  5. The Euro Introduction and Non-Euro Currencies
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2011)
  6. Time series forecasting by principal covariate regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)

2005

  1. A unified approach to nonlinearity, structural change and outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2007)
  2. Forecast comparison of principal component regression and principal covariate regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2007)
  3. Semi-Parametric Modelling of Correlation Dynamics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  4. 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 Downloads View citations (6)
    See also Journal Article in Emerging Markets Review (2005)

2004

  1. A Multi-Level Panel Smooth Transition Autoregression for US Sectoral Production
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) Downloads View citations (2)
  2. Forecasting US Inflation Using Model Averaging
    Econometric Society 2004 Australasian Meetings, Econometric Society
  3. Forecasting aggregates using panels of nonlinear time series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in International Journal of Forecasting (2005)
  4. Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexamination
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (4)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2004) View citations (2)

    See also Journal Article in International Journal of Forecasting (2005)
  5. Macroeconomic Crisis and Individual Firm Performance: The Mexican Experience
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
  6. Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (4)
  7. Testing for causality in variance in the presence of breaks
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    Also in Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2004) Downloads

    See also Journal Article in Economics Letters (2005)
  8. 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 Downloads View citations (10)
  9. 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 Downloads View citations (1)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) Downloads

    See also Journal Article in Econometrics Journal (2003)

2003

  1. Does Africa grow slower than Asia and Latin America?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Forecasting industrial production with linear, nonlinear, and structural change models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (15)
  3. Predicting Growth Cycle Regimes for European Countries
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads
  4. 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 Downloads View citations (17)
  5. Testing for Volatility Changes in US Macroeconomic Time Series
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester Downloads View citations (4)
    See also Journal Article in The Review of Economics and Statistics (2004)

2002

  1. A simple test for PPP among traded goods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
    See also Journal Article in Applied Financial Economics (2006)
  2. 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 Downloads View citations (18)
    Also in The School of Economics Discussion Paper Series, Economics, The University of Manchester (2002) Downloads View citations (16)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2002) Downloads View citations (16)
  3. Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (1)
    Also in The School of Economics Discussion Paper Series, Economics, The University of Manchester (2001) Downloads View citations (9)
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2001) Downloads View citations (7)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2001) Downloads View citations (8)

2001

  1. 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 Downloads View citations (1)
    See also Journal Article in Journal of Business & Economic Statistics (2006)
  2. Smooth Transition Autoregressive Models - A Survey of Recent Developments
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (65)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (12)

    See also Journal Article in Econometric Reviews (2002)
  3. Stock Selection Strategies in Emerging Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Empirical Finance (2003)
  4. 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 Downloads View citations (3)
    See also Journal Article in International Journal of Forecasting (2005)

2000

  1. A Multivariate STAR Analysis of the Relationship Between Money and Output
    Working Papers, East Carolina University, Department of Economics Downloads View citations (17)
    Also in Working Papers, East Carolina University, Department of Economics (1999) Downloads View citations (3)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (3)
  2. A nonlinear long memory model for US unemployment
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  3. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (10)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) Downloads View citations (14)
    CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance (2000) Downloads View citations (3)
  4. Seasonal smooth transition autoregression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (7)
  5. Time-Varying Smooth Transition Autoregressive Models
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (2003)

1999

  1. Outlier detection in the GARCH (1,1) model
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  2. SETS, Arbitrage Activity, and Stock Price Dynamics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  3. 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)
  4. Unit root tests and assymmetric adjustment
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1998

  1. 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 Downloads View citations (36)
  2. Forecasting volatility with switching persistence GARCH models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
  3. Modeling asymmetric volatility in weekly Dutch temperature data
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  4. Nonlinearities and outliers: robust specification of STAR models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  5. Short Patches of Outliers, ARCH and Volatility Modeling
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    See also Journal Article in Applied Financial Economics (2004)

1997

  1. Do We Often Find ARCH Because Of Neglected Outliers?
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. Modelling Multiple Regimes in the Business Cycle
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  3. Nonlinear Error-Correction Models for Interest Rates in The Netherlands
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (4)
  4. 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 Downloads

1996

  1. Testing for ARCH in the Presence of Additive Outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Journal of Applied Econometrics (1999)
  2. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (8)
    See also Journal Article in Journal of Business & Economic Statistics (1999)

Journal Articles

2016

  1. Getting the most out of macroeconomic information for predicting excess stock returns
    International Journal of Forecasting, 2016, 32, (3), 650-668 Downloads View citations (1)
  2. Market Set‐up in Advance of Federal Reserve Policy Rate Decisions
    Economic Journal, 2016, (592), 618-653 Downloads
  3. Nonlinear forecasting with many predictors using kernel ridge regression
    International Journal of Forecasting, 2016, 32, (3), 736-753 Downloads
    See also Working Paper (2013)

