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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 (2)
  • Bouwman, K.E., Raviv, E. & Dijk, D.J.C. van (2011). An arithmetic framework for electricity pricing (working paper).
  • 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.
Publications (86)
  • Articles (72)
    • Scholtus, M.L., Dijk, D.J.C. van & Frijns, B. (2014). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. Journal of Banking and Finance, 38, 89-105.
    • Bannouh, K., Martens, M.P.E. & Dijk, D.J.C. van (2013). Forecasting volatility with the realized range in the presence of noise and non-trading. The North American Journal of Economics and Finance, 26, 535-551.
    • Bannouh, K., Martens, M.P.E. & Dijk, D.J.C. van (2013). Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. The North American Journal of Economics and Finance, 26, 535-551.
    • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2013). Structural breaks in the international dynamics of inflation. The Review of Economics and Statistics, 95, 646-659.
    • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2013). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. Oxford Bulletin of Economics and Statistics, to appear.
    • Cakmakli, C., Paap, R. & Dijk, D.J.C. van (2013). Measuring and predicting heterogeneous recessions. Journal of Economic Dynamics and Control, 37, 2195-2216.
    • Dijk, D.J.C. van, Koopman, S.J., Wel, M. van der & Wright, J (2013). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, to appear.
    • Exterkate, P., Dijk, D.J.C. van, Heij, C. & Groenen, P.J.F. (2013). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting, 32(2011), 193-214.[go to publisher's site]
    • Fidrmuc, J., Palandri, A., Roosenboom, P.G.J. & Dijk, D.J.C. van (2013). When do managers seek private equity backing in public-to-private transactions? Review of Finance, 17(3), 1099-1139.[go to publisher's site]
    • Hauwe, S. van den, Paap, R. & Dijk, D.J.C. van (2013). Bayesian forecasting of federal funds target rate decisions. Journal of Macroeconomics, 37, 19-40.
    • Schauten, M.B.J., Dijk, D.J.C. van & Waal, J.P. van der (2013). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms. European Financial Management, 19, 991-1016.[go to publisher's site]
    • Basturk, N., Paap, R. & Dijk, D.J.C. van (2012). Structural differences in economic growth: An endogenous clustering approach. Applied Economics, 44(1), 119-134.[go to publisher's site]
    • Santos, A.A.P., Nogales, F.J., Ruiz, Esther & Dijk, D.J.C. van (2012). Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36(7), 1928-1942.
    • Schauten, M.B.J. & Dijk, D.J.C. van (2012). Corporate governance interactions and the cost of debt of large European firms. In MET.
    • Zwart, G.J. de, Frieser, B.I. & Dijk, D.J.C. van (2012). Private equity recommitment strategies for institutional investors. Financial Analysts Journal, 68(3), 81-99.
    • Dijk, A. van, Franses, P.H.B.F., Paap, R. & Dijk, D.J.C. van (2011). Modeling Regional House Prices. Applied Economics, 43(17), 2097-2110.[go to publisher's site]
    • Dijk, D.J.C. van, Munandar, M.I.S.H. & Hafner, C.M. (2011). The euro introduction and non-euro currencies. Applied Financial Economics, 21(1-2), 95-116.
    • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails. Journal of Econometrics, 163(2), 215-230.
    • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2011). Forecasting with leading indicators by means of the principal covariate index. Journal of Business Cycle Measurement and Analysis, 4(1), 73-92.[go to publisher's site]
    • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2011). Real-time macroeconomic forecasting with leading indicators: An empirical comparison. International Journal of Forecasting, 27(2), 466-481.[go to publisher's site]
    • Boswijk, H.P., Franses, P.H.B.F. & Dijk, D.J.C. van (2010). Cointegration in a historical perspective. Journal of Econometrics, 158(1), 156-159.
    • Boswijk, H.P., Franses, P.H.B.F. & Dijk, D.J.C. van (2010). Twenty years of cointegration. Journal of Econometrics, 158(1), 1-2.
    • Chulia-Soler, H., Martens, M.P.E. & Dijk, D.J.C. van (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking and Finance, 34(4), 834-839.[go to publisher's site]
    • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2010). Out-of-sample comparison of copula specifications in multivariate density forecasts. Journal of Economic Dynamics and Control, 34(9), 1596-1609.
