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
Order flow and volatility: An empirical investigation
Anne Opschoor , Nick Taylor , Michel van der Wel , Dick van Dijk
Journal of Empirical Finance 28 185 -201
11
2014
Predicting volatility and correlations with Financial Conditions Indexes
Anne Opschoor , Dick van Dijk , Michel van der Wel
Journal of Empirical Finance 29 435 -447
15
2014
Semi-Parametric Modelling of Correlation Dynamics
Christian M. Hafner , Dick van Dijk , Philip Hans Franses
Report / Econometric Institute, Erasmus University Rotterdam
36
2006
Testing for Volatility Changes in U.S. Macroeconomic Time Series
Marianne Sensier , Dick van Dijk
The Review of Economics and Statistics 86 ( 3) 833 -839
239
2004
Stock selection strategies in emerging markets
Jaap van der Hart , Erica Slagter , Dick van Dijk
Journal of Empirical Finance 10 ( 1-2) 105 -132
149
2003
On SETAR non- linearity and forecasting
Michael P. Clements , Philip Hans Franses , Jeremy Smith , Dick van Dijk
Journal of Forecasting 22 ( 5) 359 -375
59
2003
The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?
Jaap van der Hart , Gerben de Zwart , Dick van Dijk ,
Emerging Markets Review 6 ( 3) 238 -262
42
2005
Forecasting returns and risk in financial markets using linear and nonlinear models
Michael P. Clements , Costas Milas , Dick van Dijk
International Journal of Forecasting 25 ( 2) 215 -217
5
2009
Macroeconomic forecasting with matched principal components
Christiaan Heij , Dick van Dijk , Patrick JF Groenen ,
International Journal of Forecasting 24 ( 1) 87 -100
15
2008
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martin Martens , Dick van Dijk , Michiel de Pooter
International Journal of Forecasting 25 ( 2) 282 -303
141
2009
The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production
Philip Hans Franses , Dick van Dijk
International Journal of Forecasting 21 ( 1) 87 -102
65
2005
Forecasting aggregates using panels of nonlinear time series
Dennis Fok , Dick van Dijk , Philip Hans Franses
International Journal of Forecasting 21 ( 4) 785 -794
21
2005
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
Timo Teräsvirta , Dick van Dijk , Marcelo C. Medeiros
International Journal of Forecasting 21 ( 4) 755 -774
205
2005
Structural differences in economic growth: an endogenous clustering approach
Nalan Baştürk , Richard Paap , Dick van Dijk
Applied Economics 44 ( 1) 119 -134
7
2012
Modelling regional house prices
Bram van Dijk , Philip Hans Franses , Richard Paap , Dick van Dijk
Applied Economics 43 ( 17) 2097 -2110
26
2011
Modeling asymmetric volatility in weekly Dutch temperature data
Philip Hans Franses , Jack Neele , Dick van Dijk
Environmental Modelling and Software 16 ( 2) 131 -137
18
2001
Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method
Richard Paap , Philip Hans Franses , Dick van Dijk
Journal of Development Economics 77 ( 2) 553 -570
74
2005
Out-of-sample comparison of copula specifications in multivariate density forecasts
Cees Diks , Valentyn Panchenko , Dick van Dijk
Journal of Economic Dynamics and Control 34 ( 9) 1596 -1609
50
2010
Measuring and predicting heterogeneous recessions
Cem Çakmaklı , Richard Paap , Dick van Dijk
Journal of Economic Dynamics and Control 37 ( 11) 2195 -2216
9
2013
Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
Cees Diks , Valentyn Panchenko , Oleg Sokolinskiy , Dick van Dijk
Journal of Economic Dynamics and Control 48 79 -94
15
2014