Prof. dr. D.J.C. (Dick) van Dijk

Dick van Dijk
Erasmus School of Economics (ESE)
Erasmus University Rotterdam
Fellow ERIM
Field: Finance & Accounting
Affiliated since 2002

Dick van Dijk is a professor of financial econometrics at the Econometric Institute, 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 *Economic Journal*, *International Journal of Forecasting*, *Journal of Applied Econometrics*, *Journal of Business and Economic Statistics*, *Journal of Econometrics*, *Review of Economics and Statistics,* and *Review of Finance*. He received his PhD in econometrics cum laude from Erasmus University Rotterdam in 1999.

Publications

Article (83)

  • Academic (83)

    • Barendse, S., Kole, E., & van Dijk, D. (2023). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. Journal of Financial Econometrics, 21(2), 528-568. Article nbab008. https://doi.org/10.1093/jjfinec/nbab008

    • Franses, P. H., & van Dijk, D. (2019). Combining expert-adjusted forecasts. Journal of Forecasting, 38(5), 415-421. https://doi.org/10.1002/for.2570

    • Janus, P., Lucas, A., Opschoor, A., & van Dijk, D. (2018). New HEAVY models for fat-tailed realized covariances and returns. Journal of Business and Economic Statistics, 36(4), 643-657. https://doi.org/10.1080/07350015.2016.1245622

    • Kole, E., Markwat, TD., Opschoor, A., & van Dijk, D. (2017). Forecasting Value-at-Risk under temporal and portfolio aggregation. Journal of Financial Econometrics, 15(4), 649-677. https://doi.org/10.1093/jjfinec/nbx019

    • Ozturk, SR., van der Wel, M., & van Dijk, D. (2017). Intraday price discovery in fragmented markets. Journal of Financial Markets, 32(1), 28-48. https://doi.org/10.1016/j.finmar.2016.10.001

    • Opschoor, A., van Dijk, D., & van der Wel, M. (2017). Combining density forecasts using focused scoring rules. Journal of Applied Econometrics, 32(7), 1298-1313. https://doi.org/10.1002/jae.2575

    • Kole, E., & van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1), 120-139. https://doi.org/10.1002/jae.2511

    • Cakmakli, C., & van Dijk, D. (2016). Getting the most out of macroeconomics information for predicting excess stock returns. International Journal of Forecasting, 32(1), 650-668. https://doi.org/10.1016/j.ijforecast.2015.10.001

    • van Dijk, D., Lumsdaine, R., & van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions. The Economic Journal, 126(592), 618-653. https://doi.org/10.1111/ecoj.12372

    • Exterkate, P., Groenen, P., Heij, C., & van Dijk, D. (2016). Nonlinear forecasting with many predictors using kernel ridge regression. International Journal of Forecasting, 32(3), 736-753. https://doi.org/10.1016/j.ijforecast.2015.11.017

    • Raviv, E., Bouwman, K., & van Dijk, D. (2015). Forecasting day-ahead electricity prices: Utilizing hourly prices. Energy Economics, 50, 227-239. https://doi.org/10.1016/j.eneco.2015.05.014

    • Opschoor, A., van der Wel, M., van Dijk, D., & Taylor, N. (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185-201. https://doi.org/10.1016/j.jempfin.2014.07.002

    • van Dijk, D., Koopman, SJ., van der Wel, M., & Wright, J. (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29, 693-712. https://doi.org/10.1002/jae.2358

    • Opschoor, A., van Dijk, D., & van der Wel, M. (2014). Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435-447. https://doi.org/10.1016/j.jempfin.2014.10.003

    • Scholtus, ML., van Dijk, D., & Frijns, B. (2014). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. Journal of Banking and Finance, 38, 89-105. https://doi.org/10.1016/j.jbankfin.2013.09.016

    • Diks, C., Panchenko, V., Sokolinskiy, O., & van Dijk, D. (2014). Comparing the accuracy of multivariate density forecasts in selected regions of the copula support. Journal of Economic Dynamics and Control, 48, 79-94. https://doi.org/10.1016/j.jedc.2014.08.021

