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Academic staff - Erasmus School of Economics

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

 

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
   
Other position

Research

Dick van Dijk (1971) is Professor in Financial Econometrics at the Econometric Institute, School of Economics, Erasmus University Rotterdam. He received his PhD in econometrics at Erasmus University Rotterdam in 1999 (cum laude). His research interests include volatility modelling and forecasting, high-frequency data, asset return predictability, business cycle analysis, and nonlinear time series analysis. He has published in the Journal of Applied Econometrics, Journal of Business and Economic Statistics, Journal of Econometrics, Journal of Empirical Finance, and Review of Economics and Statistics, among others.

Financial Economics & Accounting
Role Member
 
Econometrics
Role Member
 

Publications

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Scholarly publications (193)
  • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2012). Structural breaks in the international dynamics of inflation. The Review of Economics and Statistics, accepted.
  • Fidrmuc, J., Palandri, A., Roosenboom, P.G.J. & Dijk, D.J.C. van (2012). When do managers seek private equity backing in public-to-private transactions? Review of Finance.
  • Zwart, G.J. de, Frieser, B.I. & Dijk, D.J.C. van (2012). Private equity recommitment strategies for institutional investors. Financial Analysts Journal, accepted.
  • Exterkate, P., Dijk, D.J.C. van, Heij, C. & Groenen, P.J.F. (2012). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting, accepted.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2012). Structural differences in economic growth. Applied Economics, 44, 119-134.
  • 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.
  • 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.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2011). Structural Differences in Economic Growth: An Endogenous Clustering Approach. (EI Reprint reeksEI-1572 ). Rotterdam: Econometric Institute.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2011). Structural Differences in Economic Growth: An Endogenous Clustering Approach. Applied Economics, 44, 119-134.
  • 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.
  • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2011). Likelihood-based Scoring Rules for Comparing Density Forecast in Tails. (EI reprint reeksEI-1567 ). Rotterdam: Econometric Institute.
  • Dijk, A. van, Franses, P.H.B.F., Paap, R. & Dijk, D.J.C. van (2011). Modelling Regional House Prices. (EI reprint reeksEI-1568 ). Rotterdam: Econometric Institute.
  • Schauten, M.B.J., Dijk, D.J.C. van & Waal, J.P. van der (2011). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms (forthcoming). European Financial Management.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2011). Forecasting with Leading Indicators by means of the Principal Covariate Index. (EI reprint reeksEI-1563 ). Rotterdam: Econometric Institute.
  • Opschoor, A., Wel, M. van der, Dijk, D.J.C. van & Taylor, N. (2011). On the Effects of Private Information on Volatility (working paper).
  • 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.
  • 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, 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). Forecasting with leading indicators by means of the principal covariate index. Journal of Business Cycle Measurement and Analysis, 4(1), 73-92.
  • Bouwman, K.E., Raviv, E. & Dijk, D.J.C. van (2011). An arithmetic framework for electricity pricing (working paper).
  • Dijk, D.J.C. van, Munandar, M.I.S.H. & Hafner, C.M. (2011). The Euro Introduction and Noneuro Currencies. (EI reprint reeksEI-1556 ). Rotterdam: Econometric Institute.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2011). Real-Time Macroeconomic Forecasting with Leading Indicators: An Empirical Comparison. (EI reprint reeksEI-1555 ). Rotterdam: Econometric Institute.
  • 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.
  • Chulia, H., Martens, M.P.E. & Dijk, D.J.C. van (2010). Asymmetric effects of Federal Target rate Changes on S&P100 Stock Returns, Volatilities and Correlations. (EI reprint reeksEI-1532 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • 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.
  • 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.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2010). Financial development and convergence clubs. (Econometric Institute Research Report2010-52 ). Rotterdam: Department of Econometrics.
  • 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.
  • 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.
  • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2010). Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecast. (EI reprint reeksEI-1550 ). Rotterdam: Econometric Institute.
