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Prof.Dr. D.J.C. van Dijk

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Dick van Dijk

Prof.Dr. D.J.C. van Dijk

Professor of Econometrics (Finance)

Department of Econometrics

Erasmus School of Economics

Erasmus University Rotterdam

 

T: 010-4081263

T: 010-4081277

E: djvandijk@remove-this.ese.eur.nl

Room: H11-31

Personal website: http://people.few.eur.nl/djvandijk/


 

Profile

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Professional experience

Present position
Full Professor
University Erasmus University Rotterdam
School Erasmus School of Economics
Department Econometrics
Country The Netherlands
   

Research

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.

Publications

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Academic publications (96)
  • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2013). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. Oxford Bulletin of Economics and Statistics, to appear.
  • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2013). Structural breaks in the international dynamics of inflation. The Review of Economics and Statistics, to appear.
  • Exterkate, P., Dijk, D.J.C. van, Heij, C. & Groenen, P.J.F. (2013). Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model. (EI reprint serieEI-1598 ). Rotterdam: Econometric Institute.
  • Fidrmuc, J., Palandri, A., Roosenboom, P.G.J. & Dijk, D.J.C. van (2013). When do managers seek private equity backing in public-to-private transactions? Review of Finance, to appear.
  • Exterkate, P., Dijk, D.J.C. van, Heij, C. & Groenen, P.J.F. (2013). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting, accepted.
  • Schauten, M.B.J., Dijk, D.J.C. van & Waal, J.P. van der (2013). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms (forthcoming). European Financial Management.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2012). Structural differences in economic growth. Applied Economics, 44(1), 119-134.
  • Zwart, G.J. de, Frieser, B.I. & Dijk, D.J.C. van (2012). Private equity recommitment strategies for institutional investors. Financial Analysts Journal, 68(3), 81-99.
  • Scholtus, M.L. & Dijk, D.J.C. van (2012). High-frequency technical trading: The importance of speed. (Discussion paper12-018/4 ). Rotterdam: Tinbergen Institute.
  • Santos, A.A.P., Nogales, F.J., Ruiz, Esther & Dijk, D.J.C. van (2012). Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36(7), 1928-1942.
  • Bannouh, K., Martens, M.P.E., Oomen, R.C.A. & Dijk, D.J.C. van (2012). Realized mixed-frequency factor models for vast dimensional covariance estimation. Rotterdam: ERIM Report Series 2012-017-F&A.
  • Scholtus, M.L., Dijk, D.J.C. van & Frijns, B. (2012). Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. (Discussion paper12-121/3 ). Rotterdam: Tinbergen Institute.
  • Opschoor, A., Wel, M. van der, Dijk, D.J.C. van & Taylor, N. (2012). On the Effects of Private Information on Volatility. : Tinbergen Institute Discussion Paper No. 11-077/4.
  • Dijk, D.J.C. van, Koopman, S.J., Wel, M. van der & Wright, J (2012). Forecasting interest rates with shifting endpoints. Rotterdam: Tinbergen Institute Discussion Paper No. 12-076/4.
  • Exterkate, P., Groenen, P.J.F., Heij, C. & Dijk, D.J.C. van (2011). Nonlinear forecasting with many predictors using kernel ridge regression. Rotterdam: Tinbergen Institute Discussion Paper TI 11-007.
  • Bouwman, K.E., Raviv, E. & Dijk, D.J.C. van (2011). An arithmetic framework for electricity pricing (working paper).
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2011). Forecasting with leading indicators by means of the principal covariate index. Journal of Business Cycle Measurement and Analysis, 4(1), 73-92.
  • Dijk, D.J.C. van, Munandar, M.I.S.H. & Hafner, C.M. (2011). The euro introduction and non-euro currencies. Applied Financial Economics, 21(1-2), 95-116.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2011). Real-time macroeconomic forecasting with leading indicators: An empirical comparison. International Journal of Forecasting, 27(2), 466-481.
  • Dijk, A. van, Franses, P.H.B.F., Paap, R. & Dijk, D.J.C. van (2011). Modeling Regional House Prices. Applied Economics, 43(17), 2097-2110.
  • Cakmakli, C., Paap, R. & Dijk, D.J.C. van (2011). Measuring and predicting heterogeneous recessions. Rotterdam: Tinbergen Institute Discussion Paper No. 11-154/4.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (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.
  • Dijk, D.J.C. van, Cakmakli, C. & Paap, R. (2011). Modeling and estimation of synchronization in multistate Markov-switching models. Rotterdam: Tinbergen Institute Discussion Paper No. 11-002/4.
  • Hauwe, S. van den, Paap, R. & Dijk, D.J.C. van (2011). A novel approach to modelling structural breaks. Rotterdam: Tinbergen Institute Discussion Paper No. 11-023/4.
  • Hauwe, S. van den, Paap, R. & Dijk, D.J.C. van (2011). Bayesian forecasting of federal funds target rate decisions. Rotterdam: Tinbergen Institute Discussion Paper No. 11-093/4.
  • Sokolinskiy, O. & Dijk, D.J.C. van (2011). Forecasting volatility with copula-based time series models. Rotterdam: Tinbergen Institute Discussion Paper No. 11-125/4.
  • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails. Journal of Econometrics, 163(2), 215-230.
  • Lord, R., Koekkoek, R. & Dijk, D.J.C. van (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. Quantitative Finance, 10(2), 177-194.
  • Pooter, M.D. de, Ravazzolo, F. & Dijk, D.J.C. van (2010). Term structure forecasting using macro factors and forecast combination. Washington, D.C.: Federal Reserve Board of Governors International Finance Discussion Papers No. 2010-993.
  • Cakmakli, C. & Dijk, D.J.C. van (2010). Getting the most out of macroeconomic information for predicting stock returns and volatility. (Tinbergen Institute Discussion Paper10-115/4 ). Rotterdam: TINBERGEN INSTITUUT.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2010). Financial development and convergence clubs. (Econometric Institute Research Report2010-52 ). Rotterdam: Department of Econometrics.
  • Schauten, M.B .J. & Dijk, D.J.C. van (2010). Corporate governance and the cost of debt of large European firms. Rotterdam: Erasmus Research Institute of Management.
  • Watkins, K., Dijk, D.J.C. van & 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.
  • Boswijk, H.P., Franses, P.H.B.F. & Dijk, D.J.C. van (2010). Twenty years of cointegration. Journal of Econometrics, 158(1), 1-2.
  • Boswijk, H.P., Franses, P.H.B.F. & Dijk, D.J.C. van (2010). Cointegration in a historical perspective. Journal of Econometrics, 158(1), 156-159.
  • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2010). Out-of-sample comparison of copula specifications in multivariate density forecasts. Journal of Economic Dynamics and Control, 34(9), 1596-1609.
  • Chulia-Soler, H., Martens, M.P.E. & Dijk, D.J.C. van (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.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Time Variation in Asset Return Dependence: Strength or Structure. (ERIM Report SeriesERS-2009-052-F&A ). 3000 DR Rotterdam: ERIM.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33(11), 1996-2012.
  • Bannouh, K., Dijk, D.J.C. van & Martens, M.P.E. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7(4), 341-372.
  • Zwart, G.J. de, Markwat, T.D., Swinkels, L.A.P. & Dijk, D.J.C. van (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28(4), 581-604.
  • Musso, A., Stracca, L. & Dijk, D.J.C. van (2009). Instability and nonlinearity in the euro area Phillips curve. International Journal of Central Banking, 5(2), 181-212.
  • Spronk, J., Watkins, K. & Dijk, D.J.C. van (2009). Crisis Macroeconómica y desempeño de la empresa individual. Trimestre Economico, LXXVI(304), 991-1026.
  • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (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.
  • Clements, M.P., Milas, C. & Dijk, D.J.C. van (2009). Forecasting returns and risk in financial markets using linear and nonlinear models. International Journal of Forecasting, 25(2), 215-217.
  • Paap, R., Segers, R. & Dijk, D.J.C. van (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4), 528-543.
  • Ravazzolo, F., Paap, R., Dijk, D.J.C. van & Franses, P.H.B.F. (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.
  • Zwart, G. de & Dijk, D.J.C. van (2008). The inefficient use of macroeconomic information in analysts' earnings forecasts in emerging markets. (ERIM Report Series2008-007-F&A ). 3000 DR Rotterdam: ERIM.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2008). Macroeconomic forecasting with matched principal components. International Journal of Forecasting, 24(1), 87-100.
  • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (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.
  • Giordani, P., Kohn, R. & Dijk, D.J.C. van (2007). A unified approach to nonlinearity, structural change, and outliers. Journal of Econometrics, 137(1), 112-133.
  • Heij, C., Groenen, P.J.F. & Dijk, D.J.C. van (2007). Forecast comparison of principal component regression and principal covariate regression. Computational Statistics and Data Analysis, 51(7), 3612-3625.
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1), 181-207.
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Boswijk, H.P. (2007). Absorption of shocks in nonlinear autoregressive models. Computational Statistics and Data Analysis, 51(9), 4206-4226.
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Ravazolo, F. (2007). Evaluating real-time forecasts in real-time. (Econometric Institute ReportEI 2007-33 ). 3000 DR Rotterdam: Econometrics.
  • Fidrmuc - Pal'agova, J.P., Roosenboom, P.G.J. & Dijk, D.J.C. van (2007). Private equity fondsen en publiek naar privaat transacties. MAB, 81(7/8), 323-334.
  • Heij, C., Groenen, P.J.F. & Dijk, D.J.C. van (2006). Time series forecasting by principal covariate regression. (Econometric Institute ReportEI 2006-37 ). 3000 DR Rotterdam: Econometrics.
  • Hafner, C.M., Dijk, D.J.C. van & Franses, P.H.B.F. (2006). Semiparametric modelling of correlation dynamics. In D. Terrell & T. Fomby (Eds.), Advances in Econometrics Volume 20 (pp. 59-103). Amsterdam: Elsevier JAI.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2006). A simple test for PPP among traded goods. Applied Financial Economics, 16(1/2), 19-27.
  • Milas, C., Rothman, P. & Dijk, D.J.C. van (Eds.). (2006). Nonlinear time series analysis of business cycles. Amsterdam: Elsevier Science.