    • Ferrara, L., & van Dijk, D. (2014). Forecasting the business cycle. International Journal of Forecasting, 30(3), 517-519. https://doi.org/10.1016/j.ijforecast.2013.12.001

    • Bataa, E., Osborn, DR., Sensier, M., & van Dijk, D. (2013). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. Oxford Bulletin of Economics and Statistics, 76(3), 360-388. https://doi.org/10.1111/obes.12021

    • Schauten, M., van Dijk, D., & van der Waal, JP. (2013). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms. European Financial Management, 19(5), 991-1016. https://doi.org/10.1111/j.1468-036X.2011.00615.x

    • Exterkate, P., van Dijk, D., Heij, C., & Groenen, P. (2013). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting, 32(2013), 193-214. https://doi.org/10.1002/for.1258

    • Bataa, E., Osborn, DR., Sensier, M., & van Dijk, D. (2013). Structural breaks in the international dynamics of inflation. The Review of Economics and Statistics, 95(2), 646-659. https://doi.org/10.1162/REST_a_00261

    • Fidrmuc, J., Palandri, A., Roosenboom, P., & van Dijk, D. (2013). When do managers seek private equity backing in public-to-private transactions? Review of Finance, 17(3), 1099-1139. https://doi.org/10.1093/rof/rfs021

    • Cakmakli, C., Paap, R., & van Dijk, D. (2013). Measuring and predicting heterogeneous recessions. Journal of Economic Dynamics and Control, 37, 2195-2216. https://doi.org/10.1016/j.jedc.2013.06.004

    • van den Hauwe, S., Paap, R., & van Dijk, D. (2013). Bayesian forecasting of federal funds target rate decisions. Journal of Macroeconomics, 37, 19-40. https://doi.org/10.1016/j.jmacro.2013.05.001

    • Bannouh, K., Martens, MPE., & van Dijk, D. (2013). Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. The North American Journal of Economics and Finance, 26(december), 535-551. https://doi.org/10.1016/j.najef.2013.02.020

    • Basturk, N., Paap, R., & van Dijk, D. (2012). Structural differences in economic growth: An endogenous clustering approach. Applied Economics, 44(1), 119-134. https://doi.org/10.1080/00036846.2010.500274

    • de Zwart, GJ., Frieser, BI., & van Dijk, D. (2012). Private equity recommitment strategies for institutional investors. Financial Analysts Journal, 68(3), 81-99. https://doi.org/10.2469/faj.v68.n3.1

    • Santos, AAP., Nogales, FJ., Ruiz, E., & van Dijk, D. (2012). Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36(7), 1928-1942. https://doi.org/10.1016/j.jbankfin.2012.03.001

    • van Dijk, A., Franses, P. H., Paap, R., & van Dijk, D. (2011). Modeling Regional House Prices. Applied Economics, 43(17), 2097-2110. https://doi.org/10.1080/00036840903085089

    • Heij, C., van Dijk, D., & Groenen, P. (2011). Real-time macroeconomic forecasting with leading indicators: An empirical comparison. International Journal of Forecasting, 27(2), 466-481. https://doi.org/10.1016/j.ijforecast.2010.04.008

    • van Dijk, D., Munandar, MISH., & Hafner, CM. (2011). The euro introduction and non-euro currencies. Applied Financial Economics, 21(1-2), 95-116. https://doi.org/10.1080/09603107.2011.523197

    • Heij, C., van Dijk, D., & Groenen, P. (2011). Forecasting with leading indicators by means of the principal covariate index. Journal of Business Cycle Measurement and Analysis, 4(1), 73-92. https://doi.org/10.1787/jbcma-2011-5kgdwlpzs79v

    • Diks, C., Panchenko, V., & van Dijk, D. (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails. Journal of Econometrics, 163(2), 215-230. https://doi.org/10.1016/j.jeconom.2011.04.001

    • Chulia-Soler, H., Martens, MPE., & van Dijk, D. (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. https://doi.org/10.1016/j.jbankfin.2009.09.012

    • Lord, R., Koekkoek, R., & van Dijk, D. (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. Quantitative Finance, 10(2), 177-194. https://doi.org/10.1080/14697680802392496

