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

Full Professor

Department of Econometrics

Erasmus School of Economics (ESE)

Erasmus University Rotterdam

Fellow ERIM

Field: Finance & Accounting

Affiliated since 2002

T: +31 10 4081263

E: djvandijk@ese.eur.nl

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 (4)

D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2014). Market set-up in advance of Federal Reserve policy decisions. (Preprints, Working Paper, no 19814). Boston: National Bureau of Economic Research
D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2014). Market set-up in advance of Federal Reserve policy decisions. (working paper, no 19814). : NBER
K.E. Bouwman, E. Raviv & D.J.C. van Dijk (2011). An arithmetic framework for electricity pricing (working paper).
S. van den Hauwe, R. Paap & D.J.C. van Dijk (2011). Bayesian forecasting of federal funds target rate decisions. (Preprints). Rotterdam: Tinbergen Institute Discussion Paper No. 11-093/4

Publications (103)

Articles (86)

A. Opschoor, D.J.C. van Dijk & M. van der Wel (2017). Combining Density Forecasts using Focused Scoring Rules. Journal of Applied Econometrics, 32 (7), 1298-1313. doi: http://dx.doi.org/10.1002/jae.2575[go to publisher's site]
H.J.W.G. Kole, T.D. Markwat, A. Opschoor & D.J.C. van Dijk (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. Journal of Financial Econometrics, 15 (4), 649-677. doi: 10.1093/jjfinec/nbx019[go to publisher's site]
P. Janus, A. Lucas, A. Opschoor & D.J.C. van Dijk (2017). New HEAVY models for fat-tailed realized covariances and returns. Journal of Business and Economic Statistics. doi: http://dx.doi.org/10.1080/07350015.2016.1245622[go to publisher's site]
S.R. Ozturk, M. van der Wel & D.J.C. van Dijk (2017). Intraday price discovery in fragmented markets. Journal of Financial Markets, 32 (1), 28-48. doi: http://dx.doi.org/10.1016/j.finmar.2016.10.001[go to publisher's site]
H.J.W.G. Kole & D.J.C. van Dijk (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32 (1), 120-139. doi: http://dx.doi.org/10.1002/jae.2511[go to publisher's site]
P. Exterkate, P.J.F. Groenen, C. Heij & D.J.C. van Dijk (2016). Nonlinear forecasting with many predictors using kernel ridge regression. International Journal of Forecasting, 32 (3), 736-753. doi: http://dx.doi.org/10.1016/j.ijforecast.2015.11.017
D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2016). Market set-up in advance of Federal Reserve policy rate decisions. The Economic Journal, 126 (592), 618-653. doi: http://dx.doi.org/10.1111/ecoj.12372[go to publisher's site]
R.L. Lumsdaine, D.J.C. van Dijk & M. van der Wel (2016). Market Set-Up in Advance of Federal Reserve Policy Decisions. The Economic Journal, 126 (592), 618-653. doi: 10.1111/ecoj.12372
C. Cakmakli & D.J.C. van Dijk (2016). Getting the most out of macroeconomics information for predicting excess stock returns. International Journal of Forecasting, 32 (1), 650-668. doi: http://dx.doi.org/10.1016/j.ijforecast.2015.10.001
C. Cakmakli & D.J.C. van Dijk (2016). Getting the most out of macroeconomic information for predicting excess stock returns. International Journal of Forecasting, 32, 650-668. doi: http://dx.doi.org/10.1016/j.ijforecast.2015.10.001
E. Raviv, K.E. Bouwman & D.J.C. van Dijk (2015). Forecasting day-ahead electricity prices: Utilizing hourly prices. Energy Economics, 50, 227-239. doi: http://dx.doi.org/10.1016/j.eneco.2015.05.014
C. Diks, V. Panchenko, O. Sokolinskiy & D.J.C. van Dijk (2014). Comparing the accuracy of multivariate density forecasts in selected regions of the copula support. Journal of Economic Dynamics and Control, 48, 79-94. doi: http://dx.doi.org/10.1016/j.jedc.2014.08.021