  • Lord, R., Koekkoek, R. & Dijk, D.J.C. van (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. (EI reprint reeksEI-1535 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Boswijk, H.P., Franses, P.H.B.F. & Dijk, D.J.C. van (2010). Cointegration in a Historical Perspective. (EI reprint reeksEI-1554 ). Rotterdam: Econometric Institute.
  • 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, 1596-1609.
  • 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.
  • 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.
  • 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.
  • Exterkate, P., Dijk, D.J.C. van, Heij, C. & Groenen, P.J.F. (2010). Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. (EI report serieEI 2010-06 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Zwart, G. 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. (EI reprint reeksEI-1507 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • 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.
  • 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.
  • Paap, R., Segers, R. & Dijk, D.J.C. van (2009). Do leading indicators lead peaks more than troughs? (274 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • 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.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2009). Contagion as a domino effect in global stock markets. (EI reprint reeksEI-1523 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • 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.
  • Bannouh, K., Dijk, D.J.C. van & Martens, M.P.E. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. (EI reprint reeksEI-1523 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2009). Macroeconomic Forecasting with Real-Time Data: An Empirical Comparison. (EI report serieEI 2009-27 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • 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. (EI reprint reeksEI-1511 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2009). Structural breaks in the international transmission of inflation. (CGBCR Discussion PapersNo. 119 ). Manchester: Center for Growth and Business Cycle Research.
  • 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.
  • Boswijk, H.P., Franses, P.H.B.F. & Dijk, D.J.C. van (2009). Cointegration in a historical perspective. (EI report serieEI 2009-08 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Spronk, J., Watkins, K. & Dijk, D.J.C. van (2009). Crisis Macroeconómica y desempeño de la empresa individual. Trimestre Economico, LXXVI(304), 991-1026.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2009). Macroeconomic forecasting with matched principal components. (EI reprint reeksEI-1499 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • 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.
  • Clements, M.P., Milas, C. & Dijk, D.J.C. van (2009). Forecasting returns and risk in financial markets using linear and nonlinear models. (EI reprint reeksEI-1500 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • 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. (EI reprint reeksEI-1501 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Schauten, M.B.J., Dijk, D.J.C. van & Waal, J.P. van der (2008). Corporate governance and the value of excess cash holdings of large European firms. (ERIM Report Series2008-027-F&A ). 3000 DR Rotterdam: ERIM.
  • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2008). Partial likelihood-based scoring rules for evaluating density forecasts in tails. (Tinbergen Institute Discussion Papers08-050/4 ). 3000 DR Rotterdam: TINBERGEN INSTITUUT.
  • 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.
  • 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 in use? (EI reprint reeksEI 1475 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • Basturk, N., Paap, R. & Dijk, D.J.C. van (2008). Structural differences in economic growth. (Tinbergen Institute Discussion Papers08-085/4 ). 3000 DR Rotterdam: TINBERGEN INSTITUUT.
  • Diks, C., Panchenko, V. & Dijk, D.J.C. van (2008). Out-of-sample comparison of copula specifications in multivariate density forecasts. (Tinbergen Institute Discussion Papers08-105/4 ). 3000 DR Rotterdam: TINBERGEN INSTITUUT.
  • Bataa, E., Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2008). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. (CGBCR Discussion PapersNo. 109 ). Manchester: Center for Growth and Business Cycle Research.
  • 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.
  • Markwat, T.D., Kole, H.J.W.G. & Dijk, D.J.C. van (2008). Contagion as a Domino Effect in Global Stock Markets. (ERIM Report Series2008-071-F&A ). 3000 DR Rotterdam: ERIM.
  • 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., 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.
