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D.J.C. (Dick) van Dijk

Full Professor

Dick van Dijk
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Professor of Econometrics (Finance)

Programme:
Finance & Accounting
ERIM Membership:
Fellow ERIM, affiliated since 2002
ERIM Role(s):
Member ERIM Young Researcher Award Committee (since 2008)
Member ERIM Funding Advisory Board (FAB) (since 2012)
Profile

Dick van Dijk is a professor of financial econometrics at the Econometric Institute, the Erasmus School of Economics (ESE).



His areas of special interest are volatility modelling and forecasting, high-frequency data, asset return predictability, business cycle analysis, and non-linear time series analysis.



Professor van Dijk has published widely in all the major journals in the field including, among others, the Journal of Banking and Finance, the Review of Finance, the Journal of Applied Econometrics, the Journal of Business and Economic Statistics, the Journal of Econometrics, and the Review of Economics and Statistics.



He received his PhD in econometrics cum laude from Erasmus University Rotterdam in 1999.

Work in progress (6)
  • Opschoor, A., Dijk, D.J.C. van & Wel, M. van der (2014). Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities. (Discussion Paper 14-090/III). Rotterdam: Tinbergen Institute.
  • Dijk, D.J.C. van, Lumsdaine, R.L. & Wel, M. van der (2014). Market set-up in advance of Federal Reserve policy decisions. (Working Paper 19814). Boston: National Bureau of Economic Research.
  • Ozturk, S.R., Wel, M. van der & Dijk, D.J.C. van (2014). Intraday price discovery in fragmented markets. Rotterdam: Tinbergen Institute Discussion Paper 14-027/III.
  • Opschoor, A., Dijk, D.J.C. van & Wel, M. van der (2013). Predicting Covariance Matrices with Financial Conditions Indexes. (Discussion Paper 13-113/III). Rotterdam: Tinbergen Institute.
  • Hauwe, S. van den, Paap, R. & Dijk, D.J.C. van (2011). Bayesian forecasting of federal funds target rate decisions. Rotterdam: Tinbergen Institute Discussion Paper No. 11-093/4.
  • Bouwman, K.E., Raviv, E. & Dijk, D.J.C. van (2011). An arithmetic framework for electricity pricing (working paper).
Publications (86)
  • Books (2)
    • Milas, C., Rothman, P. & Dijk, D.J.C. van (Eds.). (2006). Nonlinear time series analysis of business cycles. Amsterdam: Elsevier Science.
    • Franses, P.H.B.F. & Dijk, D.J.C. van (2000). Non-linear time series models in empirical finance. Cambridge: Cambridge University Press.
  • Book contributions (9)
    • Franses, P.H.B.F. & Dijk, D.J.C. van (2011). GARCH, outliers and forecasting volatility. In G.N. Gregoriou & R. Pascalau (Eds.), Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models (pp. 136-159). Palgrave-MacMillan.
    • Ravazzolo, F., Paap, R., Dijk, D.J.C. van & Franses, P.H.B.F. (2008). Bayesian model averaging in the presence of structural breaks. In M. Wohar & D.E. Rapach (Eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty (Frontiers of Economics and Globalization, 3) (pp. 561-594). Bingley: Emerald Group Publishing.
    • Fidrmuc - Pal'agova, J.P., Roosenboom, P.G.J. & Dijk, D.J.C. van (2007). Private equity fondsen en publiek naar privaat transacties. In A.W.A. Boot (Ed.), Topics in Corporate Finance: Private Equity en Aandeelhoudersactivisme (pp. 39-56). Amsterdam: Amsterdam Center for Corporate Finance.
    • Hafner, C.M., Dijk, D.J.C. van & Franses, P.H.B.F. (2006). Semiparametric modelling of correlation dynamics. In D. Terrell & T. Fomby (Eds.), Advances in Econometrics Volume 20 (pp. 59-103). Amsterdam: Elsevier JAI.
    • Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2004). Predicting growth cycle regimes in European countries. In L. Reichlin (Ed.), The euro area business cycle: stylized facts and measurement issues (pp. 61-82). Londen: CEPR.
    • Teräsvirta, T., Strikholm, B. & Dijk, D.J.C. van (2003). Changing seasonal patterns in quarterly industrial production in Finland and Sweden. In R. Höglund, M. Jäntti & G. Rosenqvist (Eds.), Statistics, econometrics and society: Essays in honour of Leif Nordberg (Tutkimuksia Forskningsrapporter Research Reports, 238) (pp. 229-246). Helsinki: Statistics Finland.
    • Teräsvirta, T. & Dijk, D.J.C. van (2003). Modelling Finnish economic growth: 1860-2001. In K. Alho, J. Lassila & P. Ylä-Anttila (Eds.), Economic research and decision making - Essays on structural change, growth and economic policy (pp. 199-219). Finland: The Research Institute of the Finnish Economy.
    • Eisinga, R., Franses, P.H.B.F. & Dijk, D.J.C. van (1998). Timing of vote decision in first and second order Dutch elections, 1978-1995: evidence from artificial neural networks. In W.R. Mebane (Ed.), Political analysis (pp. 117-142). Ann Arbor: University of Michigan Press.
    • Franses, P.H.B.F. & Dijk, D.J.C. van (1997). Comment on smooth transition models by T. Terasvirta. In Chr. Heij, H. Schumacher, B. Hanzon & K. Praagman (Eds.), System dynamics in economic and financial models (Financial Economics and Quantitative Analysis) (pp. 125-127). Chichester: John Wiley & Sons.
  • Inaugural speech
    • Dijk, D.J.C. van (2007). Goed nieuws is geen nieuws. Oratie (2007, november 15). Rotterdam: ERIM.
  • Doctoral thesis
    • Dijk, D.J.C. van (1999, September 16). Smooth transition models: extensions and outlier robust inference. Erasmus University Rotterdam (218 pag.) (Amsterdam: Thela - Thesis). Prom./coprom.: prof.dr. P.H.B.F. Franses.
Recognitions (5)
  • Editorial position (5)
    Journal Applied Economics
    Role Associate Editor
    Start date 01-09-2001

