Jan G. De Gooijer

Amsterdam School of Economics

Professor of Economic Statistics

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

http://www.jandegooijer.nl

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 38,033

in Total Papers Downloads

1,526

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (18)

1.

25 Years of Iif Time Series Forecasting: A Selective Review

Tinbergen Institute Discussion Papers No. TI 05-068/4
Number of pages: 41 Posted: 24 Jun 2005
Jan G. De Gooijer and Rob J. Hyndman
Amsterdam School of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 502 (69,285)
Citation 13

Abstract:

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Time-Series Models, Index Numbers and Aggregation

2.

Information Flows around the Globe: Predicting Opening Gaps from Overnight Foreign Stock Price Patterns

Tinbergen Instituut Discussion Paper 09-107/4
Number of pages: 21 Posted: 23 Nov 2009
Jan G. De Gooijer, Cees G. H. Diks and Lukasz T. Gatarek
Amsterdam School of Economics, University of Amsterdam - Faculty of Economics and Business (FEB) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 260 (145,108)
Citation 4

Abstract:

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Close-to-open gap forecasting, Functional data analysis, International stock markets, Nonparametric modeling

3.

Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by Asma-Asqgarch

Umea Economic Studies Working Paper No. 535
Number of pages: 21 Posted: 08 Nov 2000
Kurt Brannas and Jan G. De Gooijer
University of Umea - Department of Economics and Amsterdam School of Economics
Downloads 216 (173,576)
Citation 2

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Time series, finance, nonlinearity, estimation, testing, forecasting, NYSE

4.

Bahadur Representation for the Nonparametric M-Estimator Under Alpha-Mixing Dependence

Tinbergen Institute Discussion Papers No. TI 2005-067/4
Number of pages: 24 Posted: 24 Jun 2005
Yebin Cheng and Jan G. De Gooijer
Tinbergen Institute and Amsterdam School of Economics
Downloads 121 (282,369)
Citation 1

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Asymptotic representation; Kernel function; Robust estimator; Strongly-mixing

5.

On Conditional Density Estimation

Tinbergen Institute Discussion Paper No. 2002-032/4
Number of pages: 25 Posted: 15 Apr 2002
Jan G. De Gooijer and Dawit Zerom
Amsterdam School of Economics and California State University, Fullerton
Downloads 113 (296,180)

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Alpha-mixing, asymptotic properties, negativity, nonparametric, re-weighted Nadaraya-Watson

6.

Semiparametric Regression with Kernel Error Model

Tinbergen Institute Discussion Paper No. 06-058/4
Number of pages: 41 Posted: 16 Jul 2006
Ao Yuan and Jan G. De Gooijer
Howard University and Amsterdam School of Economics
Downloads 82 (364,462)
Citation 2

Abstract:

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information bound, kernel density estimator, maximum likelihood estimate, nonlinear regression, semiparametric model, U-statistic, Wilks property

7.

MDL Mean Function Selection in Semiparametric Kernel Regression Models

Tinbergen Institute Discussion Paper No. 08-046/4
Number of pages: 16 Posted: 08 May 2008
Jan G. De Gooijer and Ao Yuan
Amsterdam School of Economics and Howard University
Downloads 41 (507,450)

Abstract:

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Kernel density estimator, Maximum likelihood estimator, Minimum description length, Nonlinear regression, Semiparametric model

8.

Efficient Estimation of an Additive Quantile Regression Model

Tinbergen Institute Discussion Paper 09-104/4
Number of pages: 38 Posted: 19 Dec 2009
Yebin Cheng, Jan G. De Gooijer and Dawit Zerom
Tinbergen Institute, Amsterdam School of Economics and California State University, Fullerton
Downloads 33 (547,157)

Abstract:

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Additive models, Asymptotic properties, Dependent data, Internalized kernel smoother, Local polynomial, Oracle efficiency

9.

On the U-Th Geometric Conditional Quantile

Tinbergen Institute Working Paper No. 04-072/4
Number of pages: 23 Posted: 01 Jul 2004
Yebin Cheng and Jan G. De Gooijer
Tinbergen Institute and Amsterdam School of Economics
Downloads 33 (547,157)

Abstract:

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Asymptotic normality, Bahadur representation, geometric conditional quantile, confidence ellipsoids, kernel function

10.

Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts

Number of pages: 22 Posted: 12 Dec 2019
Jan G. De Gooijer and Dawit Zerom
Amsterdam School of Economics and California State University, Fullerton
Downloads 25 (594,275)

Abstract:

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Large Database, Non-Parametric, Parametric, Penalized Averaging, Quantile Forecasting

11.

Semiparametric Quantile Averaging in the Presence of High-Dimensional Predictors

Number of pages: 37 Posted: 24 Oct 2017
Jan G. De Gooijer and Dawit Zerom
Amsterdam School of Economics and California State University, Fullerton
Downloads 25 (594,275)
Citation 1

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Forecasting, Quantile Averaging, High-dimensional data, Variable selection, FRED-MD database

12.

Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data

Tinbergen Institute Discussion Paper 11-011/4
Number of pages: 31 Posted: 12 May 2011
Jan G. De Gooijer and Ao Yuan
Amsterdam School of Economics and Howard University
Downloads 23 (607,525)

Abstract:

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Binning, Bootstrap, Confidence interval, Jittering, Nonparametric

13.

Asymptotically Informative Prior for Bayesian Analysis

Tinbergen Institute Discussion Paper 11-130/4
Number of pages: 19 Posted: 28 Sep 2011
Ao Yuan and Jan G. De Gooijer
Howard University and Amsterdam School of Economics
Downloads 19 (635,081)

Abstract:

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asymptotically informative prior, asymptotic efficiency, Bayes estimator, information bound, maximum likelihood estimator

14.

Some Exact Tests for Manifest Properties of Latent Trait Models

Tinbergen Institute Discussion Paper 10-044/4
Number of pages: 25 Posted: 27 Apr 2010
Jan G. De Gooijer and Ao Yuan
Amsterdam School of Economics and Howard University
Downloads 16 (656,344)

Abstract:

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Conditional distribution, Exact test, Monte Carlo, Markov chain Monte Carlo

15.

A Multi-Step Kernel – Based Regression Estimator That Adapts to Error Distributions of Unknown Form

Number of pages: 26 Posted: 03 Mar 2020
Jan G. De Gooijer and Hugo Reichardt
Amsterdam School of Economics and affiliation not provided to SSRN
Downloads 10 (701,748)

Abstract:

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Adaptive estimation; EM algorithm; Kernel density estimate; Least squares estimate; Linear regression

16.

Asymmetric Vector Moving Average Models: Estimation and Testing

Computational Statistics (2021)
Number of pages: 27 Posted: 28 Jan 2021
Jan G. De Gooijer
Amsterdam School of Economics
Downloads 7 (725,075)

Abstract:

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Asymmetries, Cross-bicovariance estimates, Multivariate, Test performance, Wald-type test statistic

17.

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Umea Economic Studies Paper No. 725
Posted: 18 Oct 2009
University of Umea - Department of Economics, Amsterdam School of Economics, University of Umea and University of Umea - Department of Economics

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Time series, nonlinear, multivariate, finance, value at risk, portfolio allocation

18.

Testing Linearity Against Nonlinear Moving Average Models

Stockholm School of Economics WPS95-1/96
Posted: 21 Apr 1998
Kurt Brannas, Jan G. De Gooijer and Timo Teräsvirta
University of Umea - Department of Economics, Amsterdam School of Economics and Stockholm School of Economics - Department of Economics

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