    • Watkins, K., van Dijk, D., & 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. https://doi.org/10.1504/IJCG.2009.032726

    • Boswijk, HP., Franses, P. H., & van Dijk, D. (2010). Twenty years of cointegration. Journal of Econometrics, 158(1), 1-2. https://doi.org/10.1016/j.jeconom.2010.03.001

    • Boswijk, HP., Franses, P. H., & van Dijk, D. (2010). Cointegration in a historical perspective. Journal of Econometrics, 158(1), 156-159. https://doi.org/10.1016/j.jeconom.2010.03.025

    • Diks, C., Panchenko, V., & van Dijk, D. (2010). Out-of-sample comparison of copula specifications in multivariate density forecasts. Journal of Economic Dynamics and Control, 34(9), 1596-1609. https://doi.org/10.1016/j.jedc.2010.06.021

    • Martens, MPE., van Dijk, D., & de Pooter, MD. (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. https://doi.org/10.1016/j.ijforecast.2009.01.010

    • Clements, MP., Milas, C., & van Dijk, D. (2009). Forecasting returns and risk in financial markets using linear and nonlinear models. International Journal of Forecasting, 25(2), 215-217. https://doi.org/10.1016/j.ijforecast.2009.01.003

    • Musso, A., Stracca, L., & van Dijk, D. (2009). Instability and nonlinearity in the euro area Phillips curve. International Journal of Central Banking, 5(2), 181-212.

    • de Zwart, GJ., Markwat, TD., Swinkels, L., & van Dijk, D. (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28(4), 581-604. https://doi.org/10.1016/j.jimonfin.2009.01.004

    • Bannouh, K., van Dijk, D., & Martens, MPE. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7(4), 341-372. https://doi.org/10.1093/jjfinec/nbp012

    • Markwat, TD., Kole, E., & van Dijk, D. (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33(11), 1996-2012. https://doi.org/10.1016/j.jbankfin.2009.05.008

    • Paap, R., Segers, R., & van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4), 528-543. https://doi.org/10.1198/jbes.2009.07061

    • Spronk, J., Watkins, K., & van Dijk, D. (2009). Crisis Macroeconómica y desempeño de la empresa individual. Trimestre Economico, LXXVI(304), 991-1026.

    • de Pooter, MD., Martens, MPE., & van Dijk, D. (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. https://doi.org/10.1080/07474930701873333

    • Heij, C., van Dijk, D., & Groenen, P. (2008). Macroeconomic forecasting with matched principal components. International Journal of Forecasting, 24(1), 87-100. https://doi.org/10.1016/j.ijforecast.2007.08.005

    • Giordani, P., Kohn, R., & van Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers. Journal of Econometrics, 137(1), 112-133. https://doi.org/10.1016/j.jeconom.2006.03.013

    • Heij, C., Groenen, P., & van Dijk, D. (2007). Forecast comparison of principal component regression and principal covariate regression. Computational Statistics & Data Analysis, 51(7), 3612-3625. https://doi.org/10.1016/j.csda.2006.10.019

    • Martens, MPE., & van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1), 181-207. https://doi.org/10.1016/j.jeconom.2006.05.019

    • van Dijk, D., Franses, P. H., & Boswijk, HP. (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics & Data Analysis, 51(9), 4206-4226. https://doi.org/10.1016/j.csda.2006.04.033

    • Fidrmuc - Pal'agova, JP., Roosenboom, P., & van Dijk, D. (2007). Private equity fondsen en publiek naar privaat transacties. MAB, 81(7/8), 323-334.

    • Franses, P. H., & van Dijk, D. (2006). A simple test for PPP among traded goods. Applied Financial Economics, 16(1/2), 19-27.

    • Harvey, DI., & van Dijk, D. (2006). Sample size, lag order and critical values of seasonal unit root tests. Computational Statistics & Data Analysis, 50, 2734-2751. https://doi.org/10.1016/j.csda.2005.04.011

    • Swanson, NR., & van Dijk, D. (2006). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. Journal of Business and Economic Statistics, 24(1), 24-42. https://doi.org/10.1198/073500105000000036

    • Franses, P. H., & van Dijk, D. (2005). The forecasting performance of various models for seasonality and non-linearity for quarterly industrial production. International Journal of Forecasting, 21(2), 87-102.

