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Home | People | Dick van Dijk
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Dick van Dijk

Research Fellow

University
Erasmus University Rotterdam
Research field
Econometrics
Interests
Finance, Financial Econometrics, Macroeconometrics, Risk Management, Time Series Econometrics

Key publications

List of publications

Anne Opschoor and Pawel Janus and André Lucas and Van Dijk, Dick. 2018. New HEAVY Models for Fat-Tailed Realized Covariances and Returns. Journal of Business and Economic Statistics, 643--657, 0735-0015

Kole,H.J.W.G. and van Dijk,D.J.C.. 2017. How to identify and forecast bull and bear markets?. Journal of Applied Econometrics, 32, 120--139

Opschoor,A. and van Dijk,D.J.C. and van der Wel,M.. 2017. Combining Density Forecasts using Focused Scoring Rules. Journal of Applied Econometrics, 32, 1298--1313

Erik Kole and Thijs Markwat and Anne Opschoor and Van Dijk, Dick. 2017. Forecasting Value-at-Risk under Temporal and Portfolio Aggregation*. Journal of Financial Econometrics, 15, 649--677, 1479-8409

Ozturk,S.R. and van der Wel,M. and van Dijk,D.J.C.. 2017. Intraday price discovery in fragmented markets. Journal of Financial Markets, 32, 28--48

Lumsdaine,R.L. and van Dijk,D.J.C. and van der Wel,M.. 2016. Market Set-Up in Advance of Federal Reserve Policy Decisions. Economic Journal, 126, 618--653

van Dijk,D.J.C. and Lumsdaine,R.L. and van der Wel,M.. 2016. Market set-up in advance of Federal Reserve policy rate decisions. Economic Journal, 126, 618--653

Cakmakli,C. and van Dijk,D.J.C.. 2016. Getting the most out of macroeconomics information for predicting excess stock returns. International Journal of Forecasting, 32, 650--668

Exterkate,P. and Groenen,P.J.F. and Heij,C. and van Dijk,D.J.C.. 2016. Nonlinear forecasting with many predictors using kernel ridge regression. International Journal of Forecasting, 32, 736--753

Raviv,E. and Bouwman,K.E. and van Dijk,D.J.C.. 2015. Forecasting day-ahead electricity prices: Utilizing hourly prices. Energy Economics, 50, 227--239

van Dijk,D.J.C. and Koopman,S.J. and van der Wel,M. and Wright,J. 2014. Forecasting interest rates with shifting endpoints. Journal of Applied Econometrics, 29, 693--712

C. Diks and V. Panchenko and O. Sokolinskiy and van Dijk, D.. 2014. Comparing the accuracy of multivariate density forecasts in selected regions of the copula support. Journal of Economic Dynamics \& Control, 48, 79--94, 0165-1889

A. Opschoor and van Dijk, D. and van der Wel, M.. 2014. Predicting volatility and correlations with Financial Conditions Indexes. Journal of Empirical Finance, 29, 435--447, 0927-5398

Bataa,E. and Osborn,D.R. and Sensier,M. and van Dijk,D.J.C.. 2014. Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation. Oxford Bulletin of Economics and Statistics, 78, 360--388

Ferrara,L. and van Dijk,D.J.C.. 2014. Forecasting the business cycle. International Journal of Forecasting, 30, 517--519

Opschoor,A. and van der Wel,M. and van Dijk,D.J.C. and Taylor,N.. 2014. Order Flow and Volatility: An Empirical Investigation. Journal of Empirical Finance, 28, 185--201

Scholtus,M.L. and van Dijk,D.J.C. and Frijns,B.. 2014. Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements. Journal of Banking and Finance, 38, 89--105

Bataa,E. and Osborn,D.R. and Sensier,M. and van Dijk,D.J.C.. 2013. Structural breaks in the international dynamics of inflation. Review of Economics and Statistics, 95, 646--659

Bannouh,K. and Martens,M.P.E. and van Dijk,D.J.C.. 2013. Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. The North American Journal of Economics and Finance, 26, 535--551

Cakmakli,C. and Paap,R. and van Dijk,D.J.C.. 2013. Measuring and predicting heterogeneous recessions. Journal of Economic Dynamics and Control, 37, 2195--2216

Exterkate,P. and van Dijk,D.J.C. and Heij,C. and Groenen,P.J.F.. 2013. Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model. Journal of Forecasting, 32, 193--214

