Dick van Dijk
机构: Professor of Financial Econometrics, Erasmus University Rotterdam
主页: eur.nl
每年引用次数
引用次数
引用: 14,415
H-指数: 53
I10-指数 : 119
出版物: 264
The econometric modelling of financial time series: Cambridge, Cambridge Univ. Press, 1999
Dick van Dijk
De economist 148 ( 3) 412 -413
2000
Econometric Institute Research Report EI-9922/A
AM Robert Taylor , Dick van Dijk
1999
Tinbergen Institute, Erasmus University Rotterdam
Robert-Paul Berben , Dick van Dijk
1998
Dynamic Parametric Portfolio Policies
Bram van Os , Rasmus Lönn , Dick van Dijk
Dynamic Conditional Correlations with Partial Information Pooling
Bram van Os , Dick van Dijk
Accepted papers
Anne Opschoor , Michel van der Wel , Dick van Dijk
Risk Aversion and the Forecasting Perfor-mance of Implied Expected Returns in Bull and Bear Markets
Dick van Dijk
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Anne Opschoor , Pawel Janus , André Lucas , Dick Van Dijk
Journal of Business & Economic Statistics 36 ( 4) 643 -657
30
2018
Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective
Karen Watkins , Jaap Spronk , Dick Van Dijk
International Journal of Corporate Governance 1 ( 4) 382 -399
4
2009
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
Dick Van Dijk , Birgit Strikholm , Timo Teräsvirta
Econometrics Journal 6 ( 1) 79 -98
46
2003
Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model
Peter Exterkate , Dick Van Dijk , Christiaan Heij , Patrick J. F. Groenen
Journal of Forecasting 32 ( 3) 193 -214
23
2013
Paul D. McNelis, Neural networks in finance—gaining predictive edge in the market
Dick Van Dijk
International Journal of Forecasting 22 ( 2)
2006
Testing for Smooth Transition Nonlinearity in the Presence of Outliers
Dick Van Dijk , Philip Hans Franses , André Lucas , Andre Lucas
Journal of Business & Economic Statistics 17 ( 2) 217 -235
86
1999
Forecasting stock market volatility using (non‐linear) Garch models
Philip Hans Franses , Dick Van Dijk
Journal of Forecasting 15 ( 3) 229 -235
518
1996
Testing for ARCH in the presence of additive outliers
Dick Van Dijk , Philip Hans Franses , André Lucas
Journal of Applied Econometrics 14 ( 5) 539 -562
121
1999
A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Roger Lord , Remmert Koekkoek , Dick Van Dijk
Quantitative Finance 10 ( 2) 177 -194
248
2010
Corporate Governance and Performance during the Aftermath of the 1994 Mexican Crisis
Karen Watkins , Dick Van Dijk , Jaap Spronk ,
econoquantum 2 ( 2) 39 -55
4
2006
Modeling multiple regimes in the business cycle
Dick Van Dijk , Philip Hans Franses
Macroeconomic dynamics 3 ( 3) 311 -340
273
1999
Selecting a nonlinear time series model using weighted tests of equal forecast accuracy
Dick Van Dijk , Philip Hans Franses
Oxford Bulletin of Economics and Statistics 65 727 -744
99
2003
Closed-form multi-factor copula models with observation-driven dynamic factor loadings
Anne Opschoor , André Lucas , Istvan Barra , Dick Van Dijk
Journal of Business & Economic Statistics 39 ( 4) 1066 -1079
27
2021