Cees G. H. Diks

University of Amsterdam - Faculty of Economics and Business (FEB)

Post-doctoral Research Associate CeNDEF

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

  • University of Amsterdam - Faculty of Economics and Business (FEB)

    • Email
    • Tel: +31 20 525 53 29
    • Fax: +31 20 525 4349

  • Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

SCHOLARLY PAPERS

17

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31

Scholarly Papers (17)

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1.

Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns

Tinbergen Instituut Discussion Paper 09-107/4
Number of pages: 21 Posted: 23 Nov 2009
Jan G. De Gooijer, Cees G. H. Diks and Lukasz T. Gatarek
University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Faculty of Economics and Business (FEB) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 230 (131,967)
Citation 4

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Close-to-open gap forecasting, Functional data analysis, International stock markets, Nonparametric modeling

2.

Nonlinear Granger Causality: Guidelines for Multivariate Analysis

University of Amsterdam, CeNDEF Working Paper, 13(15)
Number of pages: 21 Posted: 12 Dec 2013
Cees G. H. Diks and Marcin Wolski
University of Amsterdam - Faculty of Economics and Business (FEB) and European Investment Bank
Downloads 206 (146,643)
Citation 2

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Financial time series, Granger causality, Nonparametric methods

3.

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Journal of Economic Dynamics and Control, Vol. 34, No. 9, 2010, UNSW Australian School of Business Research Paper No. 2008 ECON 23, Tinbergen Institute Discussion Paper No. 08-105/4
Number of pages: 27 Posted: 04 Nov 2008 Last Revised: 20 Jun 2011
Cees G. H. Diks, Valentyn Panchenko and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), UNSW Business School, Economics, University of New South Wales and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 157 (186,969)
Citation 4

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Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula

4.

Identifying Booms and Busts in House Prices Under Heterogeneous Expectations

Downloads 138 (207,781)
Citation 5

Identifying Booms and Busts in House Prices Under Heterogeneous Expectations

De Nederlandsche Bank Working Paper No. 450
Number of pages: 43 Posted: 04 Dec 2014
Wilko Bolt, Maria Demertzis, Cees G. H. Diks, Cars H. Hommes and Marco van der Leij
De Nederlandsche Bank (Dutch Central Bank), Bruegel, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Amsterdam School of Economics (ASE) and CeNDEF, University of Amsterdam
Downloads 122 (229,688)
Citation 9

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housing prices, heterogenous agents model, bounded rationality, bubbles

Identifying Booms and Busts in House Prices Under Heterogeneous Expectations

Tinbergen Institute Discussion Paper 14-157/II
Number of pages: 40 Posted: 24 Dec 2014
Wilko Bolt, Maria Demertzis, Cees G. H. Diks, Cars H. Hommes and Marco van der Leij
De Nederlandsche Bank (Dutch Central Bank), Bruegel, University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Amsterdam School of Economics (ASE) and CeNDEF, University of Amsterdam
Downloads 16 (562,380)
Citation 9

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housing prices, heterogenous agents model, bounded rationality, bubbles

5.

Heterogeneity as a Natural Source of Randomness

Tinbergen Institute Discussion Paper No. 2003-073/1
Number of pages: 30 Posted: 22 Nov 2003
Cees G. H. Diks and Roy van der Weide
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 121 (230,182)
Citation 8

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Expectation formation, Heterogeneity, Continuous beliefs, Expectations feedback, Endogenous noise, Random dynamical systems

6.

Location of Investors and Capital Flight

Number of pages: 21 Posted: 13 Feb 2002
Dennis P. J. Botman and Cees G. H. Diks
International Monetary Fund (IMF) - Fiscal Affairs Department and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 113 (241,931)

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locational heterogeneity, private information, exchange rate volatility, illiquidity, capital flight

7.

Herding, A-Synchronous Updating and Heterogeneity in Memory in a Cbs

Tinbergen Institute Working Paper No. 2003-103/1
Number of pages: 27 Posted: 02 Jan 2004
Cees G. H. Diks and Roy van der Weide
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 106 (253,143)

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Continuous beliefs systems, Random dynamical systems, Heterogeneity, Herding, ARIMA, GARCH, Long-range dependence

8.

