• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Facilities
    • Admissions
  • Research
  • News
  • Events
    • Summer School
      • Crash Course in Experimental Economics
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Econometric Methods for Forecasting and Data Science
  • Times
Home | People | Cees Diks
 placeholder

Cees Diks

Research Fellow

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

List of publications

Cees Diks and Cars Hommes and Juanxi Wang. 2018. Critical slowing down as an early warning signal for financial crises?. Empirical Economics, 0377-7332

T. Bao and C. Diks and H. Li. 2018. A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. Economic Modelling, 68, 611--621, 0264-9993

C. Diks and M. Wolski. 2016. Nonlinear Granger Causality: Guidelines for Multivariate Analysis. Journal of Applied Econometrics, 31, 1333--1351, 0883-7252

C. Diks and J. Wang. 2016. Can a stochastic cusp catastrophe model explain housing market crashes?. Journal of Economic Dynamics \& Control, 69, 68--88, 0165-1889

A. Papana and C. Kyrtsou and D. Kugiumtzis and C. Diks. 2016. Detecting Causality in Non-stationary Time Series Using Partial Symbolic Transfer Entropy: Evidence in Financial Data. Computational Economics, 47, 341--365, 0927-7099

C. Diks and V. Panchenko and O. Sokolinskiy and van Dijk, D.. 2014. Comparing the accuracy of multivariate density forecasts in selected regions of the copula support. Journal of Economic Dynamics \& Control, 48, 79--94, 0165-1889

C. Diks and V. Panchenko and van Dijk, D.. 2011. Likelihood-based scoring rules for comparing density forecasts in tails. Journal of Econometrics, 163, 215--230, 0304-4076

C. Diks and V. Panchenko and van Dijk, D.. 2010. Out-of-sample comparison of copula specifications in multivariate density forecasts. Journal of Economic Dynamics \& Control, 34, 1596--1609, 0165-1889

C. Diks and P. Dindo. 2008. Informational differences and learning in an asset market with boundedly rational agents. Journal of Economic Dynamics \& Control, 32, 1432--1465, 0165-1889

S.D. Bekiros and C.G.H. Diks. 2008. The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality. Energy Economics, 30, 2673--2685, 0140-9883

S.D. Bekiros and C.G.H. Diks. 2008. The nonlinear dynamic relationship of exchange rates: parametric and nonparametric causality testing. Journal of Macroeconomics, 30, 1641--1650, 0164-0704

C. Diks and C. Hommes and V. Panchenko and van der Weide, R.. 2008. E\&F Chaos: a user friendly software package for nonlinear economic dynamics. Computational Economics, 32, 221--244, 0927-7099

C. Diks and V. Panchenko. 2008. Rank-based entropy tests for serial independence. Studies in Nonlinear Dynamics and Econometrics, 12, 1--19, 1558-3708

C.G.H. Diks. 2006. Comments on 'Global Sunspots in OLG Models'. Journal of Macroeconomics, 28, 46--50, 0164-0704

C.G.H. Diks and V. Panchenko. 2006. A new statistic and practical guidelines for nonparametric Granger causality testing. Journal of Economic Dynamics \& Control, 30, 1647--1669, 0165-1889

J. Bullard and C.G.H. Diks and F.O.O. Wagener. 2006. Editorial Introduction to the Special Issue on ' Computing in Economics and Finance'. Journal of Economic Dynamics \& Control, 30, 1441--1444, 0165-1889

C.G.H. Diks and V. Panchenko. 2005. A note on the Hiemstra-Jones test for Granger non-causality. Studies in Nonlinear Dynamics and Econometrics, 9, 1--7, 1558-3708

C.G.H. Diks and van der Weide, R.. 2005. Herding, A-synchronous Updating and Heterogeneity in memory in a CBS. Journal of Economic Dynamics \& Control, 29, 741--763, 0165-1889

C.G.H. Diks. 2004. The correlation dimension of returns with stochastic volatility. Quantitative Finance, 4, 45--54, 1469-7688

C.G.H. Diks. 2003. Detecting Serial Dependence in Tail Events. Economics Letters, 97, 319--324, 0165-1765

C.G.H. Diks and van de Velden, M.. 2002. Tests for Serial Independence and Linearity Based on Correlation Integrals. Studies in Nonlinear Dynamics and Econometrics, 6, 1--20, 1558-3708