Dick van Dijk

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics	2024-10-23	Paper
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics	2024-10-11	Paper
Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics	2023-09-28	Paper
Measuring and predicting heterogeneous recessions Journal of Economic Dynamics and Control	2018-11-01	Paper
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model Journal of Forecasting	2018-10-11	Paper
Cointegration in a historical perspective Journal of Econometrics	2016-08-04	Paper
Measuring volatility with the realized range Journal of Econometrics	2016-05-04	Paper
A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics	2016-05-02	Paper
Testing for causality in variance in the presence of breaks Economics Letters	2013-01-03	Paper
Semi-parametric modelling of correlation dynamics Advances in Econometrics	2010-06-30	Paper
A comparison of biased simulation schemes for stochastic volatility models Quantitative Finance	2010-03-12	Paper
Absorption of shocks in nonlinear autoregressive models Computational Statistics and Data Analysis	2009-05-29	Paper
Forecast comparison of principal component regression and principal covariate regression Computational Statistics and Data Analysis	2009-05-29	Paper
Sample size, lag order and critical values of seasonal unit root tests Computational Statistics and Data Analysis	2008-12-11	Paper
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? Econometric Reviews	2008-11-19	Paper
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS Econometric Reviews	2004-09-21	Paper
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series Econometrics Journal	2004-02-25	Paper
scientific article; zbMATH DE number 1944302 (Why is no real title available?)	2003-07-01	Paper
A nonlinear long memory model, with an application to US unemployment. Journal of Econometrics	2003-02-17	Paper
Multivariate star analysis of money-output relationship Macroeconomic Dynamics	2002-07-02	Paper
Modeling Multiple Regimes in the Business Cycle Macroeconomic Dynamics	1999-01-01	Paper

Research outcomes over time

This page was built for person: Dick van Dijk