    • van Dijk, D., van Dijk, H., & Franses, P. H. (2005). On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20(2), 147-150. https://doi.org/10.1002/jae.844

    • Fok, D., van Dijk, D., & Franses, P. H. (2005). A multi-level panel STAR model for US manufacturing sectors. Journal of Applied Econometrics, 20(6), 811-827. https://doi.org/10.1002/jae.822

    • Fok, D., van Dijk, D., & Franses, P. H. (2005). Forecasting aggregate using panels of nonlinear time series. International Journal of Forecasting, 21(4), 785-794. https://doi.org/10.1016/j.ijforecast.2005.04.015

    • Paap, R., Franses, P. H., & van Dijk, D. (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. https://doi.org/10.1016/j.jdeveco.2004.05.001

    • Terasvirta, T., van Dijk, D., & 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. https://doi.org/10.1016/j.ijforecast.2005.04.010

    • van Dijk, D., Osborn, DR., & Sensier, M. (2005). Testing for causality in variance in the presence of breaks. Economics Letters, 89(2), 193-199. https://doi.org/10.1016/j.econlet.2005.05.029

    • Hart, J., de Zwart, G., & van Dijk, D. (2005). The succes of stock selection strategies in emerging markets: is it risk or behavioral bias? Emerging Markets Review, 6(3), 238-262. https://doi.org/10.1016/j.ememar.2005.05.002

    • Terasvirta, T., van Dijk, D., & 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. https://doi.org/10.1016/j.ijforecast.2005.04.011

    • Sensier, M., & van Dijk, D. (2004). Testing for volatility changes in U.S. macroeconomic time series. The Review of Economics and Statistics, 86(3), 833-839. https://doi.org/10.1162/0034653041811752

    • Franses, P. H., van Dijk, D., & Lucas, A. (2004). Short patches of outliers, ARCH and volatility modelling. Applied Financial Economics, 14(4), 221-231. https://doi.org/10.1080/0960310042000201174

    • Lundbergh, S., Teräsvirta, T., & van Dijk, D. (2003). Time-varying smooth transition autoregressive models. Journal of Business and Economic Statistics, 21(1), 104-121. https://doi.org/10.1198/073500102288618810

    • Hart, J., Slagter, E., & van Dijk, D. (2003). Stock selection strategies in emerging markets. Journal of Empirical Finance, 10(1-2), 105-132. https://doi.org/10.1016/S0927-5398(02)00022-1

    • van Dijk, D., 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.

    • Clements, MP., Franses, P. H., Smith, J., & van Dijk, D. (2003). On SETAR non-linearity and forecasting. Journal of Forecasting, 22(5), 359-376. https://doi.org/10.1002/for.863

    • van Dijk, D., & Franses, P. H. (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy. Oxford Bulletin of Economics and Statistics, 65(Supplement), 727-744. https://doi.org/10.1046/j.0305-9049.2003.00091.x

    • van Dijk, D., Teräsvirta, T., & Franses, P. H. (2002). Smooth transition autoregressive models - a survey of recent developments. Econometric Reviews, 21(1), 1-47.

    • van Dijk, D., Franses, P. H., & Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment. Journal of Econometrics, 110(2), 135-165. https://doi.org/10.1016/S0304-4076(02)00090-8

    • Taylor, AMR., & van Dijk, D. (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., Neele, J., & van Dijk, D. (2001). Modeling asymmetric volatility in weekly Dutch temperature data. Environmental Modelling & Software, 16(2), 131-137. https://doi.org/10.1016/S1364-8152(00)00076-1

    • Rothman, P., van Dijk, D., & Franses, P. H. (2001). Multivariate star analysis of money-output relationship. Macroeconomic Dynamics, 5, 506-532.

    • Taylor, N., van Dijk, D., Franses, P. H., & Lucas, A. (2000). SETS, arbitrage activity, and stock price dynamics. Journal of Banking and Finance, 24(8), 1289-1306. https://doi.org/10.1016/S0378-4266(99)00073-4

    • van Dijk, D., Franses, P. H., & Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers. Journal of Business and Economic Statistics, 17(2), 217-235.