  • Giordani, P., Kohn, R. & Dijk, D.J.C. van (2007). A unified approach to nonlinearity, structural change, and outliers. (Econometric Institute ReprintEI-1435 ). 3000 DR Rotterdam: Econometrics.
  • Dijk, A. van, Franses, P.H.B.F., Paap, R. & Dijk, D.J.C. van (2007). Modeling regional house prices. (EI report serieEI 2007-55 ). 3000 DR Rotterdam: Econometrics.
  • Paap, R., Segers, R. & Dijk, D.J.C. van (2007). Do leading indicators lead peaks more than troughs? (Econometric Institute Report2007-08 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • 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.
  • Fidrmuc - Pal'agova, J.P., Roosenboom, P.G.J. & Dijk, D.J.C. van (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.
  • 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.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2007). Improved forecasting with leading indicators: the principal covariate index. (Econometric Institute ReportEI 2007-23 ). 3000 DR Rotterdam: Econometrics.
  • Heij, C., Groenen, P.J.F. & Dijk, D.J.C. van (2007). Forecast comparison of principal component regression and principal covariate regression. (Econometric Institute ReprintEI-1498 ). 3000 DR Rotterdam: Econometrics.
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1), 181-207.
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. (Econometric Institute ReprintEI-1440 ). 3000 DR Rotterdam: Econometrics.
  • Pooter, M.D. de, Ravazzolo, F. & Dijk, D.J.C. van (2007). Predicting the term structure of interest rates: incorporating parameter uncertainty, model uncertainty and macroeconomic information. (TI Discussion Paper series2007-028/4 ). 3000 DR Rotterdam: TINBERGEN INSTITUUT.
  • Dijk, D.J.C. van, Zwart, G.J. de & Frieser, B.I. (2007). A Recommitment Strategy for Long Term Private Equity Fund Investors. (ERIM Report Series2007-097-F&A ). 3000 DR Rotterdam: ERIM.
  • 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, Chulia-Soler, H. & Martens, M.P.E. (2007). The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations. (ERIM Report Series2007-066-F&A ). 3000 DR Rotterdam: ERIM.
  • Fidrmuc - Pal'agova, J.P., Roosenboom, P.G.J. & Dijk, D.J.C. van (2007). Do private equity investors take firms private for different reasons? (ERIM Report Series2007-028-F&A ). 3000 DR Rotterdam: ERIM.
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Boswijk, H.P. (2007). Absorption of shocks in nonlinear autoregressive models. (Econometric Institute ReprintEI-1444 ). 3000 DR Rotterdam: Econometrics.
  • Dijk, D.J.C. van (2007). Goed nieuws is geen nieuws. Oratie (2007, november 15). Rotterdam: ERIM.
  • Giordani, P., Kohn, J. & Dijk, D.J.C. van (2006). A unified approach to nonlinearity outliers and structural breaks. (Econometric Institute Report Serie2005-09 ). 3000 DR Rotterdam: Econometrics.
  • Heij, C., Dijk, D.J.C. van & Groenen, P.J.F. (2006). Improved construction of diffusion indexes for macroeconomic forecasting. (Econometric Institute ReportEI 2006-03 ). 3000 DR Rotterdam: Econometrics.
  • Martens, M.P.E. & Dijk, D.J.C. van (2006). Measuring volatility with the realized range. (Econometric Institute ReportEI 2006-10 ). 3000 DR Rotterdam: Econometrics.
  • Ravazzolo, F., Paap, R., Dijk, D.J.C. van & Franses, P.H.B.F. (2006). Bayesian model averaging in the presence of structural breaks. (Econometric Institute ReportEI 2006-33 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • Lord, R., Koekkoek, R. & Dijk, D.J.C. van (2006). A comparison of biased simulation schemes for stochastic volatility models. (Tinbergen Institute Discussion Papers2006-046/4 ). 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.
  • Swanson, N.R. & Dijk, D.J.C. van (2006). Are statistical reporting agencies getting it right? Data rationality and Business cycle asymmetry. (Econometric Institute ReprintEI-1421 ). 3000 DR Rotterdam: Econometrics.
  • Hafner, C.M., Dijk, D.J.C. van & Franses, P.H.B.F. (2006). Semi-parametric modeling of correlation dynamics. (Econometric Institute ReprintEI-1429 ). 3000 DR Rotterdam: Econometrics.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2006). A simple test for PPP among traded goods. (Econometric Institute ReprintEI-1430 ). 3000 DR Rotterdam: Econometrics.
  • Knoops, C.D. & Dijk, D.J.C. van (2006). Characteristics of firms restating financial statements. Evidence from non-US firms. In 29th Annual Congres of the European Accounting Association.
  • Dijk, D.J.C. van (2006). Book review [Bespreking van het boek Neural networks in finance; gaining predictive edge in the market]. International Journal of Forecasting, 22(2), 407-408.
  • Heij, C., Groenen, P.J.F. & Dijk, D.J.C. van (2005). Forecast comparison of principal component regression and principal covariate regression. (Econometric Institute Report SerieEI 2005-28 ). 3000 DR Rotterdam: Econometrics.
