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.
Erasmus School of Economics
Full professor | Econometrics
- djvandijk@ese.eur.nl
- Room
- ET-18
- Location
- Burg. Oudlaan 50, Rotterdam
More information
Work
- 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]
- Erik Kole, TD (Thijs) Markwat, A (Anne) Opschoor & Dick van Dijk (2017) - Forecasting Value-at-Risk under temporal and portfolio aggregation - Journal of Financial Econometrics, 15 (4), 649-677 - doi: 10.1093/jjfinec/nbx019 - [link]
- A (Anne) Opschoor, Dick van Dijk & Michel van der Wel (2017) - Combining density forecasts using focused scoring rules - Journal of Applied Econometrics, 32 (7), 1298-1313 - doi: 10.1002/jae.2575 - [link]
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Thesis Hub Bachelor Econometrics & OR
- Year
- 2023
- Course Code
- FEB63007
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Quantitative Methods for Finance
- Year Level
- bachelor 3, bachelor 3, bachelor 4
- Year
- 2023
- Course Code
- FEB23006
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Thesis Hub BSc2 Econometrics / Economics
- Year
- 2023
- Course Code
- FEB63008
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Internship Hub
- Year
- 2023
- Course Code
- FEB63017
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Seminar Financial Case Studies
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM21019
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Machine Learning in Finance
- Year
- 2023
- Course Code
- FEM21045
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Machine Learning
- Level
- master
- Year Level
- master
- Year
- 2023
- Course Code
- FEM31002
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Major & Master Orientation(econometrics)
- Year
- 2023
- Course Code
- FEB62010
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Machine Learning in Finance
- Level
- Master
- Year Level
- Master
- Year
- 2023
- Course Code
- EBDS21216
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
Advanced Time Series Econometrics
- Level
- Master
- Year Level
- Master
- Year
- 2023
- Course Code
- TI022
International Journal of Forecasting
- Start date approval
- januari 2024
- End date approval
- januari 2027
- Place
- AMSTERDAM
- Description
- Editor