    • van Dijk, D., Franses, P. H., & Lucas, A. (1999). Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics, 14, 539-562.

    • van Dijk, D., & Franses, P. H. (1999). Modeling multiple regimes in the business cycle. Macroeconomic Dynamics, 3, 311-340.

    • van Dijk, D., & Franses, P. H. (1996). Forecasting stock market volatility using (nonlinear) GARCH models. Journal of Forecasting, 15, 229-235.

Book (1)

  • Academic (1)

    • Franses, P. H., & van Dijk, D. (2000). Non-linear time series models in empirical finance. Cambridge University Press.

Book/Film/Article review (1)

Chapter (11)

  • Academic (11)

    • van der Wel, M., Ozturk, SR., & van Dijk, D. (2016). Dynamic factor models for the volatility surface. In E. Hillebrand, & S. J. Koopman (Eds.), Dynamic Factor Models (pp. 127-174). Emerald Group Publishing. https://doi.org/10.1108/S0731-905320150000035004

    • Scholtus, ML., & van Dijk, D. (2015). High-frequency activity on NASDAQ. In G. N. Gregoriou (Ed.), The Handbook of High-Frequency Trading (pp. 3-23). Academic Press.

    • Franses, P. H., & van Dijk, D. (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., van Dijk, D., & Franses, P. H. (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 (pp. 561-594). Emerald Group Publishing.

    • Fidrmuc - Pal'agova, JP., Roosenboom, P., & van Dijk, D. (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 Center for Corporate Finance.

    • Hafner, CM., van Dijk, D., & Franses, P. H. (2006). Semiparametric modelling of correlation dynamics. In D. Terrell, & T. Fomby (Eds.), Advances in Econometrics Volume 20 (pp. 59-103). JAI Press/Elsevier.

    • Osborn, DR., Sensier, M., & van Dijk, D. (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). CEPR.

    • Teräsvirta, T., Strikholm, B., & van Dijk, D. (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 (pp. 229-246). Statistics Finland.

    • Teräsvirta, T., & van Dijk, D. (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). The Research Institute of the Finnish Economy.

    • Eisinga, R., Franses, P. H., & van Dijk, D. (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). University of Michigan Press.

    • Franses, P. H., & van Dijk, D. (1997). Comment on smooth transition models by T. Terasvirta. In C. Heij, H. Schumacher, B. Hanzon, & K. Praagman (Eds.), System dynamics in economic and financial models (pp. 125-127). John Wiley & Sons Inc..

Conference proceeding (3)

  • Academic (3)

    • Schauten, M., & van Dijk, D. (2012). Corporate governance interactions and the cost of debt of large European firms. In MET

    • Knoops, C., & van Dijk, D. (2006). Characteristics of firms restating financial statements. Evidence from non-US firms. In 29th Annual Congres of the European Accounting Association

    • van Dijk, D., & Franses, P. H. (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 University Press.

Report (49)

  • Academic (49)

    • Giordani, P., Kohn, J., & van Dijk, D. (2006). A unified approach to nonlinearity outliers and structural breaks. (Econometric Institute Report Serie 2005-09 ed.) Econometrics. Econometric Institute Report Serie Vol. 2005-09

    • Heij, C., Groenen, P., & van Dijk, D. (2005). Forecast comparison of principal component regression and principal covariate regression. (Econometric Institute Report Serie EI 2005-28 ed.) Econometrics. Econometric Institute Report Serie Vol. EI 2005-28

    • van Dijk, D., Osborn, DR., & Sensier, M. (2005). Testing for causality in variance in the presence of breaks. (Econometric Institute Reprint Serie 2005-1371 ed.) Econometrics. Econometric Institute Reprint Serie Vol. 2005-1371

    • Paap, R., Franses, P. H., & van Dijk, D. (2005). Does Africa grow slower than Asia, Latin America and the Middle East? Evidence from a new data-based classification method. (Econometric Institute Reprint Serie 2005-1356 ed.) Econometrics. Econometric Institute Reprint Serie Vol. 2005-1356