  • Dijk, D.J.C. van, Munandar, M.I.S.H. & Hafner, C.M. (2005). The euro introduction and non-euro currencies. (Tinbergen Institute Discussion Papers05-044/4 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (2005). Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? (Tinbergen Institute Discussion Papers05-089/4 ). 3000 DR Rotterdam: Econometrics.
  • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). Forecasting aggregates using panels, of nonlinear time series. (Econometric Institute Reprint serieEI-1378 ). 3000 DR Rotterdam: Econometrics.
  • Hart, J. van der, Zwart, G. de & Dijk, D.J.C. van (2005). The succes of stock selection strategies in emerging market: is it risk or behavioral bias? (Econometric Institute Reprint serieEI-1373 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). A multi-level panel star model for us manufacturing sectors. (Econometrisch Institute Reprint serieEI-1379 ). 3000 DR Rotterdam: Econometrics.
  • Osborn, D.R., Sensier, M. & Dijk, D.J.C. van (2005). Predicting growth regimes for European countries. (Econometric Institute Reprint serieEI-1362 ). 3000 DR Rotterdam: Econometrics.
  • Hafner, C.M., Dijk, D.J.C. van & Franses, P.H.B.F. (2005). Semi-parametric modelling of correlation dynamics. (Econometric Institute Report SerieEI 2005-26 ). 3000 DR Rotterdam: Econometrics.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2005). The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production. (Econometric Institute Reprint Serie). 3000 DR Rotterdam: Econometrics.
  • 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. (Econometric Institute Reprint Serie2005-1356 ). 3000 DR Rotterdam: Econometrics.
  • 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. (Econometric Institute Reprint Serie2005-1371 ). 3000 DR Rotterdam: Econometrics.
  • 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 autoregressions, and neural networks for forecasting macroeconomic time series: a re-axamination. (Econometric Institute Reprint Serie2005-1377 ). 3000 DR Rotterdam: Econometrics.
  • 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.
  • Medeiros, M., Dijk, D.J.C. van & Terasvirta, T. (2004). Linear models, smooth transitition autoregressions, and neural networks for forecasting macroeconomic time series. (SSE/EFI Working Paper Series in Economics and Finance561 ). Stockholm: Stockholm School of Economics.
  • 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.
  • Dijk, D.J.C. van, Osborn, D.R. & Sensier, M. (2004). Testing for causality in variance in the presence of breaks. (Econometric InstituteEI 2004-48 ). 3000 DR Rotterdam: Econometrics.
  • Fok, D., Dijk, D.J.C. van & Franses, P.H.B.F. (2004). Forecasting aggregates using panels of nonlinear time series. (Econometric InstituteEI 2004-44 ). : .
  • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (2004). Modeling and forecasting S&P 500 volatility: long memory, structural breaks and nonlinearity. (Econometric Institute Report067/4 ). : .
  • Pooter, M.D. de & Dijk, D.J.C. van (2004). Testing for changes in volatility in heteroskedastic time series - A further examination. (Econometric InstituteEI 2004-38 ). : .
  • Watkins, K., Dijk, D.J.C. van & Spronk, J. (2004). Macroeconomic crisis and individual firm performance: The Mexican experience. (Discussion Paper Tinbergen Institute2004-057/2 ). : .
  • 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.
  • Paap, R., Franses, P.H.B.F. & Dijk, D.J.C. van (2003). Does Africa grow slower than Asia and Latin America? (Econometric InstituteEI 2003-07 ). : .
  • 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.
  • 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.
  • Dijk, D.J.C. van, Osborn, D.R. & Sensier, M. (2003). Predicting growth cycle regimes for European countries. (Research Discussion Paper SeriesNo. 39 ). Manchester: University of Manchester.
  • Dijk, D.J.C. van & Sensier, M. (2003). Testing for volatility changes in US macroeconomic time series. (Research Discussion Paper SeriesNo. 36 ). Manchester: University of Manchester.
  • Dijk, D.J.C. van, Fok, D. & Franses, P.H.B.F. (2003). A multi-level panel smooth transition autoregression for US sectoral production. : .
  • Dijk, D.J.C. van & Harvey, A.C. (2003). Sample size, lag order and critical values of seasonal unit root tests. Loughborough: University of Loughborough.
  • 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.
  • 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.
  • 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.
  • 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.
  • Siliverstovs, B. & Dijk, D.J.C. van (2003). Forecasting industrial production with linear, nonlinear, and structural change models. (Ecomometric InstituteEI 2003-16 ). : .
  • 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.
  • Dijk, D.J.C. van & Franses, P.H.B.F. (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy. (Econometric InstituteEI 2003-10 ). : .
