Dick van Dijk
Dick van Dijk
Professor of Financial Econometrics, Erasmus University Rotterdam
Verified email at ese.eur.nl - Homepage
Cited by
Cited by
Non-linear time series models in empirical finance
PH Franses, D Van Dijk
Cambridge university press, 2000
Smooth transition autoregressive models—a survey of recent developments
D Dijk, T Teräsvirta, PH Franses
Econometric reviews 21 (1), 1-47, 2002
Panel smooth transition regression models
A Gonzalez, T Teräsvirta, D Van Dijk, Y Yang
Forecasting stock market volatility using (non‐linear) Garch models
PH Franses, D Van Dijk
Journal of Forecasting 15 (3), 229-235, 1996
Measuring volatility with the realized range
M Martens, D Van Dijk
Journal of Econometrics 138 (1), 181-207, 2007
Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination
T Teräsvirta, D Van Dijk, MC Medeiros
International Journal of Forecasting 21 (4), 755-774, 2005
Testing for volatility changes in US macroeconomic time series
M Sensier, D Dijk
Review of Economics and Statistics 86 (3), 833-839, 2004
A comparison of biased simulation schemes for stochastic volatility models
R Lord, R Koekkoek, DV Dijk
Quantitative Finance 10 (2), 177-194, 2010
Modeling multiple regimes in the business cycle
D Van Dijk, PH Franses
Macroeconomic dynamics 3 (3), 311-340, 1999
Time-varying smooth transition autoregressive models
S Lundbergh, T Teräsvirta, D Van Dijk
Journal of Business & Economic Statistics 21 (1), 104-121, 2003
Contagion as a domino effect in global stock markets
T Markwat, E Kole, D Van Dijk
Journal of Banking & Finance 33 (11), 1996-2012, 2009
Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
H Chuliá, M Martens, D van Dijk
Journal of Banking & Finance 34 (4), 834-839, 2010
Stock selection strategies in emerging markets
J Van der Hart, E Slagter, D Van Dijk
Journal of Empirical Finance 10 (1-2), 105-132, 2003
A multi‐level panel STAR model for US manufacturing sectors
D Fok, D Van Dijk, PH Franses
Journal of Applied Econometrics 20 (6), 811-827, 2005
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
M Martens, D Van Dijk, M De Pooter
International Journal of forecasting 25 (2), 282-303, 2009
Testing for ARCH in the presence of additive outliers
D Van Dijk, PH Franses, A Lucas
Journal of Applied Econometrics 14 (5), 539-562, 1999
Predicting the daily covariance matrix for s&p 100 stocks using intraday data—but which frequency to use?
M Pooter, M Martens, D Dijk
Econometric Reviews 27 (1-3), 199-229, 2008
Testing for smooth transition nonlinearity in the presence of outliers
DV Dijk, PH Franses, A Lucas
Journal of Business & Economic Statistics 17 (2), 217-235, 1999
A multivariate STAR analysis of the relationship between money and output
P Rothman, DJC Dijk, PHBF Franses
Econometric Institute, 1999
A nonlinear long memory model, with an application to US unemployment
D Van Dijk, PH Franses, R Paap
Journal of Econometrics 110 (2), 135-165, 2002
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