Fidrmuc,J. and Palandri,A. and Roosenboom,P.G.J. and van Dijk,D.J.C.. 2013. When do managers seek private equity backing in public-to-private transactions?. Review of Finance, 17, 1099--1139

Schauten,M.B.J. and van Dijk,D.J.C. and van der Waal,J.P.. 2013. Corporate Governance and the Value of Excess Cash Holdings of Large European Firms. European Financial Management, 19, 991--1016

van den Hauwe,S. and Paap,R. and van Dijk,D.J.C.. 2013. Bayesian forecasting of federal funds target rate decisions. Journal of Macroeconomics, 37, 19--40

Basturk,N. and Paap,R. and van Dijk,D.J.C.. 2012. Structural differences in economic growth: An endogenous clustering approach. Applied Economics, 44, 119--134

de Zwart,G.J. and Frieser,B.I. and van Dijk,D.J.C.. 2012. Private equity recommitment strategies for institutional investors. Financial Analysts Journal, 68, 81--99

Santos,A.A.P. and Nogales,F.J. and Ruiz,Esther and van Dijk,D.J.C.. 2012. Optimal portfolios with minimum capital requirements. Journal of Banking and Finance, 36, 1928--1942

Diks,C. and Panchenko,V. and van Dijk,D.J.C.. 2011. Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails. Journal of Econometrics, 163, 215--230

Heij,C. and van Dijk,D.J.C. and Groenen,P.J.F.. 2011. Real-time macroeconomic forecasting with leading indicators: An empirical comparison. International Journal of Forecasting, 27, 466--481

van Dijk,A. and Franses,P.H.B.F. and Paap,R. and van Dijk,D.J.C.. 2011. Modeling Regional House Prices. Applied Economics, 43, 2097--2110

H.P. Boswijk and P.H. Franses and van Dijk, D.. 2010. Cointegration in a historical perspective. Journal of Econometrics, 158, 156--159, 0304-4076

C. Diks and V. Panchenko and van Dijk, D.. 2010. Out-of-sample comparison of copula specifications in multivariate density forecasts. Journal of Economic Dynamics \& Control, 34, 1596--1609, 0165-1889

Chulia-Soler,H. and Martens,M.P.E. and van Dijk,D.J.C.. 2010. Asymmetric effects of federal funds target rate changes on S\&P100 stock returns, volatilities and correlations. Journal of Banking and Finance, 34, 834--839

Lord,R. and Koekkoek,R. and van Dijk,D.J.C.. 2010. A Comparison of Biased Simulation Schemes for Stochastic Volatility Models. Quantitative Finance, 10, 177--194

Paap,R. and Segers,R. and van Dijk,D.J.C.. 2009. Do leading indicators lead peaks more than troughs?. Journal of Business and Economic Statistics, 27, 528--543

Bannouh,K. and van Dijk,D.J.C. and Martens,M.P.E.. 2009. Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7, 341--372

Clements,M.P. and Milas,C. and van Dijk,D.J.C.. 2009. Forecasting returns and risk in financial markets using linear and nonlinear models. International Journal of Forecasting, 25, 215--217

de Zwart,G.J. and Markwat,T.D. and Swinkels,L.A.P. and van Dijk,D.J.C.. 2009. The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance, 28, 581--604

Markwat,T.D. and Kole,H.J.W.G. and van Dijk,D.J.C.. 2009. Contagion as a domino effect in global stock markets. Journal of Banking and Finance, 33, 1996--2012

Martens,M.P.E. and van Dijk,D.J.C. and de Pooter,M.D.. 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, 282--303

Musso,A. and Stracca,L. and van Dijk,D.J.C.. 2009. Instability and nonlinearity in the euro area Phillips curve. International Journal of Central Banking, 5, 181--212

de Pooter,M.D. and Martens,M.P.E. and van Dijk,D.J.C.. 2008. Predicting the Daily Covariance Matrix for S\&P 100 Stocks Using Intraday Data. Econometric Reviews, 27, 199--229

Heij,C. and van Dijk,D.J.C. and Groenen,P.J.F.. 2008. Macroeconomic forecasting with matched principal components. International Journal of Forecasting, 24, 87--100

Giordani,P. and Kohn,R. and van Dijk,D.J.C.. 2007. A unified approach to nonlinearity, structural change, and outliers. Journal of Econometrics, 137, 112--133

Martens,M.P.E. and van Dijk,D.J.C.. 2007. Measuring volatility with the realized range.. Journal of Econometrics, 138, 181--207

Swanson,N.R. and van Dijk,D.J.C.. 2006. Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry.. Journal of Business and Economic Statistics, 24, 24--42

