Research output per year
Research output per year
Personal profile
Research interests
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.
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Collaborations and top research areas from the last five years
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Does economic uncertainty predict real activity in real time?
Keijsers, B. & van Dijk, D., Apr 2025, In: International Journal of Forecasting. 41, 2, p. 748-762Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Accelerating peak dating in a dynamic factor Markov-switching model
van Os, B. & van Dijk, D., Jan 2024, In: International Journal of Forecasting. 40, 1, p. 313-323 11 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile1 Citation (Scopus)1 Downloads (Pure) -
Moments, shocks and spillovers in Markov-switching VAR models
Kole, E. & van Dijk, D., Oct 2023, In: Journal of Econometrics. 236, 2, 26 p., 105474.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile3 Citations (Scopus)7 Downloads (Pure) -
Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Barendse, S., Kole, E. & van Dijk, D., 2023, In: Journal of Financial Econometrics. 21, 2, p. 528-568 41 p., nbab008.Research output: Contribution to journal › Article › Academic › peer-review
Open Access7 Citations (Scopus) -
Modeling and estimation of synchronization in size-sorted portfolio returns
Cakmakli, C., Paap, R. & van Dijk, D., Dec 2022, In: Central Bank Review. 22, 4, p. 129-140 12 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access
Datasets
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Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Opschoor, A. (Creator), Lucas, A. (Creator), Barra, I. (Creator) & van Dijk, D. (Contributor), 2020
DOI: 10.6084/m9.figshare.12240584.v3, https://tandf.figshare.com/articles/Closed-Form_Multi-Factor_Copula_Models_with_Observation-Driven_Dynamic_Factor_Loadings/12240584/3
Dataset
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Replication data for: Structural Breaks in the International Dynamics of Inflation
Bataa, E. (Creator), Sensier, M. (Creator), Van Dijk, D. (Creator) & Osborn, D. (Creator), 2013
DOI: 10.7910/dvn/lkgpvk, https://dataverse.harvard.edu/citation?persistentId=doi:10.7910/DVN/LKGPVK
Dataset
Activities
- 3 Editorial work
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Journal of Applied Econometrics (Journal)
Dijk, D. (Editor)
1 Jan 2007 → 31 Dec 2016Activity: Publication peer-review and editorial work › Editorial work › Academic
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International Journal of Forecasting (Journal)
Dijk, D. (Editor)
1 Jul 2004 → 31 Oct 2012Activity: Publication peer-review and editorial work › Editorial work › Academic
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Applied Economics (Journal)
Dijk, D. (Editor)
1 Sept 2001 → …Activity: Publication peer-review and editorial work › Editorial work › Academic
Press/Media
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New Data from Koc University Illuminate Research in Economics (Modeling and estimation of synchronization in size-sorted portfolio returns)
28/12/22
1 item of Media coverage
Press/Media: Public engagement activities › Academic