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., & Dijk, D. (2021). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. Journal of Financial Econometrics. https://doi.org/10.1093/jjfinec/nbab008

    • Franses, P. H., & 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. A., Opschoor, A. A., & 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. T., Opschoor, A. A., & 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., Wel, M., & 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. A., Dijk, D., & 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., & 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

    • Exterkate, P. P., Groenen, P., Heij, C., & 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

    • Dijk, D., Lumsdaine, R., & 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

    • Cakmakli, C. C., & 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

    • Raviv, E., Bouwman, K., & 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

    • Dijk, D., Koopman, SJ., 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. A., Dijk, D., & 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. M., 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., & 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., & 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

    • Opschoor, A. A., Wel, M., 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

    • Bataa, E., Osborn, DR., Sensier, M., & 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

    • Cakmakli, C. C., Paap, R., & 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

    • Exterkate, P. P., 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., & 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., & 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

    • Bannouh, K. K., Martens, MPE., & 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

    • Hauwe, S., Paap, R., & 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

    • Schauten, M., 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

    • Santos, AAP., Nogales, FJ., Ruiz, E., & 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

    • de Zwart, GJ., Frieser, BI., & 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

    • Basturk, N., Paap, R., & 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

    • Diks, C., Panchenko, V., & 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

    • Heij, C., 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

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

    • Watkins, K., 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

    • Chulia-Soler, H., Martens, MPE., & 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., & 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

    • Boswijk, HP., Franses, P. H., & 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., & 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., & 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., 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. M., Milas, C., & 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., & 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. T., Swinkels, L., & 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. K., 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. T., Kole, E., & 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., & 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., & Dijk, D. (2009). Crisis Macroeconómica y desempeño de la empresa individual. Trimestre Economico, LXXVI(304), 991-1026.

    • de Pooter, MD., Martens, MPE., & 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., 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

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

    • Giordani, P., Kohn, R., & 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

    • Martens, MPE., & 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

    • 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

    • Heij, C., Groenen, P., & 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

    • Harvey, DI., & 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

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

    • Swanson, NR., & 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., & 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.

    • Dijk, D., 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

    • Terasvirta, T., 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

    • Fok, D., 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., 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., & 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., 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

    • 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., & 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

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

    • Sensier, M., & 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

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

    • 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

    • Hart, J., Slagter, E., & 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

    • Lundbergh, S., Teräsvirta, T., & 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

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

    • 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., & 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.

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

    • Franses, P. H., Neele, J., & 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

    • Taylor, N., Dijk, D., Franses, P. H., & Lucas, A. 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

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

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

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

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

Book (3)

  • Academic (3)

    • Franses, P. H., Dijk, D., & Opschoor, A. A. (2014). Time Series Models for Business and Economics Forecasting. Cambridge University Press.

    • Franses, P. H., Dijk, D., & Opschoor, A. A. (2014). Time series models for business and economic forecasting, Second revised edition. Cambridge University Press.

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

Book editing (1)

  • Academic (1)

    • Milas, C., Rothman, P., & Dijk, D. (2006). Nonlinear time series analysis of business cycles. Elsevier Science.

Book/Film/Article review (1)

Chapter (11)

  • Academic (11)

    • Wel, M., Ozturk, SR., & 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 Ltd.. Advances in Econometrics Vol. 35 https://doi.org/10.1108/S0731-905320150000035004

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

    • Franses, P. H., & 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., 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. Frontiers of Economics and Globalization Vol. 3

    • Fidrmuc - Pal'agova, JP., Roosenboom, P., & 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. C., 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). Elsevier JAI.

    • Osborn, DR., Sensier, M., & 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., & 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.

    • Teräsvirta, T., Strikholm, B., & 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. Tutkimuksia Forskningsrapporter Research Reports Vol. 238

    • Eisinga, R., Franses, P. H., & 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., & 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.. Financial Economics and Quantitative Analysis

Conference contribution (1)

  • Academic (1)

    • Dijk, D., Haralambides, H., & Veenstra, A. (1998). Modelling ocean charter rates: an investigation into non-linearity and parameter variation. 8th World Conference on Transport Research, Antwerpen.

