Dick van Dijk

Available identifiers

zbMath Open van-dijk.dickMaRDI QIDQ277163

List of research outcomes

Publication	Date of Publication	Type
New HEAVY Models for Fat-Tailed Realized Covariances and Returns	2024-10-23	Paper
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings	2024-10-11	Paper
Moments, shocks and spillovers in Markov-switching VAR models	2023-09-28	Paper
Measuring and predicting heterogeneous recessions	2018-11-01	Paper
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model	2018-10-11	Paper
Cointegration in a historical perspective	2016-08-04	Paper
Measuring volatility with the realized range	2016-05-04	Paper
A unified approach to nonlinearity, structural change, and outliers	2016-05-02	Paper
Testing for causality in variance in the presence of breaks	2013-01-03	Paper
Semi-parametric modelling of correlation dynamics	2010-06-30	Paper
A comparison of biased simulation schemes for stochastic volatility models	2010-03-12	Paper
Absorption of shocks in nonlinear autoregressive models	2009-05-29	Paper
Forecast comparison of principal component regression and principal covariate regression	2009-05-29	Paper
Sample size, lag order and critical values of seasonal unit root tests	2008-12-11	Paper
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?	2008-11-19	Paper
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS	2004-09-21	Paper
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series	2004-02-25	Paper
https://portal.mardi4nfdi.de/entity/Q4407595	2003-07-01	Paper
A nonlinear long memory model, with an application to US unemployment.	2003-02-17	Paper
Multivariate star analysis of money-output relationship	2002-07-02	Paper
Modeling Multiple Regimes in the Business Cycle	1999-01-01	Paper

Research outcomes over time

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