    Journal Journal of Applied Econometrics
    Role Associate Editor
    Start date 01-01-2007

    Journal International Journal of Forecasting
    Role Editor
    Start date 01-11-2012

    Journal International Journal of Forecasting
    Role Associate Editor
    Start date 01-07-2004
    End date 31-10-2012

    Journal International Journal of Forecasting
    Role Book Review Editor
    Start date 01-07-2004
    End date 30-06-2007

PhD Projects (6)

Macroeconomic Crisis and Firm Performance

Karen Watkins Fassler
PhD Candidate: Karen Watkins Fassler Role: Supervisor Defended: 10 May 2007 Full text: Download this thesis
 

Measuring and Forecasting Financial Market Volatility using High-Frequency Data

Karim Bannouh
PhD Candidate: Karim Bannouh Role: Supervisor Defended: 11 January 2013 Full text: Download this thesis
 

Extreme Dependence in Asset Markets Around the Globe

Thijs Markwat
PhD Candidate: Thijs Markwat Role: Supervisor Defended: 17 March 2011 Full text: Download this thesis
 

Contested Communication: A Critical Analysis of Central Bank Speech

Liesbeth Noordegraaf
PhD Candidate: Liesbeth Noordegraaf Role: Supervisor Defended: 19 October 2010 Full text: Download this thesis
 

Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets

Gerben de Zwart
PhD Candidate: Gerben de Zwart Role: Supervisor Defended: 26 June 2008 Full text: Download this thesis
 

Valuation, Capital Structure Decisions and the Cost of Capital

Marc Schauten
PhD Candidate: Marc Schauten Role: Supervisor Defended: 02 October 2008 Full text: Download this thesis
 
Doctoral courses (1)
2013/2014 Financial Econometrics
Code: BERM.AE.054
ECTS: 4
Course level: Advanced Elective

Events (7)
Jul 5, 2012 Fifth Erasmus Liquidity Conference
  Conference | Finance

Jun 30, 2011 Fourth Erasmus Liquidity Conference
  Conference | Finance

Jul 7, 2010 Third Erasmus Liquidity Conference
  Conference | Finance

Jun 26, 2009 Second Erasmus Liquidity Conference
  Conference | Finance

Jun 27, 2008 Liquidity Conference 2008
  Conference | Finance

Nov 15, 2007 Good News is No News
  ERIM Inaugural Address Research in Management Series | Finance

Sep 28, 2007 Workshop "Interest Rate Term Structure Modelling"
  ERIM Research Workshop | Finance

Visiting address
Office: H11-05
Burgemeester Oudlaan 50
3062 PA, Rotterdam
Netherlands
Postal address
Postbus 1738
3000 DR, Rotterdam
Netherlands
 

Work in progress

  • Opschoor, A., Dijk, D.J.C. van & Wel, M. van der (2014). Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities. (Discussion Paper 14-090/III). Rotterdam: Tinbergen Institute.
  • Dijk, D.J.C. van, Lumsdaine, R.L. & Wel, M. van der (2014). Market set-up in advance of Federal Reserve policy decisions. (Working Paper 19814). Boston: National Bureau of Economic Research.

Latest publication

Opschoor, A., Wel, M. van der, Dijk, D.J.C. van & Taylor, N. (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185-201.[go to publisher's site]

Latest book

Nonlinear Time Series Analysis of Business Cycles

The business cycle has long been the focus of empirical economic research. Until recently statistical analysis…

Latest news

PhD Defence: Animal Spirits and Extreme Confidence

For any organisation it is important to be aware of managerial biases, such as extreme confidence about corporate performance. In her dissertation entitled Animal Spirits and Extreme Confidence: No Guts, No Glory?,…

Course

Financial Econometrics


Course details and application

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