    • Franses, P. H., & van Dijk, D. (2005). The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production. Econometrics. Econometric Institute Reprint Serie

    • de Pooter, MD., Martens, MPE., & van Dijk, D. (2005). Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? (Tinbergen Institute Discussion Papers 05-089/4 ed.) Econometrics. Tinbergen Institute Discussion Papers Vol. 05-089/4

    • Hafner, CM., van Dijk, D., & Franses, P. H. (2005). Semi-parametric modelling of correlation dynamics. (Econometric Institute Report Serie EI 2005-26 ed.) Econometrics. Econometric Institute Report Serie Vol. EI 2005-26

    • van Dijk, D., Munandar, MISH., & Hafner, CM. (2005). The euro introduction and non-euro currencies. (Tinbergen Institute Discussion Papers 05-044/4 ed.) Econometrics. Tinbergen Institute Discussion Papers Vol. 05-044/4

    • Gonzalez, A., Terasvirta, T., & van Dijk, D. (2005). Panel smooth transition regression models. (SSE/EFI Working Paper Series in Economics and Finance 604 ed.) Econometrics. SSE/EFI Working Paper Series in Economics and Finance Vol. 604

    • Terasvirta, T., van Dijk, D., & Medeiros, M. (2005). Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: a re-axamination. (Econometric Institute Reprint Serie 2005-1377 ed.) Econometrics. Econometric Institute Reprint Serie Vol. 2005-1377

    • Watkins, K., van Dijk, D., & Spronk, J. (2004). Macroeconomic crisis and individual firm performance: The Mexican experience. (Discussion Paper Tinbergen Institute 2004-057/2 ed.) Discussion Paper Tinbergen Institute Vol. 2004-057/2

    • de Pooter, MD., & van Dijk, D. (2004). Testing for changes in volatility in heteroskedastic time series - A further examination. (Econometric Institute EI 2004-38 ed.) Econometric Institute Vol. EI 2004-38

    • Martens, MPE., van Dijk, D., & de Pooter, MD. (2004). Modeling and forecasting S&P 500 volatility: long memory, structural breaks and nonlinearity. (Econometric Institute Report 067/4 ed.) Econometric Institute Report Vol. 067/4

    • Fok, D., van Dijk, D., & Franses, P. H. (2004). Forecasting aggregates using panels of nonlinear time series. (Econometric Institute EI 2004-44 ed.) Econometric Institute Vol. EI 2004-44

    • van Dijk, D., Osborn, DR., & Sensier, M. (2004). Testing for causality in variance in the presence of breaks. (Econometric Institute EI 2004-48 ed.) Econometrics. Econometric Institute Vol. EI 2004-48

    • Medeiros, M., van Dijk, D., & Terasvirta, T. (2004). Linear models, smooth transitition autoregressions, and neural networks for forecasting macroeconomic time series. (SSE/EFI Working Paper Series in Economics and Finance 561 ed.) Stockholm School of Economics. SSE/EFI Working Paper Series in Economics and Finance Vol. 561

    • van Dijk, D., & Harvey, AC. (2003). Sample size, lag order and critical values of seasonal unit root tests. University of Loughborough.

    • van Dijk, D., Osborn, DR., & Sensier, M. (2003). Predicting growth cycle regimes for European countries. (Research Discussion Paper Series No. 39 ed.) University of Manchester. Research Discussion Paper Series Vol. No. 39

    • van Dijk, D., & Sensier, M. (2003). Testing for volatility changes in US macroeconomic time series. (Research Discussion Paper Series No. 36 ed.) University of Manchester. Research Discussion Paper Series Vol. No. 36

    • van Dijk, D., Fok, D., & Franses, P. H. (2003). A multi-level panel smooth transition autoregression for US sectoral production.

