Browsing All of EconStor by Author van Dijk, Dick


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