Concepedia

Dick van Dijk

DV

116

Publications

8.6K

Citations

48

H-Index

1996

Active since

Affiliations

Erasmus University Rotterdam(Current)

Tinbergen Institute

Environmental Research Institute of Michigan

Stockholm School of Economics

University of Amsterdam

Dick van Dijk is an author at Erasmus University Rotterdam specializing in business, economics, and finance.

Top concepts

BusinessFinanceEconomicsEconometricsStatisticsEngineeringForecastingMacroeconomicsAsset PricingFinancial Economics

Publications per year

1996–2023

116

Publications

116

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

Dick van Dijk, Timo Teräsvirta, Philip Hans Franses · Econometric Reviews · 2002 · 1.2K citations

Forecasting Methodology, Engineering, Star Nonlinearity +17

Forecasting stock market volatility using (non-linear) Garch models

Philip Hans Franses, Dick van Dijk · Journal of Forecasting · 1996 · 390 citations

Volatility Modeling, Economic Forecasting, Asset Pricing +11

Panel Smooth Transition Regression Models

Andrés González, Timo Teräsvirta, Dick van Dijk et al. · Econstor (Econstor) · 2005 · 354 citations · Full text

Measuring volatility with the realized range

Martin Martens, Dick van Dijk · Journal of Econometrics · 2006 · 320 citations

Volatility Modeling, Engineering, Measurement +3

A comparison of biased simulation schemes for stochastic volatility models

Roger Lord, Remmert Koekkoek, Dick van Dijk · Quantitative Finance · 2009 · 320 citations · Full text

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