L. Ferrara & D.J.C. van Dijk (2014). Forecasting the business cycle. International Journal of Forecasting, 30 (3), 517-519. doi: http://dx.doi.org/10.1016/j.ijforecast.2013.12.001[go to publisher's site]
A. Opschoor, M. van der Wel, D.J.C. van Dijk & N. Taylor (2014). Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185-201. doi: http://dx.doi.org/10.1016/j.jempfin.2014.07.002[go to publisher's site]
E. Bataa, D.R. Osborn, M. Sensier & D.J.C. van Dijk (2014). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. Oxford Bulletin of Economics and Statistics, 78, 360-388. doi: http://dx.doi.org/10.1111/obes.12021[go to publisher's site]
D.J.C. van Dijk, S.J. Koopman, M. van der Wel & J. Wright (2014). Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29, 693-712. doi: http://dx.doi.org/10.1002/jae.2358
A. Opschoor, D.J.C. van Dijk & M. van der Wel (2014). Predicting Volatility and Correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435-447. doi: http://dx.doi.org/http://dx.doi.org/10.1016/j.jempfin.2014.10.003[go to publisher's site]
M.L. Scholtus, D.J.C. van Dijk & B. Frijns (2014). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. Journal of Banking and Finance, 38, 89-105. doi: http://dx.doi.org/10.1016/j.jbankfin.2013.09.016[go to publisher's site]
C. Cakmakli, R. Paap & D.J.C. van Dijk (2013). Measuring and predicting heterogeneous recessions. Journal of Economic Dynamics and Control, 37, 2195-2216. doi: http://dx.doi.org/10.1016/j.jedc.2013.06.004
P. Exterkate, D.J.C. van Dijk, C. Heij & P.J.F. Groenen (2013). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting, 32 (2013), 193-214. doi: http://dx.doi.org/10.1002/for.1258[go to publisher's site]
E. Bataa, D.R. Osborn, M. Sensier & D.J.C. van Dijk (2013). Structural breaks in the international dynamics of inflation. The Review of Economics and Statistics, 95 (2), 646-659. doi: http://dx.doi.org/10.1162/REST_a_00261[go to publisher's site]
J. Fidrmuc, A. Palandri, P.G.J. Roosenboom & D.J.C. van Dijk (2013). When do managers seek private equity backing in public-to-private transactions? Review of Finance, 17 (3), 1099-1139. doi: http://dx.doi.org/10.1093/rof/rfs021[go to publisher's site]
S. van den Hauwe, R. Paap & D.J.C. van Dijk (2013). Bayesian forecasting of federal funds target rate decisions. Journal of Macroeconomics, 37, 19-40. doi: http://dx.doi.org/10.1016/j.jmacro.2013.05.001[go to publisher's site]
M.B.J. Schauten, D.J.C. van Dijk & J.P. van der Waal (2013). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms. European Financial Management, 19 (5), 991-1016. doi: http://dx.doi.org/10.1111/j.1468-036X.2011.00615.x[go to publisher's site]
K. Bannouh, M.P.E. Martens & D.J.C. van Dijk (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. doi: http://dx.doi.org/10.1016/j.najef.2013.02.020[go to publisher's site]
G.J. de Zwart, B.I. Frieser & D.J.C. van Dijk (2012). Private equity recommitment strategies for institutional investors. Financial Analysts Journal, 68 (3), 81-99. doi: http://dx.doi.org/10.2469/faj.v68.n3.1[go to publisher's site]
N. Basturk, R. Paap & D.J.C. van Dijk (2012). Structural differences in economic growth: An endogenous clustering approach. Applied Economics, 44 (1), 119-134. doi: http://dx.doi.org/10.1080/00036846.2010.500274[go to publisher's site]
M.B.J. Schauten & D.J.C. van Dijk (2012). Corporate governance interactions and the cost of debt of large European firms. In MET
A.A.P. Santos, F.J. Nogales, E. Ruiz & D.J.C. van Dijk (2012). Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36 (7), 1928-1942. doi: http://dx.doi.org/10.1016/j.jbankfin.2012.03.001[go to publisher's site]