Conference proceeding (3)

  • Academic (3)

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

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

    • 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.

Doctoral Thesis (1)

  • Internal (1)

Inaugural speech (1)

Report (112)

  • Academic (112)

    • Dijk, D., & Franses, P. H. (2019). Combining expert-adjusted forecasts. (Econometric Institute Reprint EI-1680 ed.) Econometric Institute. Econometric Institute Reprint Vol. EI-1680 http://hdl.handle.net/1765/123252

    • Raviv, E., Bouwman, K., & Dijk, D. (2015). Forecasting day-ahead electricity prices: Utilizing hourly prices. (EI reprint serie EI-1637 ed.) Econometric Institute. EI reprint serie Vol. EI-1637

    • Opschoor, A. A., Dijk, D., & Wel, M. (2015). Predicting volatility and correlations with financial conditions indexes. (EI reprint reeks EI-1634 ed.) Econometric Institute. EI reprint reeks Vol. EI-1634

    • Diks, C., Panchenko, V., Sokolinskiy, O., & Dijk, D. (2014). Comparing the accuracy of multivariate density forecast in selected regions of the copula support. (EI reprint reeks EI-1626 ed.) Econometric Institute. EI reprint reeks Vol. EI-1626

    • Bataa, E., Osborn, DR., Sensier, M., & Dijk, D. (2014). Identifying Changes in Mean, Seasonality, Persistence and Volatility for G7 and Euro Area Inflation. (EI reprint reeks EI-1619 ed.) Econometric Institute. EI reprint reeks Vol. EI-1619

    • Dijk, D., Koopman, SJ., Wel, M., & Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints. (EI reprint reeks EI-1623 ed.) Econometric Institute. EI reprint reeks Vol. EI-1623

    • Scholtus, ML. M., & Dijk, D. (2014). High-Frequency Activity on Nasdaq. (EI reprint serie EI-1631 ed.) Econometrisch Institute. EI reprint serie Vol. EI-1631

    • Opschoor, A. A., Taylor, N., Wel, M., & Dijk, D. (2014). Order Flow and Volatility: An Empirical Investigation. (EI reprint reeks EI-1622 ed.) Econometric Institute. EI reprint reeks Vol. EI-1622

    • Scholtus, ML. M., Dijk, D., & Frijns, B. (2013). Speed, algorithmic trading, and market quality around macroeconomic news announcements. (EI reprint serie EI-1610 ed.) Econometric Institute. EI reprint serie Vol. EI-1610

    • Bannouh, K. K., Martens, MPE., & Dijk, D. (2013). Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. (EI reprint reeks EI-1608 ed.) Econometric Institute. EI reprint reeks Vol. EI-1608

    • Exterkate, P. P., Dijk, D., Heij, C., & Groenen, P. (2013). Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model. (EI reprint serie EI-1598 ed.) Econometric Institute.

    • Bataa, E., Osborn, DR., Sensier, M., & Dijk, D. (2013). Structural Breaks in the International Dynamics of Inflation. (EI reprint serie EI1600 ed.) Econometric Institute. EI reprint serie Vol. EI1600

    • Hauwe, S., Paap, R., & Dijk, D. (2013). Bayesian forecasting of federal funds target rate decisions. (EI reprint serie EI-1602 ed.) Econometric Institute. EI reprint serie Vol. EI-1602

    • Cakmakli, C. C., Paap, R., & Dijk, D. (2013). Measuring and predicting heterogeneous recessions. (EI reprint serie EI-1603 ed.) Econometric Institute. EI reprint serie Vol. EI-1603

    • Schauten, M., Dijk, D., & van der Waal, JP. (2013). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms. (EI reprint serie EI-1605 ed.) Econometric Institute. EI reprint serie Vol. EI-1605

    • Basturk, N., Paap, R., & Dijk, D. (2011). Structural Differences in Economic Growth: An Endogenous Clustering Approach. (EI Reprint reeks EI-1572 ed.) Econometric Institute. EI Reprint reeks Vol. EI-1572

    • Diks, C., Panchenko, V., & Dijk, D. (2011). Likelihood-based Scoring Rules for Comparing Density Forecast in Tails. (EI reprint reeks EI-1567 ed.) Econometric Institute. EI reprint reeks Vol. EI-1567

