D.J.C. (Dick) van Dijk

Full Professor
Erasmus School of Economics
Erasmus University Rotterdam
Fellow ERIM
Field: Finance & Accounting
Affiliated since 2002

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.

  • 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.
  • 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.
  • 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.
  • 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.
  • 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.
  • Franses, P.H.B.F., Dijk, D.J.C. van & Opschoor, A. (2014). Time Series Models for Business and Economics Forecasting. Cambridge: Cambridge University Press.
  • 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.
  • 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.
  • 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.
  • Dijk, D.J.C. van (2007). Goed nieuws is geen nieuws. Oratie (2007, november 15). Rotterdam: ERIM.

Editorial positions

  • Applied Economics

    Associate Editor

  • Journal of Applied Econometrics

    Associate Editor

  • International Journal of Forecasting

    Editor

  • International Journal of Forecasting

    Associate Editor

  • International Journal of Forecasting

    Book Review Editor

Past courses
2012
July
05
2010
July
07
2008
June
27
2007
November
15
ERIM Inaugural Address Research in Management Series
2007
September
28

Address

Visiting address

Office: H11-05
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Work in progress

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.
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

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