A. van Dijk, P.H.B.F. Franses, R. Paap & D.J.C. van Dijk (2011). Modeling Regional House Prices. Applied Economics, 43 (17), 2097-2110. doi: http://dx.doi.org/10.1080/00036840903085089[go to publisher's site]
C. Heij, D.J.C. van Dijk & P.J.F. Groenen (2011). Real-time macroeconomic forecasting with leading indicators: An empirical comparison. International Journal of Forecasting, 27 (2), 466-481. doi: http://dx.doi.org/10.1016/j.ijforecast.2010.04.008[go to publisher's site]
D.J.C. van Dijk, M.I.S.H. Munandar & C.M. Hafner (2011). The euro introduction and non-euro currencies. Applied Financial Economics, 21 (1-2), 95-116. doi: http://dx.doi.org/10.1080/09603107.2011.523197[go to publisher's site]
C. Heij, D.J.C. van Dijk & P.J.F. Groenen (2011). Forecasting with leading indicators by means of the principal covariate index. Journal of Business Cycle Measurement and Analysis, 4 (1), 73-92. doi: 10.1787/jbcma-2011-5kgdwlpzs79v[go to publisher's site]
C. Diks, V. Panchenko & D.J.C. van Dijk (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails. Journal of Econometrics, 163 (2), 215-230. doi: http://dx.doi.org/10.1016/j.jeconom.2011.04.001[go to publisher's site]
C. Diks, V. Panchenko & D.J.C. van Dijk (2010). Out-of-sample comparison of copula specifications in multivariate density forecasts. Journal of Economic Dynamics and Control, 34 (9), 1596-1609. doi: http://dx.doi.org/10.1016/j.jedc.2010.06.021[go to publisher's site]
H.P. Boswijk, P.H.B.F. Franses & D.J.C. van Dijk (2010). Cointegration in a historical perspective. Journal of Econometrics, 158 (1), 156-159. doi: http://dx.doi.org/10.1016/j.jeconom.2010.03.025[go to publisher's site]
H.P. Boswijk, P.H.B.F. Franses & D.J.C. van Dijk (2010). Twenty years of cointegration. Journal of Econometrics, 158 (1), 1-2. doi: http://dx.doi.org/10.1016/j.jeconom.2010.03.001[go to publisher's site]
K. Watkins, D.J.C. van Dijk & J. Spronk (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. doi: http://dx.doi.org/10.1504/IJCG.2009.032726
R. Lord, R. Koekkoek & D.J.C. van Dijk (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. Quantitative Finance, 10 (2), 177-194. doi: http://dx.doi.org/10.1080/14697680802392496[go to publisher's site]
H. Chulia-Soler, M.P.E. Martens & D.J.C. van Dijk (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. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.09.012[go to publisher's site]
J. Spronk, K. Watkins & D.J.C. van Dijk (2009). Crisis Macroeconómica y desempeño de la empresa individual. Trimestre Economico, LXXVI (304), 991-1026.
R. Paap, R. Segers & D.J.C. van Dijk (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27 (4), 528-543. doi: http://dx.doi.org/10.1198/jbes.2009.07061[go to publisher's site]
T.D. Markwat, H.J.W.G. Kole & D.J.C. van Dijk (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33 (11), 1996-2012. doi: http://dx.doi.org/10.1016/j.jbankfin.2009.05.008[go to publisher's site]
G.J. de Zwart, T.D. Markwat, L.A.P. Swinkels & D.J.C. van Dijk (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28 (4), 581-604. doi: http://dx.doi.org/10.1016/j.jimonfin.2009.01.004[go to publisher's site]
K. Bannouh, D.J.C. van Dijk & M.P.E. Martens (2009). Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7 (4), 341-372. doi: http://dx.doi.org/10.1093/jjfinec/nbp012[go to publisher's site]
M.P.E. Martens, D.J.C. van Dijk & M.D. de Pooter (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. doi: http://dx.doi.org/10.1016/j.ijforecast.2009.01.010[go to publisher's site]
A. Musso, L. Stracca & D.J.C. van Dijk (2009). Instability and nonlinearity in the euro area Phillips curve. International Journal of Central Banking, 5 (2), 181-212.
