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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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A unified approach to nonlinearity, structural change, and outliers
Giordani, Paolo; Kohn, Robert; Dijk, Dick van - In: Journal of econometrics 137 (2007) 1, pp. 112-133
Persistent link: https://www.econbiz.de/10003425516
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Macroeconomic forecasting with matched principal components
Heij, Christiaan; Dijk, Dick van; Groenen, Patrick J. F. - In: International journal of forecasting 24 (2008) 1, pp. 87-100
Persistent link: https://www.econbiz.de/10003661236
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Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination
Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 755-774
Persistent link: https://www.econbiz.de/10003150707
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Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination
Novales, Alfonso - In: International journal of forecasting 21 (2005) 4, pp. 775-780
Persistent link: https://www.econbiz.de/10003150708
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Reply: [Comments on "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination]
Teräsvirta, Timo; Dijk, Dick van; Medeiros, Marcelo C. - In: International journal of forecasting 21 (2005) 4, pp. 781-783
Persistent link: https://www.econbiz.de/10003150710
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A nonlinear long memory model, with an application to US unemployment
Dijk, Dick van; Franses, Philip Hans; Paap, Richard - In: Journal of econometrics 110 (2002) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10001703505
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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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Accelerating peak dating in a dynamic factor Markov-switching model
Os, Bram van; Dijk, Dick van - In: International journal of forecasting 40 (2024) 1, pp. 313-323
Persistent link: https://www.econbiz.de/10014450273