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Partial likelihood-based scoring rules for evaluating density forecasts in tails

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003739119

Structural differences in economic growth : an endogenous clustering approach

Basturk, Nalan; Paap, Richard; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003762631

Out-of-sample comparison of Copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003787159

Prediciting the daily covariance matrix for S&P 100 stocks using intraday data - but which frequency to use?

Pooter, Michiel de; Martens, Martin; Dijk, Dick van - 2005

Persistent link: https://www.econbiz.de/10003155816

A comparison of biased simulation schemes for stochastic volatility models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006

Persistent link: https://www.econbiz.de/10003332143

Predicting the term structure of interest rates : incorporating parameter uncertainty, model uncertainty and macroeconomic information

Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - 2007

Persistent link: https://www.econbiz.de/10003482707

An alternative Bayesian approach to structural breaks in time series models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10008857052

Modeling and estimation of synchronization in multistate Markov-switching models

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10008809882

Nonlinear forecasting with many predictors using kernel ridge regression

Exterkate, Peter; Groenen, Patrick J. F.; Heij, Christiaan - 2011

Persistent link: https://www.econbiz.de/10008809883

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...

Persistent link: https://www.econbiz.de/10011431503