M.P. Clements, C. Milas & D.J.C. van Dijk (2009). Forecasting returns and risk in financial markets using linear and nonlinear models. International Journal of Forecasting, 25 (2), 215-217. doi: http://dx.doi.org/10.1016/j.ijforecast.2009.01.003[go to publisher's site]
M.D. de Pooter, M.P.E. Martens & D.J.C. van Dijk (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. doi: http://dx.doi.org/10.1080/07474930701873333[go to publisher's site]
C. Heij, D.J.C. van Dijk & P.J.F. Groenen (2008). Macroeconomic forecasting with matched principal components. International Journal of Forecasting, 24 (1), 87-100. doi: http://dx.doi.org/10.1016/j.ijforecast.2007.08.005[go to publisher's site]
J.P. Fidrmuc - Pal'agova, P.G.J. Roosenboom & D.J.C. van Dijk (2007). Private equity fondsen en publiek naar privaat transacties. MAB, 81 (7/8), 323-334.
D.J.C. van Dijk, P.H.B.F. Franses & H.P. Boswijk (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics & Data Analysis, 51 (9), 4206-4226. doi: http://dx.doi.org/10.1016/j.csda.2006.04.033
M.P.E. Martens & D.J.C. van Dijk (2007). Measuring volatility with the realized range. Journal of Econometrics, 138 (1), 181-207. doi: http://dx.doi.org/10.1016/j.jeconom.2006.05.019
P. Giordani, R. Kohn & D.J.C. van Dijk (2007). A unified approach to nonlinearity, structural change, and outliers. Journal of Econometrics, 137 (1), 112-133. doi: http://dx.doi.org/10.1016/j.jeconom.2006.03.013
C. Heij, P.J.F. Groenen & D.J.C. van Dijk (2007). Forecast comparison of principal component regression and principal covariate regression. Computational Statistics & Data Analysis, 51 (7), 3612-3625. doi: http://dx.doi.org/10.1016/j.csda.2006.10.019
P.H.B.F. Franses & D.J.C. van Dijk (2006). A simple test for PPP among traded goods. Applied Financial Economics, 16 (1/2), 19-27.
D.I. Harvey & D.J.C. van Dijk (2006). Sample size, lag order and critical values of seasonal unit root tests. Computational Statistics & Data Analysis, 50, 2734-2751. doi: http://dx.doi.org/10.1016/j.csda.2005.04.011
N.R. Swanson & D.J.C. van Dijk (2006). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. Journal of Business and Economic Statistics, 24 (1), 24-42. doi: http://dx.doi.org/10.1198/073500105000000036[go to publisher's site]
C.D. Knoops & D.J.C. van Dijk (2006). Characteristics of firms restating financial statements. Evidence from non-US firms. In 29th Annual Congres of the European Accounting Association
J. van der Hart, G. de Zwart & D.J.C. van Dijk (2005). The succes of stock selection strategies in emerging markets: is it risk or behavioral bias? Emerging Markets Review, 6 (3), 238-262. doi: http://dx.doi.org/10.1016/j.ememar.2005.05.002[go to publisher's site]
P.H.B.F. Franses & D.J.C. van Dijk (2005). The forecasting performance of various models for seasonality and non-linearity for quarterly industrial production. International Journal of Forecasting, 21 (2), 87-102.
T. Terasvirta, D.J.C. van Dijk & M. Medeiros (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. doi: http://dx.doi.org/10.1016/j.ijforecast.2005.04.010
D.J.C. van Dijk, D.R. Osborn & M. Sensier (2005). Testing for causality in variance in the presence of breaks. Economics Letters, 89 (2), 193-199. doi: http://dx.doi.org/10.1016/j.econlet.2005.05.029
T. Terasvirta, D.J.C. van Dijk & M. Medeiros (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. doi: http://dx.doi.org/10.1016/j.ijforecast.2005.04.011
D. Fok, D.J.C. van Dijk & P.H.B.F. Franses (2005). Forecasting aggregate using panels of nonlinear time series. International Journal of Forecasting, 21 (4), 785-794. doi: http://dx.doi.org/10.1016/j.ijforecast.2005.04.015
