H-Index & Metrics Best Publications

H-Index & Metrics

Discipline name H-index Citations Publications World Ranking National Ranking
Economics and Finance D-index 52 Citations 11,804 164 World Ranking 637 National Ranking 18

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Finance
  • Econometrics

Dick van Dijk mainly focuses on Econometrics, Volatility, Autoregressive model, Statistics and Time series. His Econometrics research incorporates themes from Business cycle, Univariate, Multivariate statistics, Linear model and STAR model. His work in Volatility is not limited to one particular discipline; it also encompasses Artificial neural network.

Dick van Dijk has researched Autoregressive model in several fields, including Trough, Monte Carlo method and Akaike information criterion. His study in Statistics is interdisciplinary in nature, drawing from both Tracking error and Realized variance. His Time series study combines topics from a wide range of disciplines, such as Statistical hypothesis testing, Stochastic process, Economic forecasting, Unemployment and Autocorrelation.

His most cited work include:

  • SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (955 citations)
  • Nonlinear time series models in empirical finance (514 citations)
  • Non-Linear Time Series Models in Empirical Finance (373 citations)

What are the main themes of his work throughout his whole career to date?

His main research concerns Econometrics, Volatility, Statistics, Financial economics and Monte Carlo method. His research in Econometrics is mostly concerned with Autoregressive model. His work on Principal component regression and Regression as part of general Statistics study is frequently linked to Variable, bridging the gap between disciplines.

His Financial economics research is multidisciplinary, incorporating perspectives in Emerging markets and Electronic trading. He focuses mostly in the field of Monte Carlo method, narrowing it down to topics relating to Statistical hypothesis testing and, in certain cases, Tail dependence. His Univariate research integrates issues from Mean squared error, Order and Overfitting.

He most often published in these fields:

  • Econometrics (96.83%)
  • Volatility (25.33%)
  • Statistics (25.33%)

What were the highlights of his more recent work (between 2012-2021)?

  • Econometrics (96.83%)
  • Volatility (25.33%)
  • Multivariate statistics (13.19%)

In recent papers he was focusing on the following fields of study:

Dick van Dijk mostly deals with Econometrics, Volatility, Multivariate statistics, Statistics and Financial economics. In his research, Dick van Dijk undertakes multidisciplinary study on Econometrics and Macro. In Volatility, Dick van Dijk works on issues like Bond, which are connected to Alternative investment, Asset and Portfolio.

His Multivariate statistics research is multidisciplinary, incorporating elements of Statistical hypothesis testing and Monte Carlo method. His work on Multicollinearity, Polynomial regression, Nonparametric regression and Principal component regression is typically connected to Variable kernel density estimation as part of general Statistics study, connecting several disciplines of science. His study looks at the relationship between Financial economics and fields such as Market microstructure, as well as how they intersect with chemical problems.

Between 2012 and 2021, his most popular works were:

  • Speed, algorithmic trading, and market quality around macroeconomic news announcements (64 citations)
  • Forecasting day-ahead electricity prices: Utilizing hourly prices (58 citations)
  • Forecasting day-ahead electricity prices: Utilizing hourly prices (58 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Finance
  • Econometrics

His primary areas of investigation include Econometrics, Statistics, Volatility, Interest rate and Multivariate statistics. In general Econometrics, his work in Forward volatility is often linked to Macro linking many areas of study. His studies in Forward volatility integrate themes in fields like Dynamic factor and Spot contract.

The Statistics study combines topics in areas such as Autoregressive conditional heteroskedasticity and Downside risk. Dick van Dijk combines subjects such as Scoring rule, Region of support and Pooling with his study of Volatility. His study in the field of Univariate also crosses realms of Aggregate and Electricity market.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Non-Linear Time Series Models in Empirical Finance

Philip Hans Franses;Dick van Dijk.
(2000)

1622 Citations

SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

Dick van Dijk;Timo Teräsvirta;Philip Hans Franses.
Econometric Reviews (2002)

1480 Citations

Nonlinear time series models in empirical finance

Philip Hans Franses;Dick van Dijk.
(2000)

800 Citations

Time Series Models for Business and Economic Forecasting

Philip Hans Franses;Dick van Dijk;Anne Opschoor.
(1998)

710 Citations

Panel Smooth Transition Regression Models

Andrés González;Timo Teräsvirta;Dick van Dijk;Yukai Yang.
CREATES Research Papers (2005)

586 Citations

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

Philip Hans Franses;Dick Van Dijk.
Journal of Forecasting (1996)

464 Citations

Measuring volatility with the realized range

Martin Martens;Dick van Dijk.
Journal of Econometrics (2007)

408 Citations

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Roger Lord;Remmert Koekkoek;Dick van Dijk.
Quantitative Finance (2010)

338 Citations

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination

Timo Teräsvirta;Dick van Dijk;Marcelo C. Medeiros.
International Journal of Forecasting (2005)

326 Citations

Testing for Volatility Changes in U.S. Macroeconomic Time Series

Marianne Sensier;Dick van Dijk.
The Review of Economics and Statistics (2004)

302 Citations

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