    • van Dijk, A., Franses, P. H., Paap, R., & Dijk, D. (2011). Modelling Regional House Prices. (EI reprint reeks EI-1568 ed.) Econometric Institute. EI reprint reeks Vol. EI-1568

    • Heij, C., Dijk, D., & Groenen, P. (2011). Forecasting with Leading Indicators by means of the Principal Covariate Index. (EI reprint reeks EI-1563 ed.) Econometric Institute. EI reprint reeks Vol. EI-1563

    • Bataa, E., Osborn, DR., Sensier, M., & Dijk, D. (2009). Structural breaks in the international transmission of inflation. (CGBCR Discussion Papers No. 119 ed.) Center for Growth and Business Cycle Research. CGBCR Discussion Papers Vol. No. 119

    • Markwat, TD. T., Kole, E., & Dijk, D. (2009). Time Variation in Asset Return Dependence: Strength or Structure. (ERIM Report Series ERS-2009-052-F&A ed.) ERIM. ERIM Report Series Vol. ERS-2009-052-F&A

    • Heij, C., Dijk, D., & Groenen, P. (2009). Macroeconomic forecasting with matched principal components. (EI reprint reeks EI-1499 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1499

    • Boswijk, HP., Franses, P. H., & Dijk, D. (2009). Cointegration in a historical perspective. (EI report serie EI 2009-08 ed.) DEPARTMENT OF ECONOMETRICS. EI report serie Vol. EI 2009-08

    • de Zwart, G., Markwat, TD. T., Swinkels, L., & Dijk, D. (2009). The economic value of fundamental and technical information in emerging currency markets. (EI reprint reeks EI-1507 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1507

    • Clements, MP. M., Milas, C., & Dijk, D. (2009). Forecasting returns and risk in financial markets using linear and nonlinear models. (EI reprint reeks EI-1500 ed.) Econometrics. EI reprint reeks Vol. EI-1500

    • Paap, R., Segers, R., & Dijk, D. (2009). Do leading indicators lead peaks more than troughs? (27 4 ed.) DEPARTMENT OF ECONOMETRICS. 27 Vol. 4

    • Martens, MPE., 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. (EI reprint reeks EI-1501 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1501

    • Musso, A., Stracca, L., & Dijk, D. (2009). Instability and nonlinearity in the Euro-area Phillips curve. (EI reprint reeks EI-1511 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1511

    • Heij, C., Dijk, D., & Groenen, P. (2009). Macroeconomic Forecasting with Real-Time Data: An Empirical Comparison. (EI report serie EI 2009-27 ed.) DEPARTMENT OF ECONOMETRICS. EI report serie Vol. EI 2009-27

    • Bannouh, K. K., Dijk, D., & Martens, MPE. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. (EI reprint reeks EI-1523 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1523

    • Markwat, TD. T., Kole, E., & Dijk, D. (2009). Contagion as a domino effect in global stock markets. (EI reprint reeks EI-1523 ed.) DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1523

    • de Pooter, MD., Martens, MPE., & Dijk, D. (2008). Predicting the daily covariance matrix for s&p 100 stocks using intraday data - but which frequency in use? (EI reprint reeks EI 1475 ed.) Econometrics. EI reprint reeks Vol. EI 1475

    • Diks, C., Panchenko, V., & Dijk, D. (2008). Out-of-sample comparison of copula specifications in multivariate density forecasts. (Tinbergen Institute Discussion Papers 08-105/4 ed.) TINBERGEN INSTITUUT. Tinbergen Institute Discussion Papers Vol. 08-105/4

    • Basturk, N., Paap, R., & Dijk, D. (2008). Structural differences in economic growth. (Tinbergen Institute Discussion Papers 08-085/4 ed.) TINBERGEN INSTITUUT. Tinbergen Institute Discussion Papers Vol. 08-085/4

    • Schauten, M., Dijk, D., & van der Waal, JP. (2008). Corporate governance and the value of excess cash holdings of large European firms. (ERIM Report Series 2008-027-F&A ed.) ERIM. ERIM Report Series Vol. 2008-027-F&A