D. Fok, D.J.C. van Dijk & P.H.B.F. Franses (2005). A multi-level panel STAR model for US manufacturing sectors. Journal of Applied Econometrics, 20 (6), 811-827. doi: http://dx.doi.org/10.1002/jae.822[go to publisher's site]
D.J.C. van Dijk, H.K. van Dijk & P.H.B.F. Franses (2005). On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20 (2), 147-150. doi: http://dx.doi.org/10.1002/jae.844
R. Paap, P.H.B.F. Franses & D.J.C. van Dijk (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. doi: http://dx.doi.org/10.1016/j.jdeveco.2004.05.001
M. Sensier & D.J.C. van Dijk (2004). Testing for volatility changes in U.S. macroeconomic time series. The Review of Economics and Statistics, 86 (3), 833-839. doi: http://dx.doi.org/10.1162/0034653041811752
P.H.B.F. Franses, D.J.C. van Dijk & A. Lucas (2004). Short patches of outliers, ARCH and volatility modelling. Applied Financial Economics, 14 (4), 221-231. doi: http://dx.doi.org/10.1080/0960310042000201174
D.J.C. van Dijk & P.H.B.F. Franses (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy. Oxford Bulletin of Economics and Statistics, 65 (Supplement), 727-744. doi: http://dx.doi.org/10.1046/j.0305-9049.2003.00091.x
S. Lundbergh, T. Teräsvirta & D.J.C. van Dijk (2003). Time-varying smooth transition autoregressive models. Journal of Business and Economic Statistics, 21 (1), 104-121. doi: http://dx.doi.org/10.1198/073500102288618810[go to publisher's site]
M.P. Clements, P.H.B.F. Franses, J. Smith & D.J.C. van Dijk (2003). On SETAR non-linearity and forecasting. Journal of Forecasting, 22 (5), 359-376. doi: http://dx.doi.org/10.1002/for.863
D.J.C. van Dijk, B. Strikholm & T. Teräsvirta (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.
J. van der Hart, E. Slagter & D.J.C. van Dijk (2003). Stock selection strategies in emerging markets. Journal of Empirical Finance, 10 (1-2), 105-132. doi: http://dx.doi.org/10.1016/S0927-5398(02)00022-1[go to publisher's site]
A.M.R. Taylor & D.J.C. van Dijk (2002). Can tests for stochastic unit roots provide useful portmanteau tests for persistence? Oxford Bulletin of Economics and Statistics, 64 (4), 381-397.
D.J.C. van Dijk, T. Teräsvirta & P.H.B.F. Franses (2002). Smooth transition autoregressive models - a survey of recent developments. Econometric Reviews, 21 (1), 1-47.
D.J.C. van Dijk, P.H.B.F. Franses & R. Paap (2002). A nonlinear long memory model, with an application to US unemployment. Journal of Econometrics, 110 (2), 135-165. doi: http://dx.doi.org/10.1016/S0304-4076(02)00090-8
P.H.B.F. Franses, J. Neele & D.J.C. van Dijk (2001). Modeling asymmetric volatility in weekly Dutch temperature data. Environmental Modelling & Software, 16 (2), 131-137. doi: http://dx.doi.org/10.1016/S1364-8152(00)00076-1
P. Rothman, D.J.C. van Dijk & P.H.B.F. Franses (2001). Multivariate star analysis of money-output relationship. Macroeconomic Dynamics, 5, 506-532.
N. Taylor, D.J.C. van Dijk, P.H.B.F. Franses & A. Lucas (2000). SETS, arbitrage activity, and stock price dynamics. Journal of Banking and Finance, 24 (8), 1289-1306. doi: http://dx.doi.org/10.1016/S0378-4266(99)00073-4
D.J.C. van Dijk & P.H.B.F. Franses (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
D.J.C. van Dijk & P.H.B.F. Franses (1999). Modeling multiple regimes in the business cycle. Macroeconomic Dynamics, 3, 311-340.
D.J.C. van Dijk, P.H.B.F. Franses & A. Lucas (1999). Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics, 14, 539-562.
D.J.C. van Dijk, P.H.B.F. Franses & A. Lucas (1999). Testing for smooth transition nonlinearity in the presence of outliers. Journal of Business and Economic Statistics, 17 (2), 217-235.
D.J.C. van Dijk & P.H.B.F. Franses (1996). Forecasting stock market volatility using (nonlinear) GARCH models. Journal of Forecasting, 15, 229-235.

