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

Full Professor
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, 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.

  • 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
  • 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
  • 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
  • D.J.C. van Dijk (2007). Good News is No News. . Oratie (2007, november 15). Rotterdam: Erasmus Research Institute of Management
  • Role: Member Doctoral Committee
  • PhD Candidate: Milan Lovric
  • Time frame: 2005 - 2011
  • Role: Member Doctoral Committee
  • PhD Candidate: Melissa Porras Prado
  • Time frame: 2006 - 2012
  • Role: Member Doctoral Committee
  • PhD Candidate: Haikun Ning
  • Time frame: 2003 - 2007
  • Role: Promotor
  • PhD Candidate: Karim Bannouh
  • Time frame: 2006 - 2013
  • Role: Promotor
  • PhD Candidate: Thijs Markwat
  • Time frame: 2006 - 2011
  • Role: Member Doctoral Committee
  • PhD Candidate: Justinas Brazys
  • Time frame: 2011 - 2015
  • Role: Member Doctoral Committee
  • PhD Candidate: Darya Yuferova
  • Time frame: 2011 - 2016
  • Role: Member Doctoral Committee
  • PhD Candidate: Roy Verbeek
  • Time frame: 2013 - 2017

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

2012
July
05
Conference
As: Coordinator
2011
June
30
Conference
As: Co-organizer
2010
July
07
Conference
As: Coordinator
2009
June
26
Conference
As: Coordinator
2008
June
27
Conference
As: Speaker
2007
November
15
Inaugural Address
As: Speaker
2007
September
28
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