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Dick van Dijk

Research Fellow
University
Erasmus University Rotterdam
E-mail
djvandijk@ese.eur.nl
Research field
Econometrics
Interests
Finance, Financial Econometrics, Macroeconometrics, Risk Management, Time Series Econometrics
Website
Link to personal website

Key publications

List of publications

Barendse, S., Kole, E. and van Dijk, D. (2023). Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error Journal of Financial Econometrics, 21(2):528--568.

Kole, E. and van Dijk, D. (2023). Moments, shocks and spillovers in Markov-switching VAR models Journal of Econometrics, 236(2):.

Opschoor, A., Lucas, A., Barra, I. and van Dijk, D. (2021). Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings Journal of Business and Economic Statistics, 39(4):1066--1079.

Franses, P.H. and van Dijk, D. (2019). Combining expert-adjusted forecasts Journal of Forecasting, 38(5):415--421.

Opschoor, A., Janus, P., Lucas, A. and Van Dijk, D. (2018). New HEAVY Models for Fat-Tailed Realized Covariances and Returns Journal of Business and Economic Statistics, 36(4):643--657.

Kole, E., Markwat, T., Opschoor, A. and Van Dijk, D. (2017). Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* Journal of Financial Econometrics, 15(4):649--677.

Kole, E. and van Dijk, D. (2017). How to identify and forecast bull and bear markets? Journal of Applied Econometrics, 32(1):120--139.

Opschoor, A., Van Dijk, D. and van der Wel, M. (2017). Combining density forecasts using focused scoring rules Journal of Applied Econometrics, 32(7):1298--1313.

Ozturk, S., van der Wel, M. and van Dijk, D. (2017). Intraday price discovery in fragmented markets Journal of Financial Markets, 32(1):28--48.

Cakmakli, C.(. and van Dijk, D. (2016). Getting the most out of macroeconomics information for predicting excess stock returns International Journal of Forecasting, 32(1):650--668.

Exterkate, P.(., Groenen, P., Heij, C. and van Dijk, D. (2016). Nonlinear forecasting with many predictors using kernel ridge regression International Journal of Forecasting, 32(3):736--753.

van Dijk, D., Lumsdaine, R. and van der Wel, M. (2016). Market set-up in advance of Federal Reserve policy rate decisions Economic Journal, 126(592):618--653.

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

Bataa, E., Osborn, D., Sensier, M. and van Dijk, D. (2013). Identifying changes in mean, seasonality, persistence and volatility for G7 and euro area inflation Oxford Bulletin of Economics and Statistics, 76(3):360--388.

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

Ferrara, L. and van Dijk, D. (2014). Forecasting the business cycle International Journal of Forecasting, 30(3):517--519.

Opschoor, A., Taylor, N., van der Wel, M. and van Dijk, D. (2014). Order flow and volatility: An empirical investigation Journal of Empirical Finance, 28(September):185--201.

Opschoor, A., van Dijk, D. and van der Wel, M. (2014). Predicting volatility and correlations with Financial Conditions Indexes Journal of Empirical Finance, 29(13-113/III):435--447.

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

Dijk, D.van, Koopman, S., van der Wel, M. and Wright, J. (2014). Forecasting Interest Rates with Shifting Endpoints Journal of Applied Econometrics, 29(5):693--712.

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

Bataa, E., Osborn, D., Sensier, M. and van Dijk, D. (2013). Structural breaks in the international dynamics of inflation Review of Economics and Statistics, 95(2):646--659.

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

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

Fidrmuc, J., Palandri, A., Roosenboom, P. and van Dijk, D. (2013). When do managers seek private equity backing in public-to-private transactions? Review of Finance, 17(3):1099--1139.

Schauten, M., van Dijk, D. and van der Waal, J. (2013). Corporate Governance and the Value of Excess Cash Holdings of Large European Firms European Financial Management, 19(5):991--1016.

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

Basturk, N., Paap, R. and van Dijk, D. (2012). Structural differences in economic growth: An endogenous clustering approach Applied Economics, 44(1):119--134.

de Zwart, G., Frieser, B. and van Dijk, D. (2012). Private equity recommitment strategies for institutional investors Financial Analysts Journal, 68(3):81--99.

Santos, A., Nogales, F., Ruiz, E. and van Dijk, D. (2012). Optimal portfolios with minimum capital requirements Journal of Banking and Finance, 36(7):1928--1942.

Diks, C., Panchenko, V. and van Dijk, D. (2011). Likelihood-Based Scoring Rules for Comparing Density Forecast in Tails Journal of Econometrics, 163(2):215--230.

Heij, C., van Dijk, D. and Groenen, P. (2011). Real-time macroeconomic forecasting with leading indicators: An empirical comparison International Journal of Forecasting, 27(2):466--481.

van Dijk, A., Franses, P.H., Paap, R. and van Dijk, D. (2011). Modeling Regional House Prices Applied Economics, 43(17):2097--2110.

Dijk, D., Munandar, M. and Hafner, C.(. (2011). The euro introduction and non-euro currencies Applied Economics, 21(1-2):95--116.

Boswijk, H., Franses, P.H. and van Dijk, D. (2010). Cointegration in a historical perspective Journal of Econometrics, 158(1):156--159.

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

Chulia-Soler, H., Martens, M. and van Dijk, D. (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.

Diks, C., Panchenko, V. and van Dijk, D. (2010). Out-of-sample comparison of copula specifications in multivariate density forecasts Journal of Economic Dynamics and Control, 34(9):1596--1609.

