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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

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.

Linardi, F., Diks, C., van der Leij, M.J. and Lazier, I. (2019). Dynamic interbank network analysis using latent space models Journal of Economic Dynamics and Control, :.

Diks, C. and Fang, H. (2019). Comparing density forecasts in a risk management context International Journal of Forecasting, :.

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.