    • Diks, C., Panchenko, V., & Dijk, D. (2008). Partial likelihood-based scoring rules for evaluating density forecasts in tails. (Tinbergen Institute Discussion Papers 08-050/4 ed.) TINBERGEN INSTITUUT. Tinbergen Institute Discussion Papers Vol. 08-050/4

    • de Zwart, G., & Dijk, D. (2008). The inefficient use of macroeconomic information in analysts' earnings forecasts in emerging markets. (ERIM Report Series 2008-007-F&A ed.) ERIM. ERIM Report Series Vol. 2008-007-F&A

    • Markwat, TD. T., Kole, E., & Dijk, D. (2008). Contagion as a Domino Effect in Global Stock Markets. (ERIM Report Series 2008-071-F&A ed.) ERIM. ERIM Report Series Vol. 2008-071-F&A

    • Bataa, E., Osborn, DR., Sensier, M., & Dijk, D. (2008). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. (CGBCR Discussion Papers No. 109 ed.) Center for Growth and Business Cycle Research. CGBCR Discussion Papers Vol. No. 109

    • Dijk, D., Franses, P. H., & Ravazolo, F. (2007). Evaluating real-time forecasts in real-time. (Econometric Institute Report EI 2007-33 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-33

    • Giordani, P., Kohn, R., & Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers. (Econometric Institute Reprint EI-1435 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1435

    • Heij, C., Groenen, P., & Dijk, D. (2007). Forecast comparison of principal component regression and principal covariate regression. (Econometric Institute Reprint EI-1498 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1498

    • Martens, MPE., & Dijk, D. (2007). Measuring volatility with the realized range. (Econometric Institute Reprint EI-1440 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1440

    • de Pooter, MD., Ravazzolo, F., & Dijk, D. (2007). Predicting the term structure of interest rates: incorporating parameter uncertainty, model uncertainty and macroeconomic information. (TI Discussion Paper series 2007-028/4 ed.) TINBERGEN INSTITUUT. TI Discussion Paper series Vol. 2007-028/4

    • Paap, R., Segers, R., & Dijk, D. (2007). Do leading indicators lead peaks more than troughs? (Econometric Institute Report 2007-08 ed.) Econometrics. Econometric Institute Report Vol. 2007-08

    • Dijk, D., Franses, P. H., & Boswijk, HP. (2007). Absorption of shocks in nonlinear autoregressive models. (Econometric Institute Reprint EI-1444 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1444

    • Heij, C., Dijk, D., & Groenen, P. (2007). Improved forecasting with leading indicators: the principal covariate index. (Econometric Institute Report EI 2007-23 ed.) Econometrics. Econometric Institute Report Vol. EI 2007-23

    • Fidrmuc - Pal'agova, JP., Roosenboom, P., & Dijk, D. (2007). Do private equity investors take firms private for different reasons? (ERIM Report Series 2007-028-F&A ed.) ERIM. ERIM Report Series Vol. 2007-028-F&A

    • Chulia-Soler, H., Dijk, D., & Martens, MPE. (2007). The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations. (ERIM Report Series 2007-066-F&A ed.) ERIM. ERIM Report Series Vol. 2007-066-F&A

    • van Dijk, A., Franses, P. H., Paap, R., & Dijk, D. (2007). Modeling regional house prices. (EI report serie EI 2007-55 ed.) Econometrics. EI report serie Vol. EI 2007-55

    • Dijk, D., de Zwart, GJ., & Frieser, BI. (2007). A Recommitment Strategy for Long Term Private Equity Fund Investors. (ERIM Report Series 2007-097-F&A ed.) ERIM. ERIM Report Series Vol. 2007-097-F&A

    • Heij, C., Dijk, D., & Groenen, P. (2006). Improved construction of diffusion indexes for macroeconomic forecasting. (Econometric Institute Report EI 2006-03 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-03

    • Franses, P. H., & Dijk, D. (2006). A simple test for PPP among traded goods. (Econometric Institute Reprint EI-1430 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1430

    • Hafner, CM. C., Dijk, D., & Franses, P. H. (2006). Semi-parametric modeling of correlation dynamics. (Econometric Institute Reprint EI-1429 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1429