Lord, R., Koekkoek, R. and van Dijk, D. (2010). A Comparison of Biased Simulation Schemes for Stochastic Volatility Models Quantitative Finance, 10(2):177--194.

Bannouh, K.(., van Dijk, D. and Martens, M. (2009). Range-based covariance estimation using high-frequency data: the realized co-range Journal of Financial Econometrics, 7(4):341--372.

Clements, M.(., Milas, C. and van Dijk, D. (2009). Forecasting returns and risk in financial markets using linear and nonlinear models International Journal of Forecasting, 25(2):215--217.

de Zwart, G., Markwat, T.(., Swinkels, L. and van Dijk, D. (2009). The economic value of fundamental and technical information in emerging currency markets Journal of International Money and Finance, 28(4):581--604.

Markwat, T.(., Kole, E. and van Dijk, D. (2009). Contagion as a domino effect in global stock markets Journal of Banking and Finance, 33(11):1996--2012.

Martens, M., van Dijk, D. and de Pooter, M. (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.

Musso, A., Stracca, L. and van Dijk, D. (2009). Instability and nonlinearity in the euro area Phillips curve International Journal of Central Banking, 5(2):181--212.

Paap, R., Segers, R. and van Dijk, D. (2009). Do leading indicators lead peaks more than troughs? Journal of Business and Economic Statistics, 27(4):528--543.

Heij, C., van Dijk, D. and Groenen, P. (2008). Macroeconomic forecasting with matched principal components International Journal of Forecasting, 24(1):87--100.

de Pooter, M., Martens, M. and van Dijk, D. (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. and van Dijk, D. (2007). A unified approach to nonlinearity, structural change, and outliers Journal of Econometrics, 137(1):112--133.

Martens, M. and van Dijk, D. (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1):181--207.

Swanson, N. and van Dijk, D. (2006). Are statistical reporting agencies getting it right? Data rationality and business cycle asymmetry. Journal of Business and Economic Statistics, 24(1):24--42.

van Dijk, D. (2006). Book review International Journal of Forecasting, 22:407--408.

Franses, P.H. and Dijk, D. (2006). A simple test for PPP among traded goods Applied Economics, 16(1/2):19--27.

Fok, D., van Dijk, D. and Franses, P.H. (2005). A multi-level panel STAR model for US manufacturing sectors Journal of Applied Econometrics, 20(6):811--827.

Fok, D., van Dijk, D. and Franses, P.H. (2005). Forecasting aggregate using panels of nonlinear time series International Journal of Forecasting, 21(4):785--794.

Franses, P.H. and van Dijk, D. (2005). The forecasting performance of various models for seasonality and non-linearity for quarterly industrial production International Journal of Forecasting, 21(2):87--102.

Paap, R., Franses, P.H. and van Dijk, D. (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., van Dijk, D. 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' - Reply International Journal of Forecasting, 21(4):781--783.

Terasvirta, T., van Dijk, D. 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(4):755--783.

Hart, J., de Zwart, G. and van Dijk, D. (2005). The succes of stock selection strategies in emerging markets: is it risk or behavioral bias? Emerging Markets Review, 6(3):238--262.

van Dijk, D., van Dijk, H. and Franses, P.H. (2005). On the dynamics of business cycle analysis; Editors' introduction Journal of Applied Econometrics, 20(2):147--150.

van Dijk, D., Osborn, D. and Sensier, M. (2005). Testing for causality in variance in the presence of breaks Economics Letters, 89(2):193--199.

Sensier, M. and van Dijk, D. (2004). Testing for volatility changes in U.S. macroeconomic time series Review of Economics and Statistics, 86(3):833--839.

Franses, P.H., Dijk, D. and Lucas, A.(. (2004). Short patches of outliers, ARCH and volatility modelling Applied Economics, 14(4):221--231.

Clements, M.(., Franses, P.H., Smith, J. and van Dijk, D. (2003). On SETAR non-linearity and forecasting Journal of Forecasting, 22(5):359--376.

Lundbergh, S., Teräsvirta, T. and van Dijk, D. (2003). Time-varying smooth transition autoregressive models Journal of Business and Economic Statistics, 21(1):104--121.

Hart, J., Slagter, E. and van Dijk, D. (2003). Stock selection strategies in emerging markets Journal of Empirical Finance, 10(1-2):105--132.

van Dijk, D. and Franses, P.H. (2003). Selecting a nonlinear time series model using weighted tests of equal forecast accuracy Oxford Bulletin of Economics and Statistics, 65(Supplement):727--744.

van Dijk, D., 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(1):79--98.

Taylor, A. and van Dijk, D. (2002). Can tests for stochastic unit roots provide useful portmanteau tests for persistence? Oxford Bulletin of Economics and Statistics, 64(4):381--397.

van Dijk, D., Franses, P.H. and Paap, R. (2002). A nonlinear long memory model, with an application to US unemployment Journal of Econometrics, 110(2):135--165.

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

van Dijk, D., Teräsvirta, T. and Franses, P.H. (2002). Smooth transition autoregressive models - a survey of recent developments Econometric Reviews, 21(1):1--47.

Rothman, P., van Dijk, D. and Franses, P.H. (2001). Multivariate star analysis of money-output relationship Macroeconomic Dynamics, 5:506--532.

Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.

van Dijk, D. and Franses, P.H. (1999). Modeling multiple regimes in the business cycle Macroeconomic Dynamics, 3:311--340.

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

van Dijk, D., Franses, P. and Lucas, A. (1999). Testing for smooth transition nonlinearity in the presence of outliers Journal of Business and Economic Statistics, 17(2):217--235.

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