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Herman K. van Dijk

Global rank #1347 98%

Institution: Unknown

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://personal.eur.nl/hkvandijk/

First Publication: 1978

Most Recent: 2024

RePEc ID: pva325 ↗

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 1.17 0.00 0.00 2.60
Last 10 Years 0.00 2.75 0.50 0.00 6.25
All Time 0.00 20.18 12.07 0.00 52.67

Publication Statistics

Raw Publications 42
Coauthorship-Adjusted Count 32.88

Publications (42)

Year Article Journal Tier Authors
2024 Bayesian mode inference for discrete distributions in economics and finance Economics Letters C 4
2023 Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil Journal of Business & Economic Statistics A 3
2023 A flexible predictive density combination for large financial data sets in regular and crisis periods Journal of Econometrics A 4
2020 Partially censored posterior for robust and efficient risk evaluation Journal of Econometrics A 4
2019 Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics A 5
2018 Combined Density Nowcasting in an Uncertain Economic Environment Journal of Business & Economic Statistics A 3
2016 Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model Journal of Applied Econometrics B 4
2014 POSTERIOR‐PREDICTIVE EVIDENCE ON US INFLATION USING EXTENDED NEW KEYNESIAN PHILLIPS CURVE MODELS WITH NON‐FILTERED DATA Journal of Applied Econometrics B 4
2014 INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS Journal of Applied Econometrics B 3
2013 Time-varying combinations of predictive densities using nonlinear filtering Journal of Econometrics A 4
2013 EVIDENCE ON FEATURES OF A DSGE BUSINESS CYCLE MODEL FROM BAYESIAN MODEL AVERAGING International Economic Review B 2
2012 A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation Journal of Econometrics A 3
2012 Comment Journal of Business & Economic Statistics A 3
2011 Comment Journal of Business & Economic Statistics A 3
2010 Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling International Journal of Forecasting B 2
2007 Endogeneity, instruments and identification Journal of Econometrics A 3
2007 Progress and challenges in econometrics Journal of Econometrics A 2
2007 Trends and cycles in economic time series: A Bayesian approach Journal of Econometrics A 3
2007 Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics A 3
2007 On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks Journal of Econometrics A 3
2006 Bayes model averaging of cyclical decompositions in economic time series Journal of Applied Econometrics B 2
2005 On the dynamics of business cycle analysis: editors' introduction Journal of Applied Econometrics B 3
2004 Recent advances in Bayesian econometrics Journal of Econometrics A 3
2004 Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods Journal of Econometrics A 4
2003 Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics Oxford Bulletin of Economics and Statistics B 3
2003 Bayesian Model Selection with an Uninformative Prior* Oxford Bulletin of Economics and Statistics B 2
2002 Combined forecasts from linear and nonlinear time series models International Journal of Forecasting B 2
1998 BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES Econometric Theory B 2
1998 Distribution and mobility of wealth of nations European Economic Review B 2
1996 Editor's introduction Journal of Econometrics A 3
1995 Classical and Bayesian aspects of robust unit root inference Journal of Econometrics A 3
1994 On the Shape of the Likelihood/Posterior in Cointegration Models Econometric Theory B 2
1994 Direct cointegration testing in error correction models Journal of Econometrics A 2
1994 Bayes Methods and Unit Roots Econometric Theory B 2
1992 International conference on econometric inference using simulation techniques Journal of Econometrics A 1
1991 A Bayesian analysis of the unit root in real exchange rates Journal of Econometrics A 2
1988 Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods Journal of Econometrics A 3
1985 Posterior moments computed by mixed integration Journal of Econometrics A 3
1985 Likelihood diagnostics and Bayesian analysis of a micro-economic disequilibrium model for retail services Journal of Econometrics A 3
1985 Editor's introduction Journal of Econometrics A 1
1980 Further experience in Bayesian analysis using Monte Carlo integration Journal of Econometrics A 2
1978 Efficient estimation of income distribution parameters Journal of Econometrics A 2