2015

  1. Forecasting day-ahead electricity prices: Utilizing hourly prices
    Energy Economics, 2015, 50, (C), 227-239 Downloads View citations (19)
    See also Working Paper (2013)

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 Downloads View citations (1)
  2. 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 Downloads View citations (16)
    See also Working Paper (2008)
  3. Order flow and volatility: An empirical investigation
    Journal of Empirical Finance, 2014, 28, (C), 185-201 Downloads View citations (3)
  4. Predicting volatility and correlations with Financial Conditions Indexes
    Journal of Empirical Finance, 2014, 29, (C), 435-447 Downloads View citations (4)
  5. Speed, algorithmic trading, and market quality around macroeconomic news announcements
    Journal of Banking & Finance, 2014, 38, (C), 89-105 Downloads View citations (12)
    See also Working Paper (2012)

2013

  1. Bayesian forecasting of federal funds target rate decisions
    Journal of Macroeconomics, 2013, 37, (C), 19-40 Downloads
    See also Working Paper (2011)
  2. 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 (11)
    See also Working Paper (2010)
  3. 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 Downloads View citations (6)
    See also Working Paper (2012)
  4. Measuring and predicting heterogeneous recessions
    Journal of Economic Dynamics and Control, 2013, 37, (11), 2195-2216 Downloads View citations (4)
    See also Working Paper (2012)
  5. Structural Breaks in the International Dynamics of Inflation
    The Review of Economics and Statistics, 2013, 95, (2), 646-659 Downloads View citations (16)
  6. When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?
    Review of Finance, 2013, 17, (3), 1099-1139 Downloads View citations (5)
    See also Working Paper (2009)

2012

  1. Structural differences in economic growth: an endogenous clustering approach
    Applied Economics, 2012, 44, (1), 119-134 Downloads View citations (3)

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), 73-92 Downloads View citations (1)
  2. Likelihood-based scoring rules for comparing density forecasts in tails
    Journal of Econometrics, 2011, 163, (2), 215-230 Downloads View citations (33)
    See also Working Paper (2011)
  3. Modelling regional house prices
    Applied Economics, 2011, 43, (17), 2097-2110 Downloads View citations (4)
    See also Working Paper (2007)
  4. Real-time macroeconomic forecasting with leading indicators: An empirical comparison
    International Journal of Forecasting, 2011, 27, (2), 466-481 Downloads View citations (10)
    Also in International Journal of Forecasting, 2011, 27, (2), 466-481 (2011) Downloads View citations (10)
  5. The euro introduction and noneuro currencies
    Applied Financial Economics, 2011, 21, (1-2), 95-116 Downloads View citations (19)
    See also Working Paper (2006)

2010

  1. A comparison of biased simulation schemes for stochastic volatility models
    Quantitative Finance, 2010, 10, (2), 177-194 Downloads View citations (43)
    See also Working Paper (2007)
  2. Cointegration in a historical perspective
    Journal of Econometrics, 2010, 158, (1), 156-159 Downloads View citations (1)
    See also Working Paper (2009)
  3. Out-of-sample comparison of copula specifications in multivariate density forecasts
    Journal of Economic Dynamics and Control, 2010, 34, (9), 1596-1609 Downloads View citations (15)
    See also Working Paper (2010)
  4. Twenty years of cointegration
    Journal of Econometrics, 2010, 158, (1), 1-2 Downloads

2009

  1. Contagion as a domino effect in global stock markets
    Journal of Banking & Finance, 2009, 33, (11), 1996-2012 Downloads View citations (54)
    See also Working Paper (2008)
  2. Crisis macroeconómica y desempeño de la empresa individual. La experiencia mexicana
    El Trimestre Económico, 2009, LXXVI (4), (304), 991-1026 Downloads
  3. Do Leading Indicators Lead Peaks More Than Troughs?
    Journal of Business & Economic Statistics, 2009, 27, (4), 528-543 Downloads View citations (16)
    See also Working Paper (2007)
  4. 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 Downloads View citations (62)
  5. Forecasting returns and risk in financial markets using linear and nonlinear models
    International Journal of Forecasting, 2009, 25, (2), 215-217 Downloads
  6. Instability and Nonlinearity in the Euro-Area Phillips Curve
    International Journal of Central Banking, 2009, 5, (2), 181-212 Downloads View citations (26)
  7. Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-*
    Journal of Financial Econometrics, 2009, 7, (4), 341-372 Downloads View citations (5)
  8. The economic value of fundamental and technical information in emerging currency markets
    Journal of International Money and Finance, 2009, 28, (4), 581-604 Downloads View citations (24)
    See also Working Paper (2007)

