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Dick J.C. van Dijk · Study
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Author
Dick J.C. van Dijk
66 works
· latest 2020
· 4 institutions
cluster: provisional
ORCID 0000-0002-1880-204X
Works
60 shown
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Journal of Business and Economic Statistics
·
2020
·
4 authors
·
Open access
37
citations
Combining density forecasts using focused scoring rules
EUR Research Repository (Erasmus University Rotterdam)
·
2017
·
3 authors
·
Open access
40
citations
Intraday price discovery in fragmented markets
EUR Research Repository (Erasmus University Rotterdam)
·
2017
·
3 authors
·
Open access
35
citations
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Journal of Business and Economic Statistics
·
2016
·
3 authors
·
Open access
83
citations
meSch: Internet of Things and Cultural Heritage
LEO (Conservatorio di Musica Francesco Cilea)
·
2016
·
10 authors
·
Open access
11
citations
The Loupe: Tangible Augmented Reality For Learning To Look At Ancient Greek Art
Mediterranean Archaeology & Archaeometry. International Journal/Mediterranean archaeology and archaeometry. International scientific journal
·
2016
·
5 authors
·
Open access
74
citations
Nonlinear forecasting with many predictors using kernel ridge regression
International Journal of Forecasting
·
2016
·
4 authors
·
Open access
144
citations
How to Identify and Forecast Bull and Bear Markets?
Journal of Applied Econometrics
·
2016
·
2 authors
·
Open access
59
citations
Getting the most out of macroeconomic information for predicting excess stock returns
International Journal of Forecasting
·
2016
·
2 authors
·
Open access
43
citations
Recipes for tangible and embodied visit experiences
SHURA (Sheffield Hallam University Research Archive) (Sheffield Hallam University)
·
2015
·
10 authors
·
other
21
citations
Connect: Design for an Empathic Society
·
2014
·
5 authors
·
book
23
citations
Time series models for business and economic forecasting
EUR Research Repository (Erasmus University Rotterdam)
·
2014
·
3 authors
·
book
62
citations
meSch – Material Encounters with Digital Cultural Heritage
Lecture notes in computer science
·
2014
·
5 authors
·
other
27
citations
Forecasting interest rates with shifting endpoints
Journal of Applied Econometrics
·
2013
·
4 authors
58
citations
Integrating material and digital
interactions
·
2013
·
6 authors
·
Open access
175
citations
Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation*
Oxford Bulletin of Economics and Statistics
·
2013
·
4 authors
26
citations
Structural Breaks in the International Dynamics of Inflation
The Review of Economics and Statistics
·
2012
·
4 authors
·
Open access
38
citations
Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements
EUR Research Repository (Erasmus University Rotterdam)
·
2012
·
3 authors
115
citations
Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements
Journal of Banking & Finance
·
2012
·
3 authors
·
Open access
42
citations
Corporate Governance and the Value of Excess Cash Holdings of Large European Firms
European Financial Management
·
2011
·
3 authors
57
citations
Likelihood-based scoring rules for comparing density forecasts in tails
Journal of Econometrics
·
2011
·
3 authors
·
Open access
149
citations
Out-of-sample comparison of copula specifications in multivariate density forecasts
Journal of Economic Dynamics and Control
·
2010
·
3 authors
·
Open access
69
citations
Do Leading Indicators Lead Peaks More Than Troughs?