    • Paap, R., Franses, P. H., & van Dijk, D. (2003). Does Africa grow slower than Asia and Latin America? (Econometric Institute EI 2003-07 ed.) Econometric Institute Vol. EI 2003-07

    • van Dijk, D., & Franses, P. H. (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy. (Econometric Institute EI 2003-10 ed.) Econometric Institute Vol. EI 2003-10

    • Siliverstovs, B., & van Dijk, D. (2003). Forecasting industrial production with linear, nonlinear, and structural change models. (Ecomometric Institute EI 2003-16 ed.) Ecomometric Institute Vol. EI 2003-16

    • Franses, P. H., & van Dijk, D. (2002). A simple test for PPP among traded goods. (Econometric Institute 2002-2/A ed.) Econometric Institute Vol. 2002-2/A

    • van Dijk, D., Osborn, DR., & Sensier, M. (2002). Changes in variability of the business cycle in the G7 countries. (Econometric Institute 2002-28/A ed.) Econometric Institute Vol. 2002-28/A

    • Franses, P. H., & van Dijk, D. (2001). The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production. (Econometric Institute EI 2001-14 ed.) Econometric Institute Vol. EI 2001-14

    • Sensier, M., & van Dijk, D. (2001). Short-term volatility versus long-term growth: evidence in US macroeconomic time series. (Econometric Institute EI 2001-11 ed.) Econometric Institute Vol. EI 2001-11

    • van Dijk, D., & Strikholm, B. (2001). The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. (Econometric Institute EI 2001-12 ed.) Econometric Institute Vol. EI 2001-12

    • Swanson, NR., & van Dijk, D. (2001). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. (Econometric Institute EI 2001-28 ed.) Econometric Institute Vol. EI 2001-28

    • van Dijk, D., Franses, P. H., & Boswijk, HP. (2000). Asymmetric and common absorption of shocks in nonlinear autoregressive models. (Econometric Institute 2000-01/A ed.) Econometric Institute Vol. 2000-01/A

    • Franses, P. H., de Bruin, PT., & van Dijk, D. (2000). Seasonal smooth transition autoregression. (Econometric Institute 2000-06/A ed.) Econometric Institute Vol. 2000-06/A

    • van Dijk, D., Teräsvirta, T., & Franses, P. H. (2000). Smooth transition autoregressive models - A survey of recent developments. (Econometric Institute 2000-23/A ed.) Econometric Institute Vol. 2000-23/A

    • van Dijk, D., Franses, P. H., & Paap, R. (2000). A nonlinear long memory model for US unemployment. (Econometric Institute 2000-30/A ed.) Econometric Institute Vol. 2000-30/A

    • Berben, R.-P., & van Dijk, D. (1999). Unit root tests and asymetric adjustment - a reassessment. (Econometric Institute 9902/A ed.) Econometric Institute Vol. 9902/A

    • Taylor, AMR., & van Dijk, D. (1999). Testing for stochastic unit roots - some Monte Carlo evidence. (Econometric Institute 9922/A ed.) Econometric Institute Vol. 9922/A

    • Franses, P. H., & van Dijk, D. (1999). Outlier detection in the GARCH (1,1) model. (Econometric Institute 9926/A ed.) Econometric Institute Vol. 9926/A

    • Rothman, P., van Dijk, D., & Franses, P. H. (1999). A multivariate STAR analysis of the relationship between money and output. (Econometric Institute 9945/A ed.) Econometric Institute Vol. 9945/A

    • Escribano, A., Franses, P. H., & van Dijk, D. (1998). Nonlinearities and outliers: robust specification of STAR models. (Econometric Institute 9832 ed.) Econometric Institute Vol. 9832

    • Franses, P. H., Neele, J., & van Dijk, D. (1998). Forecasting volatility with switching persistence GARCH models. (Econometric Institute 9819 ed.) Econometric Institute Vol. 9819

    • Franses, P. H., Neele, J., & van Dijk, D. (1998). Modelling asymmetric volatility in weekly Dutch temperature data. (Econometric Institute 9840/A ed.) Econometric Institute Vol. 9840/A

    • van Dijk, D., & Berben, RB. (1998). Does the absence of cointegration explain the typical finding in long horizon regressions? (Econometric Institute 9814 ed.) Econometric Institute Vol. 9814

    • van Dijk, D., & Franses, P. H. (1997). Nonlinear error-correction models for interest rates in the Netherlands. (Econometric Institute 9704/A ed.) Econometric Institute Vol. 9704/A