    • Swanson, NR., & Dijk, D. (2006). Are statistical reporting agencies getting it right? Data rationality and Business cycle asymmetry. (Econometric Institute Reprint EI-1421 ed.) Econometrics. Econometric Institute Reprint Vol. EI-1421

    • Lord, R., Koekkoek, R., & Dijk, D. (2006). A comparison of biased simulation schemes for stochastic volatility models. (Tinbergen Institute Discussion Papers 2006-046/4 ed.) Econometrics. Tinbergen Institute Discussion Papers Vol. 2006-046/4

    • Heij, C., Groenen, P., & Dijk, D. (2006). Time series forecasting by principal covariate regression. (Econometric Institute Report EI 2006-37 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-37

    • Ravazzolo, F., Paap, R., Dijk, D., & Franses, P. H. (2006). Bayesian model averaging in the presence of structural breaks. (Econometric Institute Report EI 2006-33 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-33

    • Martens, MPE., & Dijk, D. (2006). Measuring volatility with the realized range. (Econometric Institute Report EI 2006-10 ed.) Econometrics. Econometric Institute Report Vol. EI 2006-10

    • Giordani, P., Kohn, J., & 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

    • Fok, D., Dijk, D., & Franses, P. H. (2005). A multi-level panel star model for us manufacturing sectors. (Econometrisch Institute Reprint serie EI-1379 ed.) Econometrics. Econometrisch Institute Reprint serie Vol. EI-1379

    • Heij, C., Groenen, P., & 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

    • Fok, D., Dijk, D., & Franses, P. H. (2005). Forecasting aggregates using panels, of nonlinear time series. (Econometric Institute Reprint serie EI-1378 ed.) Econometrics. Econometric Institute Reprint serie Vol. EI-1378

    • 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., & 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., & 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., & 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. C., 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

    • Dijk, D., Munandar, MISH., & Hafner, CM. C. (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., & 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., 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

    • Hart, J., de Zwart, G., & Dijk, D. (2005). The succes of stock selection strategies in emerging market: is it risk or behavioral bias? (Econometric Institute Reprint serie EI-1373 ed.) Econometrics. Econometric Institute Reprint serie Vol. EI-1373

    • Osborn, DR., Sensier, M., & Dijk, D. (2005). Predicting growth regimes for European countries. (Econometric Institute Reprint serie EI-1362 ed.) Econometrics. Econometric Institute Reprint serie Vol. EI-1362

    • Medeiros, M., 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

    • Watkins, K., 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

    • 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

    • Fok, D., 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

    • Martens, MPE., 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

    • de Pooter, MD., & 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

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

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

    • 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

    • 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

    • Siliverstovs, B., & 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

    • 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

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

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

    • Swanson, NR., & 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

    • Sensier, M., & 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

    • 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

    • Franses, P. H., & 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

    • 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

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

    • 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

    • 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

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

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

    • Rothman, P., 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

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

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

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

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

    • 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

    • 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., & 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., & 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

    • 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., 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

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

    • 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

    • 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

Working paper (26)

  • Academic (26)

    • Dijk, D., Lumsdaine, R., & Wel, M. (2014). Market set-up in advance of Federal Reserve policy decisions. National Bureau of Economic Research. Working Paper Vol. 19814

    • Diks, C., Panchenko, V., Sokolinskiy, O., & Dijk, D. (2013). Comparing the accuracy of copula-based multivariate density forecasts in selected regions of support. Tinbergen Institute. Discussion Paper Vol. 13-061/III

    • Raviv, E., Bouwman, K., & Dijk, D. (2013). Forecasting day-ahead electricity prices: utilizing hourly prices. Tinbergen Institute. Discussion Paper Vol. 13-068/III

    • Dijk, D., & Kole, E. (2013). How to identify and forecast bull and bear markets? Erasmus Research Institute of Management. Report Vol. 2013-016-F&A

    • Scholtus, ML. M., Dijk, D., & Frijns, B. (2012). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. Tinbergen Institute. Discussion paper Vol. 12-121/3

    • Scholtus, ML. M., & Dijk, D. (2012). High-frequency technical trading: The importance of speed. Tinbergen Institute. Discussion paper Vol. 12-018/4

    • Bannouh, K. K., Martens, MPE., Oomen, RCA., & Dijk, D. (2012). Realized mixed-frequency factor models for vast dimensional covariance estimation. ERIM Report Series 2012-017-F&A.

