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van Dijk, Dick
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ResearcherID: C-3542-2012
URL: http://www.researcherid.com/rid/C-3542-2012
ORCID: http://orcid.org/0000-0002-1880-204X
My Institutions (more details)
Primary Institution:
Sub-org/Dept: Econometrics
Role:
My URLs: http://people.few.eur.nl/djvandijk
http://scholar.google.com/citations?user=ogxQxIEAAAAJ&hl=en
http://ssrn.com/author=2278
 
 

This list contains papers that I have authored.

publication(s)  
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1.  Title: Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model
 Author(s): Exterkate, Peter; Van Dijk, Dick; Heij, Christiaan; et al.
 Source: Journal of Forecasting Volume: 32 Issue: 3 Pages: 193-214 Published: APR 2013
 Times Cited: 7
 DOI: 10.1002/for.1258
added
21-May-13
2.  Title: Optimal portfolios with minimum capital requirements
 Author(s): Santos, Andre A. P.; Nogales, Francisco J.; Ruiz, Esther; et al.
 Source: Journal of Banking & Finance Volume: 36 Issue: 7 Pages: 1928-1942 Published: JUL 2012
 Times Cited: 13
 DOI: 10.1016/j.jbankfin.2012.03.001
added
21-May-13
3.  Title: Private Equity Recommitment Strategies for Institutional Investors
 Author(s): de Zwart, Gerben; Frieser, Brian; van Dijk, Dick
 Source: Financial Analysts Journal Volume: 68 Issue: 3 Pages: 81-99 Published: MAY-JUN 2012
 Times Cited: 2
added
21-May-13
4.  Title: Structural differences in economic growth: an endogenous clustering approach
 Author(s): Basturk, Nalan; Paap, Richard; van Dijk, Dick
 Source: Applied Economics Volume: 44 Issue: 1 Pages: 119-134 Published: 2012
 Times Cited: 1
 DOI: 10.1080/00036846.2010.500274
added
21-May-13
5.  Title: Likelihood-based scoring rules for comparing density forecasts in tails
 Author(s): Diks, Cees; Panchenko, Valentyn; van Dijk, Dick
 Source: Journal of Econometrics Volume: 163 Issue: 2 Pages: 215-230 Published: AUG 2011
 Times Cited: 24
 DOI: 10.1016/j.jeconom.2011.04.001
added
31-Mar-12
6.  Title: Modelling regional house prices
 Author(s): van Dijk, Bram; Franses, Philip Hans; Paap, Richard; et al.
 Source: Applied Economics Volume: 43 Issue: 17 Pages: 2097-2110 Published: 2011
 Times Cited: 5
 DOI: 10.1080/00036840903085089
added
31-Mar-12
7.  Title: Real-time macroeconomic forecasting with leading indicators: An empirical comparison
 Author(s): Heij, Christiaan; van Dijk, Dick; Groenen, Patrick J. F.
 Source: International Journal of Forecasting Volume: 27 Issue: 2 Pages: 466-481 Published: APR-JUN 2011
 Times Cited: 3
 DOI: 10.1016/j.ijforecast.2010.04.008
added
31-Mar-12
8.  Title: A comparison of biased simulation schemes for stochastic volatility models
 Author(s): Lord, Roger; Koekkoek, Remmert; Van Dijk, Dick
 Source: Quantitative Finance Volume: 10 Issue: 2 Pages: 177-194 Published: 2010
 Times Cited: 67
 DOI: 10.1080/14697680802392496
added
31-Mar-12
9.  Title: Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
 Author(s): Chulia, Helena; Martens, Martin; van Dijk, Dick
 Source: Journal of Banking & Finance Volume: 34 Issue: 4 Pages: 834-839 Published: APR 2010
 Times Cited: 58
 DOI: 10.1016/j.jbankfin.2009.09.012
added
31-Mar-12
10.  Title: Cointegration in a historical perspective
 Author(s): Boswijk, H. Peter; Franses, Philip Hans; van Dijk, Dick
 Source: Journal of Econometrics Volume: 158 Issue: 1 Pages: 156-159 Published: SEP 2010
 Times Cited: 0
 DOI: 10.1016/j.jeconom.2010.03.025
added
31-Mar-12
publication(s)  
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