    • Lord, R., Koekkoek, R. & Dijk, D.J.C. van (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. Quantitative Finance, 10(2), 177-194.
    • Watkins, K., Dijk, D.J.C. van & Spronk, J. (2010). Corporate governance and performance during normal and crisis periods: evidence from an emerging market perspective. International Journal of Corporate Governance, 1(4), 382-399.
    • Bannouh, K., Dijk, D.J.C. van & Martens, M.P.E. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7(4), 341-372.
    • Clements, M.P., Milas, C. & Dijk, D.J.C. van (2009). Forecasting returns and risk in financial markets using linear and nonlinear models. International Journal of Forecasting, 25(2), 215-217.
    • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33(11), 1996-2012.
    • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (2009). Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. International Journal of Forecasting, 25(2), 282-303.
    • Musso, A., Stracca, L. & Dijk, D.J.C. van (2009). Instability and nonlinearity in the euro area Phillips curve. International Journal of Central Banking, 5(2), 181-212.
    • Paap, R., Segers, R. & Dijk, D.J.C. van (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4), 528-543.
    • Spronk, J., Watkins, K. & Dijk, D.J.C. van (2009). Crisis Macroeconómica y desempeño de la empresa individual. Trimestre Economico, LXXVI(304), 991-1026.
    • Zwart, G.J. de, Markwat, T.D., Swinkels, L.A.P. & Dijk, D.J.C. van (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28(4), 581-604.[go to publisher's site]
    • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2008). Macroeconomic forecasting with matched principal components. International Journal of Forecasting, 24(1), 87-100.
    • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (2008). Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? Econometric Reviews, 27(1-3), 199-229.
    • Dijk, D.J.C. van, Franses, P.H.B.F. & Boswijk, H.P. (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics & Data Analysis, 51(9), 4206-4226.
    • Fidrmuc - Pal'agova, J.P., Roosenboom, P.G.J. & Dijk, D.J.C. van (2007). Private equity fondsen en publiek naar privaat transacties. MAB, 81(7/8), 323-334.
    • Giordani, P., Kohn, R. & Dijk, D.J.C. van (2007). A unified approach to nonlinearity, structural change, and outliers. Journal of Econometrics, 137(1), 112-133.
    • Heij, C., Groenen, P.J.F. & Dijk, D.J.C. van (2007). Forecast comparison of principal component regression and principal covariate regression. Computational Statistics & Data Analysis, 51(7), 3612-3625.
    • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1), 181-207.
    • Franses, P.H.B.F. & Dijk, D.J.C. van (2006). A simple test for PPP among traded goods. Applied Financial Economics, 16(1/2), 19-27.
    • Harvey, D.I. & Dijk, D.J.C. van (2006). Sample size, lag order and critical values of seasonal unit root tests. Computational Statistics & Data Analysis, 50, 2734-2751.
    • Knoops, C.D. & Dijk, D.J.C. van (2006). Characteristics of firms restating financial statements. Evidence from non-US firms. In 29th Annual Congres of the European Accounting Association.
    • Swanson, N.R. & Dijk, D.J.C. van (2006). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. Journal of Business and Economic Statistics, 24(1), 24-42.
    • Dijk, D.J.C. van, Dijk, H.K. van & Franses, P.H.B.F. (2005). On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20(2), 147-150.
    • Dijk, D.J.C. van, Osborn, D.R. & Sensier, M. (2005). Testing for causality in variance in the presence of breaks. Economics Letters, 89(2), 193-199.
    • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). A multi-level panel STAR model for US manufacturing sectors. Journal of Applied Econometrics, 20(6), 811-827.
    • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). Forecasting aggregate using panels of nonlinear time series. International Journal of Forecasting, 21(4), 785-794.
    • Franses, P.H.B.F. & Dijk, D.J.C. van (2005). The forecasting performance of various models for seasonality and non-linearity for quarterly industrial production. International Journal of Forecasting, 21(2), 87-102.
    • Hart, J. van der, Zwart, G. de & Dijk, D.J.C. van (2005). The succes of stock selection strategies in emerging markets: is it risk or behavioral bias? Emerging Markets Review, 6(3), 238-262.
    • Paap, R., Franses, P.H.B.F. & Dijk, D.J.C. van (2005). Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method. Journal of Development Economics, 77(2), 553-570.
