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, 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.

  • 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 doi: 10.1108/S0731-905320150000035004
  • 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
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

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


As: Coordinator
As: Co-organizer
As: Coordinator
As: Coordinator
As: Speaker
Inaugural Address
As: Speaker
Research Workshop
As: Coordinator


Visiting address

Office: ET-36
Burgemeester Oudlaan 50
3062 PA Rotterdam

Postal address

Postbus 1738
3000 DR Rotterdam