H.K. (Herman) van Dijk

Full Professor
Erasmus School of Economics
Erasmus University Rotterdam
Affiliate Member ERIM
Field: Finance & Accounting
Affiliated since 2001

Herman K. van Dijk is a professor of econometrics and holds a Personal Chair at Erasmus School of Economics (ESE).

Herman K. van Dijk is director of the Tinbergen Institute. He is listed in the Econometricians Hall of Fame by the Journal Econometric Theory as one of the top ten econometricians in Europe.

His research interests lie in the area of Bayesian inference using simulation techniques, time series econometrics, neural networks, and income distributions.

He is the author of more than 120 international scientific journal papers and reports and a number of books. An honorary fellow of the Tinbergen Institute, he serves on the editorial board of the major journals in econometrics.

Professor van Dijk is the former director of the Econometric Institute. He has extensive experience as managing, co-managing and coordinating research initiatives and conferences.

He has been a visiting fellow and visiting professor at Cambridge University in the UK, the Catholic University of Louvain in Belgium, Harvard University in the US, Duke University in the UK, Cornell University in the UK, and the University of New South Wales in Australia.

He received the Savage Prize for his PhD dissertation.

  • Heij, C., Boer, P.M.C. de, Franses, P.H.B.F., Kloek, T. & Dijk, H.K. van (2004). Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
  • Heij, C., Boer, P.M.C. de, Franses, P.H.B.F., Kloek, T. & Dijk, H.K. van (2004). Solutions Manual for Econometric Methods with Applications in Business and Economics. Oxford: Oxford University Press.
  • Dijk, H.K. van, Harkema, R., Kooiman, P. & Schotman, P.C. (Eds.). (1997). Kritisch & Constructief, 40 jaar grensverkenningen in de econometrie (681). Rotterdam: Erasmus Universiteit Rotterdam.
  • Dijk, H.K. van, Monfort, A. & Brown, B.W. (Eds.). (1995). Econometric Inference using Simulation Techniques. Chichester: John Wiley & Sons.
  • Pooter, M.D. de, Ravazzolo, F., Segers, R. & Dijk, H.K. van (2009). Bayesian Near-Boundary Analysis in Basic Macroeconomic Time-Series Models. In S. Chib, W Griffiths, G. Koop & D. Terrell (Eds.), Advances in Econometrics (Bayesian Econometrics, 23) (pp. 331-402). Bingley: JAI Press.
  • Paap, R. & Dijk, H.K. van (2008). Distribution and Mobility of Wealth of Nations. In D. Chotikapanich (Ed.), Modeling Income Distributions and Lorenz Curves (pp. 71-94). New York: Springer.
  • Harvey, A.C., Trimbur, T.M. & Dijk, H.K. van (2007). Bayes estimates of the cyclical component in twentieth century US gross domestic product. In G.L. Mazzi & G. Savio (Eds.), Growth and cycle in the Eurozone (Palgrave) (pp. 76-89). New York: Palgrave MacMillan.
  • Koop, G., Strachan, R., Dijk, H.K. van & Villani, M. (2006). Bayesian approaches to cointegration. In T.C. Mills & K. Patterson (Eds.), Handbook of Econometrics Vol. 1 (pp. 871-898). Basingstoke: Palgrave MacMillan.
  • Dijk, H.K. van (2003). On Bayesian structural inference in a simultaneous equation model. In B.P. Stigum (Ed.), Econometrics and the philosophy of economics (pp. 642-682). Princeton, New Jersey: Princeton University Press.
  • Kaashoek, J.F. & Dijk, H.K. van (2003). Neural networks: an econometric tool. In D.E.A. Giles (Ed.), Computer-aided econometrics (pp. 351-384). New York - Basel: Marcel Dekker, Inc..
  • Bos, C.S., Mahieu, R.J. & Dijk, H.K. van (2001). On the variation of hedging decisions in daily currency risk management. In I.E. George (Ed.), Bayesian methods with applications to science, policy and official statistics. Selected papers from ISBA 2000: The Sixth World Meeting of the International Society for Bayesian Analysis (pp. 31-40). Luxembourg: European Communities.
  • Dijk, H.K. van (1997). De econometrie van simultane modellen 1956-1997. In H.K. van Dijk, R. Harkema, P. Kooiman & P.C. Schotman (Eds.), Kritisch & Constructief, 40 jaar grensverkenningen in de econometrie (NUGI, 681) (pp. 87-99). Rotterdam: EUR.
  • Koop, G. & Dijk, H.K. van (1997). Testing for Integration using Evolving Trend Models. In A. A.S. (Ed.), Proceedings of the Section on Bayesian Statistical Science (pp. 232-237). Alexandria, VA: American Statistical Association.
  • Montfort, A. & Dijk, H.K. van (1995). Simulation-based econometrics. In H.K. van Dijk, A. Montfort & B.W. Brown (Eds.), Econometric Inference using Simulation Techniques (pp. 1-20). New York: Wiley.
  • Kleibergen, F.R. & Dijk, H.K. van (1995). Non-stationarity in GARCH models: a Bayesian analysis. In H.K. van Dijk, A. Monfort & B.W. Brown (Eds.), Econometric Inference using Simulation Techniques (pp. 57-77). Chichester: John Wiley & Sons.
  • Dijk, H.K. van (2003). On shocks, trends and cycles in industrialized countries in the Twentieth Century. Tinbergen Magazine, 7, 12-15.
Arco van Oord

Essays on Momentum Strategies in Finance

Editorial positions

  • Journal of Applied Econometrics


  • Computational Economics

    Associate Editor

  • Journal of Econometrics

    Associate Editor

  • Econometric Reviews

    Associate Editor


Visiting address

Office: Tinbergen Building H11-05
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam

Latest publication

Basturk, N., Cakmakli, C., Ceyhan, S.P. & Dijk, H.K. van (2014). Posterior-predictive evidence on US inflation using extended New Keynesian Phillips Curve models with non-filtered data. Journal of Applied Econometrics, 29 (7), 1164-1182. doi: http://dx.doi.org/10.1002/jae.2411