2008

  1. Macroeconomic forecasting with matched principal components
    International Journal of Forecasting, 2008, 24, (1), 87-100 Downloads View citations (6)
  2. 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 Downloads View citations (30)
    See also Working Paper (2006)

2007

  1. A unified approach to nonlinearity, structural change, and outliers
    Journal of Econometrics, 2007, 137, (1), 112-133 Downloads View citations (53)
    See also Working Paper (2005)
  2. Absorption of shocks in nonlinear autoregressive models
    Computational Statistics & Data Analysis, 2007, 51, (9), 4206-4226 Downloads View citations (15)
  3. Forecast comparison of principal component regression and principal covariate regression
    Computational Statistics & Data Analysis, 2007, 51, (7), 3612-3625 Downloads View citations (9)
    See also Working Paper (2005)
  4. Measuring volatility with the realized range
    Journal of Econometrics, 2007, 138, (1), 181-207 Downloads View citations (96)
    See also Working Paper (2006)

2006

  1. A simple test for PPP among traded goods
    Applied Financial Economics, 2006, 16, (1-2), 19-27 Downloads View citations (1)
    See also Working Paper (2002)
  2. Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
    Journal of Business & Economic Statistics, 2006, 24, 24-42 Downloads View citations (44)
    See also Working Paper (2001)
  3. Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis
    EconoQuantum, Revista de Economia y Negocios, 2006, 2, (2), 35-48 Downloads
  4. 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 Downloads
  5. Sample size, lag order and critical values of seasonal unit root tests
    Computational Statistics & Data Analysis, 2006, 50, (10), 2734-2751 Downloads View citations (10)

2005

  1. A multi-level panel STAR model for US manufacturing sectors
    Journal of Applied Econometrics, 2005, 20, (6), 811-827 Downloads View citations (32)
  2. 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 Downloads View citations (42)
  3. Forecasting aggregates using panels of nonlinear time series
    International Journal of Forecasting, 2005, 21, (4), 785-794 Downloads View citations (8)
    See also Working Paper (2004)
  4. 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 Downloads View citations (55)
    See also Working Paper (2004)
  5. On the dynamics of business cycle analysis: editors' introduction
    Journal of Applied Econometrics, 2005, 20, (2), 147-150 Downloads View citations (6)
  6. Reply
    International Journal of Forecasting, 2005, 21, (4), 781-783 Downloads
  7. Testing for causality in variance in the presence of breaks
    Economics Letters, 2005, 89, (2), 193-199 Downloads View citations (25)
    See also Working Paper (2004)
  8. The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
    International Journal of Forecasting, 2005, 21, (1), 87-102 Downloads View citations (23)
    See also Working Paper (2001)
  9. The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
    Emerging Markets Review, 2005, 6, (3), 238-262 Downloads View citations (5)
    See also Working Paper (2005)

2004

  1. Short patches of outliers, ARCH and volatility modelling
    Applied Financial Economics, 2004, 14, (4), 221-231 Downloads View citations (10)
    See also Working Paper (1998)
  2. Testing for Volatility Changes in U.S. Macroeconomic Time Series
    The Review of Economics and Statistics, 2004, 86, (3), 833-839 Downloads View citations (98)
    See also Working Paper (2003)

2003

  1. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 Downloads View citations (20)
  2. Stock selection strategies in emerging markets
    Journal of Empirical Finance, 2003, 10, (1-2), 105-132 Downloads View citations (31)
    See also Working Paper (2001)
  3. 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 Downloads View citations (24)
    See also Working Paper (2004)
  4. Time-Varying Smooth Transition Autoregressive Models
    Journal of Business & Economic Statistics, 2003, 21, (1), 104-21 View citations (74)
    See also Working Paper (2000)

2002

  1. A nonlinear long memory model, with an application to US unemployment
    Journal of Econometrics, 2002, 110, (2), 135-165 Downloads View citations (45)
  2. Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 381-97 Downloads View citations (4)
  3. SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
    Econometric Reviews, 2002, 21, (1), 1-47 Downloads View citations (365)
    See also Working Paper (2001)

2001

  1. MULTIVARIATE STAR ANALYSIS OF MONEY OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2001, 5, (04), 506-532 Downloads View citations (25)

1999

  1. Testing for ARCH in the Presence of Additive Outliers
    Journal of Applied Econometrics, 1999, 14, (5), 539-62 Downloads View citations (62)
    See also Working Paper (1996)
  2. Testing for Smooth Transition Nonlinearity in the Presence of Outliers
    Journal of Business & Economic Statistics, 1999, 17, (2), 217-35 View citations (41)
    See also Working Paper (1996)

Chapters

 
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