    • Franses, P. H., & van Dijk, D. (1997). Do we often find ARCH because of neglected outliers? (Econometric Institute 9706/A ed.) Econometric Institute Vol. 9706/A

    • Eisinga, R., Franses, P. H., & van Dijk, D. (1997). Timing of vote decision in first and second order Dutch elections 1978-1995: evidence from artificical neural networks. (Econometric Institute 9733/A ed.) Econometric Institute Vol. 9733/A

    • van Dijk, D., & Franses, P. H. (1997). Modelling multiple regimes in the business cycle. (Econometric Institute 9734/A ed.) Econometric Institute Vol. 9734/A

    • Veenstra, A., van Dijk, D., & Franses, P. H. (1997). Partially linear additive modelling of ocean charter rates. (Chair of Maritime Economics 97-10 ed.) Chair of Maritime Economics Vol. 97-10

    • van Dijk, D., Franses, P. H., & Lucas, A. (1996). Testing for smooth transition nonlinearity in the presence of outliers. (Econometric Institute 9622/A ed.) Econometric Institute Vol. 9622/A

    • van Dijk, D., & Franses, P. H. (1996). Testing for ARCH in the presence of additive outliers. (Econometric Institute 9659/A ed.) Econometric Institute Vol. 9659/A

    • van Dijk, D., & Franses, P. H. (1995). Empirical specification of nonlinear error-correction models. (Discussion Paper TI 9544/A ed.) Discussion Paper Vol. TI 9544/A

Additional activities (3)

  • Journal of Applied Econometrics (Journal)

    Editorial work (Academic)

  • International Journal of Forecasting (Journal)

    Editorial work (Academic)

  • Applied Economics (Journal)

    Editorial work (Academic)

PhD Tracks (8)

Behavioral Finance and Agent-Based Artificial Markets
  • Role: Member Doctoral Committee
  • PhD Candidate: Milan Lovric
  • Time frame: 2005 - 2011
The Long and Short Side of Real Estate, Real Estate Stocks, and Equity
  • Role: Member Doctoral Committee
  • PhD Candidate: Melissa Porras Prado
  • Time frame: 2006 - 2012
Hierarchical Portfolio Management: Theory and Applications
  • Role: Member Doctoral Committee
  • PhD Candidate: Haikun Ning
  • Time frame: 2003 - 2007
Measuring and Forecasting Financial Market Volatility using High-Frequency Data
  • Role: Promotor
  • PhD Candidate: Karim Bannouh
  • Time frame: 2006 - 2013
Extreme Dependence in Asset Markets Around the Globe
  • Role: Promotor
  • PhD Candidate: Thijs Markwat
  • Time frame: 2006 - 2011
Aggregated macroeconomic news and price discovery
  • Role: Member Doctoral Committee
  • PhD Candidate: Justinas Brazys
  • Time frame: 2011 - 2015
Price Discovery, Liquidity Provision, and Low-Latency Trading
  • Role: Member Doctoral Committee
  • PhD Candidate: Darya Yuferova
  • Time frame: 2011 - 2016
Essays on Empirical Asset Pricing
  • Role: Member Doctoral Committee
  • PhD Candidate: Roy Verbeek
  • Time frame: 2013 - 2017

Events (7)

2012
July
05
Fifth Erasmus Liquidity Conference
Conference
As: Coordinator
2011
June
30
Fourth Erasmus Liquidity Conference
Conference
As: Co-organizer
2010
July
07
Third Erasmus Liquidity Conference
Conference
As: Coordinator
2009
June
26
Second Erasmus Liquidity Conference
Conference
As: Coordinator
2008
June
27
Liquidity Conference 2008
Conference
As: Speaker
2007
November
15
Good News is No News
Inaugural Address
As: Speaker
2007
September
28
Workshop "Interest Rate Term Structure Modelling"
Research Workshop
As: Coordinator

Address

Visiting address

Office: ET-36
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

Research Initiatives

Latest publication

Article

Barendse, S., Kole, E., & van Dijk, D. (2023). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. Journal of Financial Econometrics, 21(2), 528-568. Article nbab008. https://doi.org/10.1093/jjfinec/nbab008