  • Harvey, D.I. & Dijk, D.J.C. van (2006). Sample size, lag order and critical values of seasonal unit root tests. Computational Statistics and Data Analysis, 50, 2734-2751.
  • Swanson, N.R. & Dijk, D.J.C. van (2006). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. Journal of Business and Economic Statistics, 24(1), 24-42.
  • Dijk, D.J.C. van, Dijk, H.K. van & Franses, P.H.B.F. (2005). On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20(2), 147-150.
  • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). A multi-level panel STAR model for US manufacturing sectors. Journal of Applied Econometrics, 20(6), 811-827.
  • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). Forecasting aggregate using panels, of nonlinear time series. International Journal of Forecasting, 21(4), 785-794.
  • Paap, R., Franses, P.H.B.F. & Dijk, D.J.C. van (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.
  • Terasvirta, T., Dijk, D.J.C. van & 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.
  • Hart, J. van der, Zwart, G. de & Dijk, D.J.C. van (2005). The succes of stock selection strategies in emerging markets: is it risk or behavioral bias? Emerging Markets Review, 6(3), 238-262.
  • Dijk, D.J.C. van, Osborn, D.R. & Sensier, M. (2005). Testing for causality in variance in the presence of breaks. Economics Letters, 89(2), 193-199.
  • Terasvirta, T., Dijk, D.J.C. van & 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.
  • Gonzalez, A., Terasvirta, T. & Dijk, D.J.C. van (2005). Panel smooth transition regression models. (SSE/EFI Working Paper Series in Economics and Finance604 ). 3000 DR Rotterdam: Econometrics.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2005). The forecasting performance of various models for seasonality and non-linearity for quarterly industrial production. International Journal of Forecasting, 21(2), 87-102.
  • Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (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.
  • Sensier, M. & Dijk, D.J.C. van (2004). Testing for volatility changes in U.S. macroeconomic time series. The Review of Economics and Statistics, 86(3), 833-839.
  • Franses, P.H.B.F., Dijk, D.J.C. van & Lucas, A. (2004). Short patches of outliers, ARCH and volatility modelling. Applied Financial Economics, 14(4), 221-231.
  • Hart, J. van der, Slagter, E. & Dijk, D.J.C. van (2003). Stock selection strategies in emerging markets. Journal of Empirical Finance, 10(1-2), 105-132.
  • Dijk, D.J.C. van, 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, M.P., Franses, P.H.B.F., Smith, J. & Dijk, D.J.C. van (2003). On SETAR non-linearity and forecasting. Journal of Forecasting, 22(5), 359-376.
  • Dijk, D.J.C. van & Franses, P.H.B.F. (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy. Oxford Bulletin of Economics and Statistics, 65(Supplement), 727-744.
  • Teräsvirta, T., Strikholm, B. & Dijk, D.J.C. van (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.
  • Teräsvirta, T. & Dijk, D.J.C. van (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.
  • Lundbergh, S., Teräsvirta, T. & Dijk, D.J.C. van (2003). Time-varying smooth transition autoregressive models. Journal of Business and Economic Statistics, 21(1), 104-121.
  • Taylor, A.M.R. & Dijk, D.J.C. van (2002). Can tests for stochastic unit roots provide useful portmanteau tests for persistence? Oxford Bulletin of Economics and Statistics, 64(4), 381-397.
  • Dijk, D.J.C. van, Teräsvirta, T. & Franses, P.H.B.F. (2002). Smooth transition autoregressive models - a survey of recent developments. Econometric Reviews, 21(1), 1-47.
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment. Journal of Econometrics, 110(2), 135-165.
  • Franses, P.H.B.F., Neele, J. & Dijk, D.J.C. van (2001). Modeling asymmetric volatility in weekly Dutch temperature data. Environmental Modelling & Software, 16(2), 131-137.
  • Rothman, P., Dijk, D.J.C. van & Franses, P.H.B.F. (2001). Multivariate star analysis of money-output relationship. Macroeconomic Dynamics, 5, 506-532.
  • Taylor, N., Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (2000). SETS, arbitrage activity, and stock price dynamics. Journal of Banking and Finance, 24, 1289-1306.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2000). Non-linear time series models in empirical finance. Cambridge: Cambridge University Press.
  • Dijk, D.J.C. van & Franses, P.H.B.F. (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.
  • Dijk, D.J.C. van & Franses, P.H.B.F. (1999). Modeling multiple regimes in the business cycle. Macroeconomic Dynamics, 3, 311-340.
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (1999). Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics, 14, 539-562.
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers. Journal of Business and Economic Statistics, 17(2), 217-235.
  • Eisinga, R., Franses, P.H.B.F. & Dijk, D.J.C. van (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.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (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.
  • Dijk, D.J.C. van & Franses, P.H.B.F. (1996). Forecasting stock market volatility using (nonlinear) GARCH models. Journal of Forecasting, 15, 229-235.
Doctoral thesis (1)
  • Dijk, D.J.C. van (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.