  • Dijk, D.J.C. van, Osborn, D.R. & Sensier, M. (2002). Changes in variability of the business cycle in the G7 countries. (Econometric Institute2002-28/A ). : .
  • 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.
  • 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.
  • 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.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2002). A simple test for PPP among traded goods. (Econometric Institute2002-2/A ). : .
  • Dijk, D.J.C. van & Strikholm, B. (2001). The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series. (Econometric InstituteEI 2001-12 ). : .
  • Franses, P.H.B.F. & Dijk, D.J.C. van (2001). The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production. (Econometric InstituteEI 2001-14 ). : .
  • Swanson, N.R. & Dijk, D.J.C. van (2001). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. (Econometric InstituteEI 2001-28 ). : .
  • 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.
  • Sensier, M. & Dijk, D.J.C. van (2001). Short-term volatility versus long-term growth: evidence in US macroeconomic time series. (Econometric InstituteEI 2001-11 ). : .
  • 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.
  • Dijk, D.J.C. van, Teräsvirta, T. & Franses, P.H.B.F. (2000). Smooth transition autoregressive models - A survey of recent developments. (Econometric Institute2000-23/A ). : .
  • 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. & Paap, R. (2000). A nonlinear long memory model for US unemployment. (Econometric Institute2000-30/A ). : .
  • Franses, P.H.B.F., Bruin, P.T. de & Dijk, D.J.C. van (2000). Seasonal smooth transition autoregression. (Econometric Institute2000-06/A ). : .
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Boswijk, H.P. (2000). Asymmetric and common absorption of shocks in nonlinear autoregressive models. (Econometric Institute2000-01/A ). : .
  • 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.
  • Rothman, P., Dijk, D.J.C. van & Franses, P.H.B.F. (1999). A multivariate STAR analysis of the relationship between money and output. (Econometric Institute9945/A ). : .
  • 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.
  • Franses, P.H.B.F. & Dijk, D.J.C. van (1999). Outlier detection in the GARCH (1,1) model. (Econometric Institute9926/A ). : .
  • Taylor, A.M.R. & Dijk, D.J.C. van (1999). Testing for stochastic unit roots - some Monte Carlo evidence. (Econometric Institute9922/A ). : .
  • 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.
  • Berben, R.-P & Dijk, D.J.C. van (1999). Unit root tests and asymetric adjustment - a reassessment. (Econometric Institute9902/A ). : .
  • Escribano, A., Franses, P.H.B.F. & Dijk, D.J.C. van (1998). Nonlinearities and outliers: robust specification of STAR models. (Econometric Institute9832 ). : .
  • Dijk, D.J.C. van, Haralambides, H.E. & Veenstra, A.W. (1998). Modelling ocean charter rates: an investigation into non-linearity and parameter variation. 8th World Conference on Transport Research: Antwerp.
  • Dijk, D.J.C. van & Berben, R.B. (1998). Does the absence of cointegration explain the typical finding in long horizon regressions? (Econometric Institute9814 ). : .
  • 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., Neele, J. & Dijk, D.J.C. van (1998). Forecasting volatility with switching persistence GARCH models. (Econometric Institute9819 ). : .
  • Franses, P.H.B.F., Neele, J. & Dijk, D.J.C. van (1998). Modelling asymmetric volatility in weekly Dutch temperature data. (Econometric Institute9840/A ). : .
  • Dijk, D.J.C. van & Franses, P.H.B.F. (1997). Nonlinear error-correction models for interest rates in the Netherlands. (Econometric Institute9704/A ). : .
  • Eisinga, R., Franses, P.H.B.F. & Dijk, D.J.C. van (1997). Timing of vote decision in first and second order Dutch elections 1978-1995: evidence from artificical neural networks. (Econometric Institute9733/A ). : .
  • Veenstra, A.W., Dijk, D.J.C. van & Franses, P.H.B.F. (1997). Partially linear additive modelling of ocean charter rates. (Chair of Maritime Economics97-10 ). : .
  • Franses, P.H.B.F. & Dijk, D.J.C. van (1997). Do we often find ARCH because of neglected outliers? (Econometric Institute9706/A ). : .
  • Dijk, D.J.C. van & Franses, P.H.B.F. (1997). Modelling multiple regimes in the business cycle. (Econometric Institute9734/A ). : .
  • 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.
  • Dijk, D.J.C. van & Franses, P.H.B.F. (1996). Testing for ARCH in the presence of additive outliers. (Econometric Institute9659/A ). : .
  • Dijk, D.J.C. van, Franses, P.H.B.F. & Lucas, A. (1996). Testing for smooth transition nonlinearity in the presence of outliers. (Econometric Institute9622/A ). : .
  • Dijk, D.J.C. van & Franses, P.H.B.F. (1995). Empirical specification of nonlinear error-correction models. (Discussion PaperTI 9544/A ). : .
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.