Fok,D. and van Dijk,D.J.C. and Franses,P.H.B.F.. 2005. A multi-level panel STAR model for US manufacturing sectors. Journal of Applied Econometrics, 20, 811--827

van Dijk,D.J.C. and van Dijk,H.K. and Franses,P.H.B.F.. 2005. On the dynamics of business cycle analysis; Editors' introduction. Journal of Applied Econometrics, 20, 147--150

Fok,D. and van Dijk,D.J.C. and Franses,P.H.B.F.. 2005. Forecasting aggregate using panels of nonlinear time series. International Journal of Forecasting, 21, 785--794

Franses,P.H.B.F. and van Dijk,D.J.C.. 2005. The forecasting performance of various models for seasonality and non-linearity for quarterly industrial production. International Journal of Forecasting, 21, 87--102

Paap,R. and Franses,P.H.B.F. and van Dijk,D.J.C.. 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, 553--570

Terasvirta,T. and van Dijk,D.J.C. and Medeiros,M.. 2005. A Reply to Comments on: 'Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination'. International Journal of Forecasting, 21, 781--783

Terasvirta,T. and van Dijk,D.J.C. and Medeiros,M.. 2005. Linear models, smooth transition autoregression, and neural networks for forecasting macroeconomic time series: A re-examination. International Journal of Forecasting, 21, 755--783

van der Hart,J. and de Zwart,G. and van Dijk,D.J.C.. 2005. The succes of stock selection strategies in emerging markets: is it risk or behavioral bias?. Emerging Markets Review, 6, 238--262

van Dijk,D.J.C. and Osborn,D.R. and Sensier,M.. 2005. Testing for causality in variance in the presence of breaks. Economics Letters, 89, 193--199

Sensier,M. and van Dijk,D.J.C.. 2004. Testing for volatility changes in U.S. macroeconomic time series. Review of Economics and Statistics, 86, 833--839

Lundbergh,S. and Teräsvirta,T. and van Dijk,D.J.C.. 2003. Time-varying smooth transition autoregressive models. Journal of Business and Economic Statistics, 21, 104--121

Clements,M.P. and Franses,P.H.B.F. and Smith,J. and van Dijk,D.J.C.. 2003. On SETAR non-linearity and forecasting. Journal of Forecasting, 22, 359--376

van der Hart,J. and Slagter,E. and van Dijk,D.J.C.. 2003. Stock selection strategies in emerging markets. Journal of Empirical Finance, 10, 105--132

van Dijk,D.J.C. and 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, 727--744

van Dijk,D.J.C. and Strikholm,B. and 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, 79--98

van Dijk,D.J.C. and Franses,P.H.B.F. and Paap,R.. 2002. A nonlinear long memory model, with an application to US unemployment. Journal of Econometrics, 110, 135--165

Taylor,A.M.R. and van Dijk,D.J.C.. 2002. Can tests for stochastic unit roots provide useful portmanteau tests for persistence?. Oxford Bulletin of Economics and Statistics, 64, 381--397

van Dijk,D.J.C. and Teräsvirta,T. and Franses,P.H.B.F.. 2002. Smooth transition autoregressive models. Econometric Reviews, 21, 1--47

Rothman,P. and van Dijk,D.J.C. and Franses,P.H.B.F.. 2001. Multivariate star analysis of money-output relationship. Macroeconomic Dynamics, 5, 506--532

N. Taylor and van Dijk, D. and P.H. Franses and A. Lucas. 2000. SETS, arbitrage activity and stock price dynamics. Journal of Banking and Finance, 24, 1289--1306, 0378-4266

van Dijk, D. and P.H. Franses and A. Lucas. 1999. Testing for smooth transition nonlinearity in the presence of outliers. Journal of Business and Economic Statistics, 17, 217--235, 0735-0015

van Dijk, D. and P.H. Franses and A. Lucas. 1999. Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics, 14, 539--562, 0883-7252

van Dijk,D.J.C. and Franses,P.H.B.F.. 1999. Modeling multiple regimes in the business cycle. Macroeconomic Dynamics, 3, 311--340

van Dijk,D.J.C. and Franses,P.H.B.F.. 1996. Forecasting stock market volatility using (nonlinear) GARCH models. Journal of Forecasting, 15, 229--235

H.P. Boswijk and P.H. Franses and van Dijk, D.. 2010. Twenty years of cointegration. Journal of Econometrics, 158, 1--2, 0304-4076