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Home | People | Cees Diks
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Cees Diks

Research Fellow

University
University of Amsterdam
Research field
Complexity
Interests
Financial Econometrics, Non-Linear Dynamics, Time Series Econometrics

List of publications

Linardi, F., Diks, C., van der Leij, M. and Lazier, I. (2020). Dynamic interbank network analysis using latent space models Journal of Economic Dynamics and Control, 112:.

Diks, C. and Fang, H. (2020). Comparing density forecasts in a risk management context International Journal of Forecasting, 36(2):531--551.

Diks, C., Hommes, C. and Wang, J. (2019). Critical slowing down as an early warning signal for financial crises? Empirical Economics, 57(4):1201--1228.

Bolt, W., Demertzis, M., Diks, C., Hommes, C. and van der Leij, M. (2019). Identifying booms and busts in house prices under heterogeneous expectations Journal of Economic Dynamics and Control, 103:234--259.

Bao, T., Diks, C. and Li, H. (2018). A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction Economic Modelling, 68:611--621.

Diks, C. and Wolski, M. (2016). Nonlinear Granger Causality: Guidelines for Multivariate Analysis Journal of Applied Econometrics, 31(7):1333--1351.

Diks, C. and Wang, J. (2016). Can a stochastic cusp catastrophe model explain housing market crashes? Journal of Economic Dynamics and Control, 69:68--88.

Papana, A., Kyrtsou, C., Kugiumtzis, D. and Diks, C. (2016). Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data Computational Economics, 47(3):341--365.

Diks, C., Panchenko, V., Sokolinskiy, O. and van Dijk, D.J.C. (2014). Comparing the accuracy of multivariate density forecasts in selected regions of the copula support Journal of Economic Dynamics and Control, 48:79--94.

Diks, C., Panchenko, V. and van Dijk, D.J.C. (2011). Likelihood-based scoring rules for comparing density forecasts in tails Journal of Econometrics, 163(2):215--230.

Diks, C., Panchenko, V. and van Dijk, D.J.C. (2010). Out-of-sample comparison of copula specifications in multivariate density forecasts Journal of Economic Dynamics and Control, 34(9):1596--1609.

Diks, C. and Dindo, P. (2008). Informational differences and learning in an asset market with boundedly rational agents Journal of Economic Dynamics and Control, 32(5):1432--1465.

Bekiros, S. and Diks, C. (2008). The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality Energy Economics, 30(5):2673--2685.

Bekiros, S. and Diks, C. (2008). The nonlinear dynamic relationship of exchange rates: parametric and nonparametric causality testing Journal of Macroeconomics, 30(4):1641--1650.

Diks, C., Hommes, C., Panchenko, V. and van der Weide, R. (2008). E&F Chaos: a user friendly software package for nonlinear economic dynamics Computational Economics, 32(1-2):221--244.

Diks, C. and Panchenko, V. (2008). Rank-based entropy tests for serial independence Studies in Nonlinear Dynamics and Econometrics, 12(1):1--19.

Diks, C. (2006). Comments on 'Global Sunspots in OLG Models' Journal of Macroeconomics, 28(1):46--50.

Diks, C. and Panchenko, V. (2006). A new statistic and practical guidelines for nonparametric Granger causality testing Journal of Economic Dynamics and Control, 30(9-10):1647--1669.

Bullard, J., Diks, C. and Wagener, F. (2006). Editorial Introduction to the Special Issue on ' Computing in Economics and Finance' Journal of Economic Dynamics and Control, 30(9-10):1441--1444.

Diks, C. and Panchenko, V. (2005). A note on the Hiemstra-Jones test for Granger non-causality Studies in Nonlinear Dynamics and Econometrics, 9(2):1--7.

Diks, C. and van der Weide, R. (2005). Herding, A-synchronous Updating and Heterogeneity in memory in a CBS Journal of Economic Dynamics and Control, 29(4):741--763.

Diks, C. (2004). The correlation dimension of returns with stochastic volatility Quantitative Finance, 4(1):45--54.

Diks, C. (2003). Detecting Serial Dependence in Tail Events Economics Letters, 97(3):319--324.

Diks, C. and van de Velden, M. (2002). Tests for Serial Independence and Linearity Based on Correlation Integrals Studies in Nonlinear Dynamics and Econometrics, 6(2):1--20.