.
van Dijk, H. K.'s
Scholarly Papers
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Aggregate Statistics
Total 2,122
Total Citations 60
1.
Van Oord, Arco Erasmus University Rotterdam (EUR) - Department of Econometrics
Martens, Martin Erasmus University Rotterdam (EUR)
van Dijk, H. K. Tinbergen Institute
318(45,055)
quadratic optimization, momentum strategy, robust optimization
2.
Ravazzolo, Francesco Norges Bank
Verbeek, Marno Erasmus University - Rotterdam School of Management
van Dijk, H. K. Tinbergen Institute
243(61,061)
4
Stock return predictability, time varying weight combination, forecast combination, Bayesian model averaging
3.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Oest, R.D. van Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
172(86,543)
4
4.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
166(89,394)
8
Value at Risk, Expected Shortfall, numerical accuracy, numerical standard error, importance sampling, mixture of Student-t distributions, variance reduction technique
5.
De Pooter, Michiel Federal Reserve Board
Segers, Rene Erasmus University Rotterdam (EUR)
van Dijk, H. K. Tinbergen Institute
154(95,720)
2
Gibbs sampler, MCMC, serial correlation, non-stationarity, reduced rank models, state-space models, random effects panel data models
6.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Kleijn, Richard affiliation not provided to SSRN
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Verbeek, Marno Erasmus University - Rotterdam School of Management
121(117,373)
6
forecast combination, Bayesian model averaging, time varying model weights, portfolio optimization, business cycle
7.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
23 Jun 08
Last Revised:
08 Apr 11
94(141,101)
3
adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software
8.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
79(157,684)
value-at-Risk, backtest, optimal revision, forecast rationality
9.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
66(174,988)
Density forecast combination, stock data
10.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
26 Feb 09
Last Revised:
30 Jul 12
65(176,423)
1
marginal likelihood, Bayes factor, importance sampling, Markov chain Monte Carlo, bridge sampling, adaptive mixture of Student-t distributions
11.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
61(182,373)
2
Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
12.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
57(188,741)
Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
13.
Combination Schemes for Turning Point Predictions
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Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Posted:
22 Aug 11
Last Revised:
07 May 13
50(200,611)
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
4
Turning Points, Markov-switching, Forecast Combination, Bayesian Model Averaging
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
15
C11, C15, C53, E37
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
31
turning points, Markov-switching, forecast combination, Bayesian model averaging
14.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
kaashoek, Johan F. Erasmus University Rotterdam (EUR)
van Dijk, H. K. Tinbergen Institute
49(202,386)
16
instrumental variables, reduced rank, importance sampling, Markov chain Monte Carlo, neural networks, Bayesian inference, credible sets
15.
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
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Casarin, Roberto University of Brescia - Department of Economics
Grassi, Stefano University of Aarhus - CREATES
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Posted:
09 Apr 13
Last Revised:
27 Apr 13
48(204,307)
Casarin, Roberto University of Brescia - Department of Economics
Grassi, Stefano University of Aarhus - CREATES
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
4
Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
Casarin, Roberto University of Brescia - Department of Economics
Grassi, Stefano University of Aarhus - CREATES
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
44
Density Forecast Combination, Sequential Monte Carlo, Parallel Computing, GPU, Matlab
16.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Opschoor, Anne Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
45(209,910)
2
Mixture of Student-T Distributions, Importance Sampling, Kullback-Leibler Divergence, Expectation Maximization, Metropolis-Hastings Algorithm, Predictive Likelihoods, Mixture GARCH Models, Value at Risk
17.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
44(211,898)
3
instrumental variables, vector error correction model, mixture model, importance sampling, Markov chain Monte Carlo, neural network
18.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
Posted:
28 Jul 12
Last Revised:
03 Oct 12
42(215,922)
Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
19.
Strachan, Rodney W. University of Queensland - School of Economics
van Dijk, H. K. Tinbergen Institute
39(222,074)
1
Posterior probability, Grassman manifold, Orthogonal group, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model, Great Ratios, Liquidity trap
20.
Ardia, David Laval University - Département de Finance et Assurance
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
Posted:
16 Jun 10
Last Revised:
08 Apr 11
34(233,387)
3
adaptive mixture, Student-t distributions, importance sampling, independence chain Metropolis-Hasting algorithm, Bayesian, R software
21.
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Opschoor, Anne Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
31(240,772)
1
mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihood, DCC GARCH, mixture GARCH, instrumental variables
22.
Gatarek, Lukasz T. Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Hooning, Koen Delft University of Technology
van Dijk, H. K. Tinbergen Institute
28(252,065)
censored likelihood, censored posterior, censored predictive likelihood, Bayesian Model Averaging, Value at Risk, Metropolis-Hastings algorithm
23.
Billio, Monica Ca Foscari University of Venice - Department of Economics
Casarin, Roberto University of Brescia - Department of Economics
Ravazzolo, Francesco Norges Bank
van Dijk, H. K. Tinbergen Institute
25(258,299)
1
density forecast combination, survey forecast, nonlinear filtering, sequential Monte Carlo
24.
Strachan, Rodney W. Australian National University (ANU) - Research School of Economics
van Dijk, H. K. Tinbergen Institute
16(289,661)
Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model
25.
Basturk, Nalan Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Cakmakli, Cem University of Amsterdam - Faculty of Economics and Business (FEB)
Ceyhan, Pinar Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
15(293,152)
New Keynesian Phillips curve, unobserved components, level shifts, inflation expectations
26.
Basturk, Nalan Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
Opschoor, Anne Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
van Dijk, H. K. Tinbergen Institute
15(293,152)
finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software
27.
Strachan, Rodney W. Australian National University (ANU) - Research School of Economics
van Dijk, H. K. Tinbergen Institute
13(300,346)
1
Improper Prior, Bayes Factor, Marginal Likelihood, Shrinkage Prior, Measure
28.
Zellner, Arnold University of Chicago, Booth School of Business (Deceased)
Ando, Tomohiro Keio University - Graduate School of Business Administration
Basturk, Nalan Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Hoogerheide, Lennart F. Vrije Universiteit Amsterdam - Dept. of Econometrics
van Dijk, H. K. Tinbergen Institute
12(303,875)
1
Instrumental variables, Bayesian inference, Direct Monte Carlo, Acceptance-Rejection, numerical standard errors
29.
Strachan, Rodney W. Australian National University (ANU) - Research School of Economics
van Dijk, H. K. Tinbergen Institute
12(303,875)
Posterior probability, Real business cycle model, Cointegration, Model averaging, Stochastic trend, Impulsive response, Vector autoregressive model
30.
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
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Strachan, Rodney W. Australian National University (ANU) - Research School of Economics
van Dijk, H. K. Tinbergen Institute
Posted:
21 Mar 12
Last Revised:
24 Jan 13
8(316,933)
1
Strachan, Rodney W. Australian National University (ANU) - Research School of Economics
van Dijk, H. K. Tinbergen Institute
0
1
Strachan, Rodney W. Australian National University (ANU) - Research School of Economics
van Dijk, H. K. Tinbergen Institute
8
1
Posterior probability, Dynamic stochastic general equilibrium model, Cointegration, Model averaging, Stochastic trend, Impulse response, Vector autoregressive model
31.
Bauwens, Luc Université catholique de Louvain
Bos, Charles S. VU University Amsterdam
van Dijk, H. K. Tinbergen Institute
Oest, R.D. van Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Markov chain Monte Carlo, importance sampling, radial coordinates
32.
Koop, Gary University of Leicester - Department of Economics
van Dijk, H. K. Tinbergen Institute
