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~person:"Dijk, D.J.C. van"
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nonlinearity
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Dijk, D.J.C. van
Franses, Philip Hans
566
Franses, Ph.H.B.F.
201
Franses, P.H.
96
Paap, Richard
62
Dijk, Dick van
51
Paap, R.
39
Legerstee, Rianne
30
Fok, Dennis
27
Fok, D.
25
McAleer, Michael
25
Boswijk, Herman Peter
21
Chang, Chia-Lin
15
Legerstee, R.
14
Lucas, André
14
Boswijk, H.P.
13
Bruijn, Bert de
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Kunst, Robert M.
13
Ooms, Marius
13
Groot, Bert de
12
Oest, Rutger van
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Hobijn, Bart
10
Donkers, Bas
9
Knapp, Sabine
9
Donkers, A.C.D.
8
Groot, E.A.de
8
Kippers, Jeanine
8
Kunst, R.M.
8
Diepen, Merel van
7
Haldrup, Niels
7
Janssens, Eva
7
Lucas, A.
7
Ooms, M.
7
Weverbergh, Marcel
7
Bodeutsch, Denice
6
Eisinga, R.
6
Franses, P.H.B.F.
6
Gresnigt, Francine
6
Groot, E.A. de
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Knapp, S.
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Erasmus University Rotterdam, Econometric Institute
26
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Econometric Institute Report
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RePEc
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1
Cointegration in a historical perspective
Franses, Ph.H.B.F.
;
Dijk, D.J.C. van
-
Erasmus University Rotterdam, Econometric Institute
-
2009
), Modeling the diffusion of scientific publications, Journal of Econometrics 139, 376-390.
Franses
,
P.H
. (2003), The …
Persistent link: https://www.econbiz.de/10005051717
Saved in:
2
Modeling regional house prices
Dijk, A. van
;
Franses, Ph.H.B.F.
;
Paap, R.
;
Dijk, D.J.C. van
-
Erasmus University Rotterdam, Econometric Institute
-
2007
-Oriented Matrix Programming using Ox, 3rd edn., Timber- lake Consultants Press, Londen.
Franses
,
P
.
H
. and R. Paap (2001 …
Persistent link: https://www.econbiz.de/10005450876
Saved in:
3
Evaluating real-time forecasts in real-time
Dijk, D.J.C. van
;
Franses, Ph.H.B.F.
;
Ravazzolo, F.
-
Erasmus University Rotterdam, Econometric Institute
-
2007
Case of GNP,” Review of Economics and Statistics, 77, 170–172. Ravazzolo, F., Paap, R., van Dijk, D. and
Franses
,
P.H
. (in …
Persistent link: https://www.econbiz.de/10005450915
Saved in:
4
Bayesian Model Averaging in the Presence of Structural Breaks
Ravazzolo, F.
;
Dijk, D.J.C. van
;
Paap, R.
;
Franses, …
-
Erasmus University Rotterdam, Econometric Institute
-
2006
This paper develops a return forecasting methodology that allows for instabil ity in the relationship between stock returns and predictor variables, for model uncertainty, and for parameter estimation uncertainty. The predictive regres sion speci¯cation that is put forward allows for...
Persistent link: https://www.econbiz.de/10005450873
Saved in:
5
Semi-Parametric Modelling of Correlation Dynamics
Hafner, C.M.
;
Dijk, D.J.C. van
;
Franses, Ph.H.B.F.
-
Erasmus University Rotterdam, Econometric Institute
-
2005
In this paper we develop a new semi-parametric model for conditional correlations, which combines parametric univariate GARCH-type specifications for the individual conditional volatilities with nonparametric kernel regression for the conditional correlations. This approach not only avoids the...
Persistent link: https://www.econbiz.de/10005450907
Saved in:
6
Forecasting aggregates using panels of nonlinear time series
Fok, D.
;
Dijk, D.J.C. van
;
Franses, Ph.H.B.F.
-
Erasmus University Rotterdam, Econometric Institute
-
2004
Applied Econometrics, forthcoming
Franses
,
P.H
. and D. van Dijk (2000), Nonlinear Time Series Models in Empirical Finance …
Persistent link: https://www.econbiz.de/10004991127
Saved in:
7
A multi-level panel smooth transition autoregression for US sectoral production
Fok, D.
;
Dijk, D.J.C. van
;
Franses, Ph.H.B.F.
-
Erasmus University Rotterdam, Econometric Institute
-
2003
We introduce a multi-level smooth transition model for a panel of time series variables, which can be used to examine the presence of common non-linear features across many such variables. The model is positioned in between a fully pooled model, which imposes such common features, and a fully...
Persistent link: https://www.econbiz.de/10008584652
Saved in:
8
Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy
Dijk, D.J.C. van
;
Franses, Ph.H.B.F.
-
Erasmus University Rotterdam, Econometric Institute
-
2003
Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in-sample, but rarely show a substantial improvement in out-of-sample...
Persistent link: https://www.econbiz.de/10008584688
Saved in:
9
Does Africa grow slower than Asia and Latin America?
Paap, R.
;
Franses, Ph.H.B.F.
;
Dijk, D.J.C. van
-
Erasmus University Rotterdam, Econometric Institute
-
2003
In this paper we address the question whether countries on the African continent have lower average growth rates in real GDP per capita than countries in Asia and Latin America. In contrast to previous studies, we do not aggregate the data, nor do we a priori assign countries to clusters....
Persistent link: https://www.econbiz.de/10004991130
Saved in:
10
A simple test for PPP among traded goods
Franses, Ph.H.B.F.
;
Dijk, D.J.C. van
-
Erasmus University Rotterdam, Econometric Institute
-
2002
The so-called Balassa-Samuelson model implies that relative prices of non-traded goods may be nonstationary and, hence, that PPP should preferably be tested on real exchange rates based on prices of traded goods only. We propose a simple test for PPP among traded goods which can be applied to...
Persistent link: https://www.econbiz.de/10008584631
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