Journal of Business and Economic Statistics
·
2009
·
3 authors
·
Open access
26
citations
Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
Journal of Banking & Finance
·
2009
·
3 authors
167
citations
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range
Journal of Financial Econometrics
·
2009
·
3 authors
40
citations
Contagion as a domino effect in global stock markets
Journal of Banking & Finance
·
2009
·
3 authors
·
Open access
204
citations
A comparison of biased simulation schemes for stochastic volatility models
Quantitative Finance
·
2009
·
3 authors
·
Open access
316
citations
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
International Journal of Forecasting
·
2009
·
3 authors
151
citations
The economic value of fundamental and technical information in emerging currency markets
Journal of International Money and Finance
·
2009
·
4 authors
78
citations
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Econometric Reviews
·
2008
·
3 authors
·
Open access
139
citations
Instability and Nonlinearity in the Euro Area Phillips Curve
SSRN Electronic Journal
·
2007
·
3 authors
·
preprint
·
Open access
84
citations
Measuring volatility with the realized range
Journal of Econometrics
·
2006
·
2 authors
·
Open access
326
citations
Absorption of shocks in nonlinear autoregressive models
Computational Statistics & Data Analysis
·
2006
·
3 authors
29
citations
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
SSRN Electronic Journal
·
2006
·
3 authors
·
preprint
·
Open access
105
citations
Semi-Parametric Modelling of Correlation Dynamics
Advances in econometrics
·
2005
·
3 authors
·
chapter
·
Open access
41
citations
Are Statistical Reporting Agencies Getting It Right? Data Rationality and Business Cycle Asymmetry
Journal of Business and Economic Statistics
·
2005
·
2 authors
92
citations
A multi‐level panel STAR model for US manufacturing sectors
Journal of Applied Econometrics
·
2005
·
3 authors
·
Open access
164
citations
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
Emerging Markets Review
·
2005
·
3 authors
45
citations
Testing for causality in variance in the presence of breaks
Economics Letters
·
2005
·
3 authors
·
Open access
68
citations
Panel Smooth Transition Regression Models
RePEc: Research Papers in Economics
·
2005
·
4 authors
·
preprint
·
Open access
404
citations
Linear models, smooth transition autoregression, and neural networks for forecasting macroeconomic time series: A re-examination
EUR Research Repository (Erasmus University Rotterdam)
·
2005
·
3 authors
275
citations
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
International Journal of Forecasting
·
2004
·
2 authors
·
Open access
85
citations
Testing for Volatility Changes in U.S. Macroeconomic Time Series
The Review of Economics and Statistics
·
2004
·
2 authors
·
Open access
256
citations
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
RePEc: Research Papers in Economics
·
2004
·
3 authors
·
preprint
45
citations
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
44
citations
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*
Oxford Bulletin of Economics and Statistics
·
2003
·
2 authors
·
Open access
84
citations
On SETAR non‐linearity and forecasting
Journal of Forecasting
·
2003
·
4 authors
·
Open access
59
citations
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
Econometrics Journal
·
2003
·
3 authors
·
Open access
70
citations
Stock selection strategies in emerging markets
Journal of Empirical Finance
·
2003
·
3 authors
170
citations
Time-Varying Smooth Transition Autoregressive Models
Journal of Business and Economic Statistics
·
2003
·
3 authors
224
citations
Changes in variability of the business cycle in the G7 countries
RePEc: Research Papers in Economics
·
2002
·
3 authors
·
preprint
55
citations
A nonlinear long memory model, with an application to US unemployment
Journal of Econometrics
·
2002
·
3 authors
135
citations
Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence?*
Oxford Bulletin of Economics and Statistics
·
2002
·
2 authors
·
Open access
21
citations
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Econometric Reviews
·
2002
·
3 authors
1,175
citations
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Econometric Reviews
·
2002
·
3 authors
·
Open access
59
citations
MULTIVARIATE STAR ANALYSIS OF MONEY–OUTPUT RELATIONSHIP
Macroeconomic Dynamics
·
2001
·
2 authors
102
citations
Short-term Volatility Versus Long-term Growth: Evidence in US Macroeconomic Time Series
RePEc: Research Papers in Economics
·
2001
·
2 authors
·
preprint
·
Open access
26
citations
SETS, arbitrage activity, and stock price dynamics
Journal of Banking & Finance
·
2000
·
4 authors
·
Open access
66
citations
Nonlinear Time Series Models in Empirical Finance
Cambridge University Press eBooks
·
2000
·
2 authors
·
book
1,111
citations
A Multivariate STAR Analysis of the Relationship Between Money and Output
RePEc: Research Papers in Economics
·
1999
·
2 authors
·
preprint
·
Open access
60
citations