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Dick van Dijk

Global rank #2101 97%

Institution: Erasmus Universiteit Rotterdam

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/view/dickvandijk/

First Publication: 2002

Most Recent: 2025

RePEc ID: pva27 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 1.51 3.02 0.00 6.03
Last 10 Years 0.00 2.01 4.52 0.00 8.55
All Time 0.00 9.22 21.28 0.00 40.64

Publication Statistics

Raw Publications 44
Coauthorship-Adjusted Count 32.48

Publications (44)

Year Article Journal Tier Authors
2025 Does economic uncertainty predict real activity in real time? International Journal of Forecasting B 2
2025 Slow Expectation–Maximization Convergence in Low‐Noise Dynamic Factor Models Journal of Applied Econometrics B 2
2024 Accelerating peak dating in a dynamic factor Markov-switching model International Journal of Forecasting B 2
2023 Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics A 2
2021 Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business & Economic Statistics A 4
2018 New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business & Economic Statistics A 4
2016 Getting the most out of macroeconomic information for predicting excess stock returns International Journal of Forecasting B 2
2016 Nonlinear forecasting with many predictors using kernel ridge regression International Journal of Forecasting B 4
2015 Forecasting day-ahead electricity prices: Utilizing hourly prices Energy Economics A 3
2014 Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation Oxford Bulletin of Economics and Statistics B 4
2014 Comparing the accuracy of multivariate density forecasts in selected regions of the copula support Journal of Economic Dynamics and Control B 4
2014 Speed, algorithmic trading, and market quality around macroeconomic news announcements Journal of Banking & Finance B 3
2013 Structural Breaks in the International Dynamics of Inflation Review of Economics and Statistics A 4
2013 Measuring and predicting heterogeneous recessions Journal of Economic Dynamics and Control B 3
2013 When Do Managers Seek Private Equity Backing in Public-to-Private Transactions? Review of Finance B 4
2012 Structural differences in economic growth: an endogenous clustering approach Applied Economics C 3
2011 Likelihood-based scoring rules for comparing density forecasts in tails Journal of Econometrics A 3
2011 Modelling regional house prices Applied Economics C 4
2011 Real-time macroeconomic forecasting with leading indicators: An empirical comparison International Journal of Forecasting B 3
2011 Real-time macroeconomic forecasting with leading indicators: An empirical comparison International Journal of Forecasting B 3
2010 Cointegration in a historical perspective Journal of Econometrics A 3
2010 Twenty years of cointegration Journal of Econometrics A 3
2010 Out-of-sample comparison of copula specifications in multivariate density forecasts Journal of Economic Dynamics and Control B 3
2009 Forecasting returns and risk in financial markets using linear and nonlinear models International Journal of Forecasting B 3
2009 Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements International Journal of Forecasting B 3
2009 Contagion as a domino effect in global stock markets Journal of Banking & Finance B 3
2009 Instability and Nonlinearity in the Euro-Area Phillips Curve International Journal of Central Banking B 3
2009 The economic value of fundamental and technical information in emerging currency markets Journal of International Money and Finance B 4
2008 Macroeconomic forecasting with matched principal components International Journal of Forecasting B 3
2007 A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics A 3
2007 Measuring volatility with the realized range Journal of Econometrics A 2
2006 Paul D. McNelis, Neural networks in finance--gaining predictive edge in the market, Elsevier Academic Press (2005) ISBN 0-12-485967-4 hardcover, 243 pages. International Journal of Forecasting B 1
2005 Forecasting aggregates using panels of nonlinear time series International Journal of Forecasting B 3
2005 Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method Journal of Development Economics A 3
2005 The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production International Journal of Forecasting B 2
2005 On the dynamics of business cycle analysis: editors' introduction Journal of Applied Econometrics B 3
2005 Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination International Journal of Forecasting B 3
2005 Reply International Journal of Forecasting B 3
2005 Testing for causality in variance in the presence of breaks Economics Letters C 3
2004 Testing for Volatility Changes in U.S. Macroeconomic Time Series Review of Economics and Statistics A 2
2003 Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy* Oxford Bulletin of Economics and Statistics B 2
2002 A nonlinear long memory model, with an application to US unemployment Journal of Econometrics A 3
2002 Can Tests for Stochastic Unit Roots Provide Useful Portmanteau Tests for Persistence? Oxford Bulletin of Economics and Statistics B 2
2002 repec:bla:obuest:v:64:y:2002:i:4:p:381-97 Oxford Bulletin of Economics and Statistics B 2