A Weak Bifurcation Theory for Discrete Time Stochastic Dynamical Systems

Tinbergen Institute Discussion Paper No. 06-043/1
Number of pages: 33 Posted: 13 May 2006
Cees G. H. Diks and Florian Wagener
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics
Downloads 96 (270,510)
Citation 1

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Stochastic bifurcation theory

9.

Detecting Serial Dependence in Tail Events: A Test Dual to the Bds Test

Tinbergen Institute Discussion Paper No. 02-079/1
Number of pages: 19 Posted: 31 Aug 2002
Cees G. H. Diks
University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 94 (274,280)

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Nonparametric tests, Serial dependence, Correlation integral, Monte Carlo tests, Volatility clustering

10.

Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Tinbergen Institute Discussion Paper 13-061/III
Number of pages: 40 Posted: 23 Apr 2013
Cees G. H. Diks, V. Panchenko, Oleg Sokolinskiy and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance, Rutgers Business School - Newark and New Brunswick and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 90 (281,974)
Citation 1

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Copula-based density forecast, Kullback-Leibler Information Criterion, out-of-sample forecast evaluation

11.

Continuous Beliefs Dynamics

Tinbergen Institute Discussion Paper No. 2003-007/1
Number of pages: 40 Posted: 02 Apr 2003
Cees G. H. Diks and Roy van der Weide
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 83 (296,578)
Citation 1

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Expectation formation, Heterogeneity, Continuous beliefs, Expectations feedback, Endogenous noise

12.

Nonparametric Tests for Serial Independence Based on Quadratic Forms

Tinbergen Institute Discussion Paper No. TI 05-076/1
Number of pages: 33 Posted: 15 Aug 2005
Cees G. H. Diks and V. Panchenko
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance
Downloads 60 (354,451)
Citation 2

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Bandwidth selection, nonparametric tests, serial independence, quadratic forms

13.

The Role of Domestic and Foreign Investors in a Simple Model of Speculative Attacks

IMF Working Paper No. 05/205
Number of pages: 24 Posted: 03 Mar 2006
Dennis P. J. Botman and Cees G. H. Diks
International Monetary Fund (IMF) - Fiscal Affairs Department and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 57 (363,504)

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Location of Investors, Speculative Attacks, Private Information, Government Guarantees, Taxation, Exchange Rate Pass-Through

14.

Equivalence and Bifurcations of Finite Order Stochastic Processes

Tinbergen Institute Discussion Paper No. TI05-043/1
Number of pages: 27 Posted: 21 May 2005
Cees G. H. Diks and Florian Wagener
University of Amsterdam - Faculty of Economics and Business (FEB) and University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics
Downloads 45 (403,252)
Citation 1

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Stochastic processes, structural stability, copula density, befurcations

15.

Dynamic Interbank Network Analysis Using Latent Space Models

Tinbergen Institute Discussoin Paper 2017-101/II
Number of pages: 38 Posted: 27 Oct 2017
Fernando Linardi, Cees G. H. Diks, Marco van der Leij and Iuri Lazier
Government of the Federative Republic of Brazil - Central Bank of Brazil, University of Amsterdam - Faculty of Economics and Business (FEB), CeNDEF, University of Amsterdam and University of Sao Paulo (USP)
Downloads 41 (417,943)

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network dynamics, latent position model, interbank network, Bayesian inference

16.

Tests for Serial Independence and Linearity Based on Correlation Integrals

Studies in Nonlinear Dynamics and Econometrics, Vol. 6, No. 2, 2002
Number of pages: 32 Posted: 04 Feb 2009
Cees G. H. Diks and Sebastiano Manzan
University of Amsterdam - Faculty of Economics and Business (FEB) and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 40 (421,813)

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serial independence, linearity, bootstrap, permutation test, nonparametric estimation, nonlinear time series analysis,

17.

Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices

De Nederlandsche Bank Working Paper No. 329
Number of pages: 32 Posted: 28 Dec 2011 Last Revised: 16 Feb 2012
Wilko Bolt, Maria Demertzis, Cees G. H. Diks and Marco van der Leij
De Nederlandsche Bank (Dutch Central Bank), Bruegel, University of Amsterdam - Faculty of Economics and Business (FEB) and CeNDEF, University of Amsterdam
Downloads 39 (425,772)
Citation 2

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critical transitions, heterogenous agents model, bounded rationality, housing prices