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Economics and Finance

D-Index
35
Citations
5992
World Ranking
2935
National Ranking
85

Overview

Herman K. van Dijk is affiliated with Erasmus University Rotterdam in the Netherlands. Their research primarily focuses on Economics, Econometrics, and Finance, with 16 publications in this main field of study.

Their work covers several subfields, including:

  • Economics and Econometrics
  • Renewable Energy, Sustainability and the Environment
  • General Economics, Econometrics and Finance
  • Finance
  • Statistics and Probability

The scientist's research topics span multiple areas, notably:

  • Monetary Policy and Economic Impact
  • Financial Risk and Volatility Modeling
  • Market Dynamics and Volatility
  • Energy, Environment, and Transportation Policies
  • Forecasting Techniques and Applications
  • Complex Systems and Time Series Analysis
  • Global Energy and Sustainability Research

Herman K. van Dijk has contributed to a range of scholarly journals, with frequent publications appearing in:

  • SSRN Electronic Journal
  • Journal of Econometrics
  • Journal of Business and Economic Statistics
  • Econometrics
  • Economics Letters

Representative recent papers include:

  • "Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil," 2022, Journal of Business and Economic Statistics
  • "A flexible predictive density combination for large financial data sets in regular and crisis periods," 2023, Journal of Econometrics
  • "Partially censored posterior for robust and efficient risk evaluation," 2020, Journal of Econometrics
  • "Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14," 2020, Econometrics
  • "Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil," 2021, SSRN Electronic Journal

The scientist has collaborated frequently with several co-authors, including:

  • Lennart F. Hoogerheide
  • Jamie Cross
  • Knut Are Aastveit
  • Roberto Casarin
  • Stefano Grassi

Best Publications

  • Econometric Methods with Applications in Business and Economics

    Christiaan Heij;Paul de Boer;Philip Hans Franses;Teun Kloek

  • Bayesian estimates of equation system parameters, An application of integration by Monte Carlo

    Teun Kloek;Herman van Dijk

  • Combined Forecasts from Linear and Nonlinear Time Series Models

    Nobuhiko Terui;Herman K. van Dijk

  • On Bayesian routes to unit roots

    Peter C. Schotman;Herman K. Van Dijk

  • A Bayesian analysis of the unit root in real exchange rates

    Peter Schotman;Herman K. van Dijk

  • Distribution and Mobility of Wealth of Nations

    Richard Paap;Herman K. van Dijk

  • Bayesian Simultaneous Equations Analysis using Reduced Rank Structures

    Frank Kleibergen;Herman K. van Dijk

  • On the Shape of the Likelihood/Posterior in Cointegration Models

    Frank Kleibergen;Herman K. van Dijk

  • Trends and cycles in economic time series: A Bayesian approach

    Andrew C. Harvey;Thomas M. Trimbur;Herman K. Van Dijk

  • Time-varying combinations of predictive densities using nonlinear filtering

    Monica Billio;Roberto Casarin;Francesco Ravazzolo;Herman K. van Dijk

  • On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks

    Lennart F. Hoogerheide;Johan F. Kaashoek;Herman K. van Dijk

  • Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling

    Lennart F. Hoogerheide;Herman K. van Dijk

  • The Oxford Handbook of Bayesian Econometrics

    John Geweke;Gary Koop;Herman K. van Dijk

  • Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods

    Arnold Zellner;Luc Bauwens;Herman K. Van Dijk

  • Efficient estimation of income distribution parameters

    Teun Kloek;Herman K. van Dijk

  • Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model

    Monica Billio;Roberto Casarin;Francesco Ravazzolo;Herman K. Van Dijk

  • Non‐stationarity in garch models: A bayesian analysis

    Unknown

  • Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling

    Unknown

  • Natural conjugate priors for the instrumental variables regression model applied to the Angrist–Krueger data

    Lennart Hoogerheide;Frank Kleibergen;Frank Kleibergen;Herman K. van Dijk

  • Bayes Estimates of Markov Trends in Possibly Cointegrated Series

    Richard Paap;Herman K Van Dijk

  • Daily exchange rate behaviour and hedging of currency risk

    Charles S. Bos;Ronald J. Mahieu;Herman K. Van Dijk

  • Time-Varying Combinations of Predictive Densities Using Nonlinear Filtering

    Monica Billio;Roberto Casarin;Francesco Ravazzolo;Francesco Ravazzolo;H. K. van Dijk;H. K. van Dijk

Frequent Co-Authors

Monica Billio
Monica Billio Ca Foscari University of Venice
Siem Jan Koopman
Siem Jan Koopman Vrije Universiteit Amsterdam
Gary Koop
Gary Koop University of Strathclyde
Luc Bauwens
Luc Bauwens Université Catholique de Louvain
Arnold Zellner
Arnold Zellner University of Chicago
Andrew Harvey
Andrew Harvey University of Cambridge
Albert P. M. Wagelmans
Albert P. M. Wagelmans Erasmus University Rotterdam
Marno Verbeek
Marno Verbeek Erasmus University Rotterdam
Philip Hans Franses
Philip Hans Franses Erasmus University Rotterdam
John Rust
John Rust Georgetown University

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