Biography
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.
More information
Work
- Bart Keijsers & Dick van Dijk (2025) - Does economic uncertainty predict real activity in real time? - International Journal of Forecasting, 41 (2), 748-762 - doi: 10.1016/j.ijforecast.2024.06.008 - [link]
- Bram van Os & Dick van Dijk (2024) - Accelerating peak dating in a dynamic factor Markov-switching model - International Journal of Forecasting, 40 (1), 313-323 - doi: 10.1016/j.ijforecast.2023.03.005 - [link]
- Erik Kole & Dick van Dijk (2023) - Moments, shocks and spillovers in Markov-switching VAR models - Journal of Econometrics, 236 (2) - doi: 10.1016/j.jeconom.2023.105474 - [link]
- Sander Barendse, Erik Kole & Dick van Dijk (2023) - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error - Journal of Financial Econometrics, 21 (2), 528-568 - doi: 10.1093/jjfinec/nbab008 - [link]
- C (Cem) Cakmakli, Richard Paap & Dick van Dijk (2022) - Modeling and estimation of synchronization in size-sorted portfolio returns - Central Bank Review, 22 (4), 129-140 - doi: 10.1016/j.cbrev.2022.11.001
- Erik Kole & Dick van Dijk (2021) - Moments, Shocks and Spillovers in Markov-switching VAR Models - doi: 10.2139/ssrn.3924951
- Anne Opschoor, André Lucas, István Barra & Dick van Dijk (2021) - Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings - Journal of Business and Economic Statistics, 39 (4), 1066-1079 - doi: 10.1080/07350015.2020.1763806 - [link]
- Philip Hans Franses & Dick van Dijk (2019) - Combining expert-adjusted forecasts - Journal of Forecasting, 38 (5), 415-421 - doi: 10.1002/for.2570 - [link]
- Dick van Dijk & Philip Hans Franses (2019) - Combining expert-adjusted forecasts - [link]
- P Janus, A (André) Lucas, A (Anne) Opschoor & Dick van Dijk (2018) - New HEAVY models for fat-tailed realized covariances and returns - Journal of Business and Economic Statistics, 36 (4), 643-657 - doi: 10.1080/07350015.2016.1245622 - [link]
- Dick Dijk (2007) - Journal of Applied Econometrics (Journal) (Editor)
Activity: Editorial work › Academic - Dick Dijk (2004) - International Journal of Forecasting (Journal) (Editor)
Activity: Editorial work › Academic - Dick Dijk (2001) - Applied Economics (Journal) (Editor)
Activity: Editorial work › Academic
International Journal of Forecasting
- Start date approval
- January 2024
- End date approval
- January 2027
- Place
- AMSTERDAM
- Description
- Editor
Thesis Hub Bachelor Econometrics & OR
- Year
- 2024
- Course Code
- FEB63007H
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2024
- Course Code
- FEB63008H
Seminar Financial Case Studies
- Year
- 2024
- Course Code
- FEM21019
Time Series Analysis
- Year
- 2024
- Course Code
- FEB23001
Time Series Analysis
- Year
- 2024
- Course Code
- FEB23001X
Machine Learning in Econometrics
- Level
- Master
- Year Level
- Master
- Year
- 2024
- Course Code
- TIF20218
Major & Master Orientation(econometrics)
- Year
- 2024
- Course Code
- FEB62010
Quantitative Methods for Finance
- Year
- 2024
- Course Code
- FEB23006
Machine Learning
- Year
- 2024
- Course Code
- FEM31002
Advanced Time Series Econometrics
- Level
- Master
- Year Level
- Master
- Year
- 2024
- Course Code
- TIF20126
Internship Hub
- Year
- 2024
- Course Code
- FEB63017
Machine Learning in Econometrics
- Year
- 2024
- Course Code
- FEM21045
Thesis BDS
- Year
- 2024
- Course Code
- TIC20899
Inform Internship & Minor (econometrics)
- Year
- 2024
- Course Code
- FEB62011
