Dick Van Dijk

Economics and Econometrics · 2002–2017

A researcher in the Science corpus: 20 papers; trusts 96 researchers and is trusted by 38 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 228 citations into it; #2,565 of 23,481 by trust here, #2,120 by citations
• Finance — 219 citations into it; #1,748 of 10,518 by trust here, #1,351 by citations
• Management Science and Operations Research — 45 citations into it
• Statistics and Probability — 23 citations into it
• Global and Planetary Change — 12 citations into it
• Electrical and Electronic Engineering — 10 citations into it; #10,404 of 16,539 by trust here, #14,827 by citations
• Accounting — 9 citations into it; #6,629 of 8,970 by trust here, #6,570 by citations
• Demography — 9 citations into it

Whom Dick Van Dijk trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. R. Giacomini
3. P. R. Hansen
4. Tim Bollerslev
5. Ole E. Barndorff-Nielsen
6. Torben G. Andersen
7. Eugene F. Fama
8. G. Duffee
9. N. Shephard
10. F. Bandi

Who trusts Dick Van Dijk overall

1. B. Hansen
2. Timo Teräsvirta
3. Felix Chan
4. Mika Meitz
5. Andrew J. Patton
6. Myung Hwan Seo
7. Markus Pelger
8. Richard T. Baillie
9. Hedibert Freitas Lopes
10. M. Arghyrou

Papers from Dick Van Dijk's perspective

Ordered by how strongly the researchers Dick Van Dijk trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. A Reality Check for Data Snooping
3. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
4. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
5. Asymptotic Inference about Predictive Ability
6. MODELING AND FORECASTING REALIZED VOLATILITY
7. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
8. Dynamic Conditional Correlation
9. A Simple Long Memory Model of Realized Volatility
10. A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Their papers

• Measuring volatility with the realized range (2006) — 339 citations
• A nonlinear long memory model, with an application to US unemployment ☆ (2002) — 122 citations
• Contagion as a domino effect in global stock markets (2009) — 208 citations
• Testing for Volatility Changes in U.S. Macroeconomic Time Series (2004) — 259 citations
• Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts (2010) — 75 citations
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? (2008) — 135 citations
• Combining density forecasts using focused scoring rules (2017) — 51 citations
• Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices (2013) — 129 citations
• Time-Varying Smooth Transition Autoregressive Models (2003) — 211 citations
• Likelihood-based scoring rules for comparing density forecasts in tails (2011) — 161 citations
• A comparison of biased simulation schemes for stochastic volatility models (2010) — 409 citations
• Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements (2009) — 157 citations
• New HEAVY Models for Fat-Tailed Realized Covariances and Returns (2017) — 88 citations
• Forecasting Interest Rates with Shifting Endpoints (2012) — 60 citations
• Instability and Nonlinearity in the Euro-Area Phillips Curve (2012) — 121 citations
• A multi‐level panel STAR model for US manufacturing sectors (2005) — 179 citations
• Semi-Parametric Modelling of Correlation Dynamics (2005) — 55 citations
• Panel Smooth Transition Regression Models (2005) — 653 citations
• Stock Selection Strategies in Emerging Markets (2003) — 190 citations
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (2002) — 1,288 citations