Books (4)

P.H.B.F. Franses, D.J.C. van Dijk & A. Opschoor (2014). Time Series Models for Business and Economics Forecasting. Cambridge: Cambridge University Press
P.H.B.F. Franses, D.J.C. van Dijk & A. Opschoor (2014). Time series models for business and economic forecasting, Second revised edition. Cambridge: Cambridge University Press
C. Milas, P. Rothman & D.J.C. van Dijk (Ed.). (2006). Nonlinear time series analysis of business cycles. Amsterdam: Elsevier Science
P.H.B.F. Franses & D.J.C. van Dijk (2000). Non-linear time series models in empirical finance. Cambridge: Cambridge University Press

Book Contributions (11)

M. van der Wel, S.R. Ozturk & D.J.C. van Dijk (2016). Dynamic factor models for the volatility surface. In E. Hillebrand & S.J. Koopman (Eds.), Dynamic Factor Models (Advances in Econometrics, 35) (pp. 127-174). Emerald Group Publishing Ltd
M.L. Scholtus & D.J.C. van Dijk (2015). High-frequency activity on NASDAQ. In G.N. Gregoriou (Ed.), The Handbook of High-Frequency Trading (pp. 3-23). Amsterdam: Academic Press, Elsevier
P.H.B.F. Franses & D.J.C. van Dijk (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
F. Ravazzolo, R. Paap, D.J.C. van Dijk & P.H.B.F. Franses (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
J.P. Fidrmuc - Pal'agova, P.G.J. Roosenboom & D.J.C. van Dijk (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
C.M. Hafner, D.J.C. van Dijk & P.H.B.F. Franses (2006). Semiparametric modelling of correlation dynamics. In D. Terrell & T. Fomby (Eds.), Advances in Econometrics Volume 20 (pp. 59-103). Amsterdam: Elsevier JAI
D.R. Osborn, M. Sensier & D.J.C. van Dijk (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
T. Teräsvirta, B. Strikholm & D.J.C. van Dijk (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
T. Teräsvirta & D.J.C. van Dijk (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
R. Eisinga, P.H.B.F. Franses & D.J.C. van Dijk (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
P.H.B.F. Franses & D.J.C. van Dijk (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

Doctoral Thesis

D.J.C. van Dijk (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.

Inaugural Speech

D.J.C. van Dijk (2007). Good News is No News. . Oratie (2007, november 15). Rotterdam: Erasmus Research Institute of Management

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

Recognitions (5)

Editorial positions (5)

Journal of Applied Econometrics

Associate Editor
International Journal of Forecasting

Associate Editor
Applied Economics

Associate Editor
International Journal of Forecasting

Book Review Editor
International Journal of Forecasting

Editor

Events (7)

2012

July

Fifth Erasmus Liquidity Conference

Conference

As: Coordinator

2011

June

Fourth Erasmus Liquidity Conference

Conference

As: Co-organizer

2010

July

Third Erasmus Liquidity Conference

Conference

As: Coordinator

2009

June

Second Erasmus Liquidity Conference

Conference

As: Coordinator

2008

June

Liquidity Conference 2008

Conference

As: Speaker

2007

November

Good News is No News

Inaugural Address

As: Speaker

2007

September

Workshop "Interest Rate Term Structure Modelling"

Research Workshop

As: Coordinator

Address

Visiting address

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

Postal address

Postbus 1738
3000 DR Rotterdam
Netherlands

D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2014). Market set-up in advance of Federal Reserve policy decisions. (Preprints, Working Paper, no 19814). Boston: National Bureau of Economic Research

D.J.C. van Dijk, R.L. Lumsdaine & M. van der Wel (2014). Market set-up in advance of Federal Reserve policy decisions. (working paper, no 19814). : NBER

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

S. van den Hauwe, R. Paap & D.J.C. van Dijk (2011). Bayesian forecasting of federal funds target rate decisions. (Preprints). Rotterdam: Tinbergen Institute Discussion Paper No. 11-093/4

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

Work in Progress (4)

Publications (103)

Articles (86)

Books (4)

Book Contributions (11)

Doctoral Thesis

Inaugural Speech

PhD Tracks (8)

Recognitions (5)

Editorial positions (5)

Events (7)

Address

Research Initiatives

Work in progress

Latest publication