    • Bannouh, K. K., Martens, MPE., & Dijk, D. (2012). Measuring and forecasting volatility with the realized range in the presence of noise and non-trading. ERIM Report Series 2012-018-F&A.

    • Dijk, D., Cakmakli, C. C., & Paap, R. (2011). Modeling and estimation of synchronization in multistate Markov-switching models. Tinbergen Institute Discussion Paper No. 11-002/4.

    • Bouwman, K., Raviv, E., & Dijk, D. (2011). An Arithmetic Modeling Framework for the Term Structure of Electricity Prices. SSRN. https://doi.org/10.2139/ssrn.1885546

    • Dijk, D., Munandar, MISH., & Hafner, CM. C. (2011). The Euro Introduction and Noneuro Currencies. Econometric Institute. EI reprint reeks Vol. EI-1556

    • Heij, C., Dijk, D., & Groenen, P. (2011). Real-Time Macroeconomic Forecasting with Leading Indicators: An Empirical Comparison. Econometric Institute. EI reprint reeks Vol. EI-1555

    • Exterkate, P. P., Groenen, P., Heij, C., & Dijk, D. (2011). Nonlinear forecasting with many predictors using kernel ridge regression. Tinbergen Institute Discussion Paper TI 11-007.

    • Sokolinskiy, O., & Dijk, D. (2011). Forecasting volatility with copula-based time series models. Tinbergen Institute Discussion Paper No. 11-125/4.

    • Hauwe, S., Paap, R., & Dijk, D. (2011). Bayesian forecasting of federal funds target rate decisions. Tinbergen Institute Discussion Paper No. 11-093/4. https://repub.eur.nl/pub/25708/

    • Cakmakli, C. C., Paap, R., & Dijk, D. (2011). Measuring and predicting heterogeneous recessions. Tinbergen Institute Discussion Paper No. 11-154/4.

    • Hauwe, S., Paap, R., & Dijk, D. (2011). A novel approach to modelling structural breaks. Tinbergen Institute Discussion Paper No. 11-023/4.

    • Basturk, N., Paap, R., & Dijk, D. (2010). Financial development and convergence clubs. DEPARTMENT OF ECONOMETRICS. Econometric Institute Research Report Vol. 2010-52

    • Boswijk, HP., Franses, P. H., & Dijk, D. (2010). Cointegration in a Historical Perspective. Econometric Institute. EI reprint reeks Vol. EI-1554

    • Diks, C., Panchenko, V., & Dijk, D. (2010). Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecast. Econometric Institute. EI reprint reeks Vol. EI-1550

    • de Pooter, MD., Ravazzolo, F., & Dijk, D. (2010). Term structure forecasting using macro factors and forecast combination. Federal Reserve Board of Governors International Finance Discussion Papers No. 2010-993.

    • Schauten, M., & Dijk, D. (2010). Corporate governance and the cost of debt of large European firms. Erasmus Research Institute of Management. Report Vol. 2010-025-F&A

    • Chulia, H., Martens, MPE., & Dijk, D. (2010). Asymmetric effects of Federal Target rate Changes on S&P100 Stock Returns, Volatilities and Correlations. DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1532

    • Lord, R., Koekkoek, R., & Dijk, D. (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. (pp. 1-18). DEPARTMENT OF ECONOMETRICS. EI reprint reeks Vol. EI-1535

    • Exterkate, P. P., Dijk, D., Heij, C., & Groenen, P. (2010). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. (pp. 1-40). DEPARTMENT OF ECONOMETRICS. EI report serie Vol. EI 2010-06

    • Cakmakli, C. C., & Dijk, D. (2010). Getting the most out of macroeconomic information for predicting stock returns and volatility. TINBERGEN INSTITUUT. Tinbergen Institute Discussion Paper Vol. 10-115/4

Additional activities (1)

  • 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., & Dijk, D. (2021). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. Journal of Financial Econometrics. https://doi.org/10.1093/jjfinec/nbab008