Browsing All of EconStor by Author van Dijk, Dick

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Year of PublicationTitleAuthor(s)
1998 Short Patches of Outliers, ARCH and Volatility ModelingFranses, Philip Hans; van Dijk, Dick; Lucas, André
1999 SETS, Arbitrage Activity, and Stock Price DynamicsTaylor, Nick; van Dijk, Dick; Franses, Philip Hans; Lucas, André
2001 Stock Selection Strategies in Emerging Marketsvan der Hart, Jaap; Slagter, Erica; van Dijk, Dick
2004 Linear models, smooth transition autoregressions and neural networks for forecasting macroeconomic time series: A reexaminationTeräsvirta, Timo; van Dijk, Dick; Medeiros, Marcelo C.
2004 Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and NonlinearityMartens, Martin; van Dijk, Dick; de Pooter, Michiel
2004 Macroeconomic Crisis and Individual Firm Performance: The Mexican ExperienceWatkins, Karen; van Dijk, Dick; Spronk, Jaap
2005 The Euro Introduction and Non-Euro Currenciesvan Dijk, Dick; Munandar, Haris; Hafner, Christian M.
2005 Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?de Pooter, Michiel; Martens, Martin; van Dijk, Dick
2006 A Comparison of Biased Simulation Schemes for Stochastic Volatility ModelsLord, Roger; Koekkoek, Remmert; van Dijk, Dick
2007 Instability and nonlinearity in the euro area Phillips curveMusso, Alberto; Stracca, Livio; van Dijk, Dick
2007 Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Informationde Pooter, Michiel D.; Ravazzolo, Francesco; van Dijk, Dick
2008 Out-of-sample Comparison of Copula Specifications in Multivariate Density ForecastsDiks, Cees; Panchenko, Valentyn; van Dijk, Dick
2008 Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in TailsDiks, Cees; Panchenko, Valentyn; van Dijk, Dick
2008 Structural Differences in Economic GrowthBasturk, Nalan; Paap, Richard; van Dijk, Dick
2010 Getting the Most out of Macroeconomic Information for Predicting Stock Returns and VolatilityCakmakli, Cem; van Dijk, Dick
2010 Term Structure Forecasting Using Macro Factors and Forecast Combinationde Pooter, Michiel; Ravazzolo, Francesco; van Dijk, Dick
2011 Nonlinear Forecasting with Many Predictors using Kernel Ridge RegressionExterkate, Peter; Groenen, Patrick J.F.; Heij, Christiaan; van Dijk, Dick
2011 Forecasting Volatility with Copula-Based Time Series ModelsSokolinskiy, Oleg; van Dijk, Dick
2011 On the Effects of Private Information on VolatilityOpschoor, Anne; van der Wel, Michel; van Dijk, Dick; Taylor, Nick
2011 Measuring and Predicting Heterogeneous RecessionsCakmakli, Cem; Paap, Richard; van Dijk, Dick