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Browsing All of EconStor by Author van Dijk, Dick
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Showing results 21 to 40 of 43
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Year of Publication
Title
Author(s)
2011
Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression
Exterkate, Peter
;
Groenen, Patrick J.F.
;
Heij, Christiaan
;
van Dijk, Dick
2012
Measuring and Predicting Heterogeneous Recessions
Çakmaklı, Cem
;
Paap, Richard
;
van Dijk, Dick
2012
High-Frequency Technical Trading: The Importance of Speed
Scholtus, Martin
;
van Dijk, Dick
2012
Forecasting Interest Rates with Shifting Endpoints
van Dijk, Dick
;
Koopman, Siem Jan
;
van der Wel, Michel
;
Wright, Jonathan H.
2012
Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements
Scholtus, Martin L.
;
van Dijk, Dick
;
Frijns, Bart
2013
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
Raviv, Eran
;
Bouwman, Kees E.
;
van Dijk, Dick
2013
Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees
;
Panchenko, Valentyn
;
Sokolinskiy, Oleg
;
van Dijk, Dick
2013
Predicting Covariance Matrices with Financial Conditions Indexes
Opschoor, Anne
;
van Dijk, Dick
;
van der Wel, Michel
2014
Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Opschoor, Anne
;
van Dijk, Dick
;
van der Wel, Michel
2014
Intraday Price Discovery in Fragmented Markets
Ozturk, Sait
;
van der Wel, Michel
;
van Dijk, Dick
2015
Why do Pit-Hours outlive the Pit?
Ozturk, Sait R.
;
van der Wel, Michel
;
van Dijk, Dick
2015
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
van Dijk, Dick
2019
Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings
Opschoor, Anne
;
Lucas, André
;
Barra, Istvan
;
van Dijk, Dick
2019
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Barendse, Sander
;
Kole, Erik
;
van Dijk, Dick
2020
Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model
van Os, Bram
;
van Dijk, Dick
2021
Heterogeneity in Manufacturing Growth Risk
Opschoor, Daan
;
van Dijk, Dick
;
Franses, Philip Hans
2021
Pooling Dynamic Conditional Correlation models
van Os, Bram
;
van Dijk, Dick
2021
Moments, shocks and spillovers in Markov switching VAR models
van Dijk, Dick
;
Kole, Erik
2022
Robust Observation-Driven Models Using Proximal-Parameter Updates
Lange, Rutger-Jan
;
van Os, Bram
;
van Dijk, Dick
2022
Does economic uncertainty predict real activity in real-time?
Keijsers, Bart
;
van Dijk, Dick