    • Terasvirta, T., Dijk, D.J.C. van & Medeiros, M. (2005). A Reply to Comments on: "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination" - Reply. International Journal of Forecasting, 21(4), 781-783.
    • Terasvirta, T., Dijk, D.J.C. van & Medeiros, M. (2005). Linear models, smooth transition autoregression, and neural networks for forecasting macroeconomic time series: A re-examination. International Journal of Forecasting, 21(4), 755-783.
    • Franses, P.H.B.F., Dijk, D.J.C. van & Lucas, A. (2004). Short patches of outliers, ARCH and volatility modelling. Applied Financial Economics, 14(4), 221-231.
    • Sensier, M. & Dijk, D.J.C. van (2004). Testing for volatility changes in U.S. macroeconomic time series. The Review of Economics and Statistics, 86(3), 833-839.
    • Clements, M.P., Franses, P.H.B.F., Smith, J. & Dijk, D.J.C. van (2003). On SETAR non-linearity and forecasting. Journal of Forecasting, 22(5), 359-376.
    • Dijk, D.J.C. van, Strikholm, B. & Teräsvirta, T. (2003). The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. Econometrics Journal, 6(1), 79-98.
    • Dijk, D.J.C. van & Franses, P.H.B.F. (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy. Oxford Bulletin of Economics and Statistics, 65(Supplement), 727-744.
    • Hart, J. van der, Slagter, E. & Dijk, D.J.C. van (2003). Stock selection strategies in emerging markets. Journal of Empirical Finance, 10(1-2), 105-132.
    • Lundbergh, S., Teräsvirta, T. & Dijk, D.J.C. van (2003). Time-varying smooth transition autoregressive models. Journal of Business and Economic Statistics, 21(1), 104-121.
    • Dijk, D.J.C. van, Teräsvirta, T. & Franses, P.H.B.F. (2002). Smooth transition autoregressive models - a survey of recent developments. Econometric Reviews, 21(1), 1-47.
    • Dijk, D.J.C. van, Franses, P.H.B.F. & Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment. Journal of Econometrics, 110(2), 135-165.
    • Taylor, A.M.R. & Dijk, D.J.C. van (2002). Can tests for stochastic unit roots provide useful portmanteau tests for persistence? Oxford Bulletin of Economics and Statistics, 64(4), 381-397.
    • Franses, P.H.B.F., Neele, J. & Dijk, D.J.C. van (2001). Modeling asymmetric volatility in weekly Dutch temperature data. Environmental Modelling & Software, 16(2), 131-137.
    • Rothman, P., Dijk, D.J.C. van & Franses, P.H.B.F. (2001). Multivariate star analysis of money-output relationship. Macroeconomic Dynamics, 5, 506-532.
    • Dijk, D.J.C. van & Franses, P.H.B.F. (2000). Nonlinear error-correction models for interest rates in the Netherlands. In W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Teräsvirta, D. Tjostheim & A.H. Würtz (Eds.), Nonlinear econometric modeling in time series analysis. Proceedings of the Eleventh International Symposium in Economic Theory and Econometrics (pp. 203-227). Cambridge: Cambridge University Press.
    • Taylor, N., Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (2000). SETS, arbitrage activity, and stock price dynamics. Journal of Banking and Finance, 24(8), 1289-1306.
    • Dijk, D.J.C. van & Franses, P.H.B.F. (1999). Modeling multiple regimes in the business cycle. Macroeconomic Dynamics, 3, 311-340.
    • Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (1999). Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics, 14, 539-562.
    • Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers. Journal of Business and Economic Statistics, 17(2), 217-235.
    • Dijk, D.J.C. van & Franses, P.H.B.F. (1996). Forecasting stock market volatility using (nonlinear) GARCH models. Journal of Forecasting, 15, 229-235.
  • 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.
  • Professional publications
    • Exterkate, P., Dijk, D.J.C. van, Heij, C. & Groenen, P.J.F. (2013). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. (EI reprint serie EI-1609). Rotterdam: Econometric Institute.
  • 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

  • Bouwman, K.E., Raviv, E. & Dijk, D.J.C. van (2011). An arithmetic framework for electricity pricing (working paper).
  • 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.

Latest publication

Scholtus, M.L., Dijk, D.J.C. van & Frijns, B. (2014). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. Journal of Banking and Finance, 38, 89-105.

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


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