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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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 nbab008.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Moments, Shocks and Spillovers in Markov-switching VAR Models
Kole, E. & van Dijk, D., 6 Jun 2023, (Accepted/In press) In: Journal of Econometrics. 67 p.Research output: Contribution to journal › Article › Academic › peer-review
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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 -
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Opschoor, A., Lucas, A., Barra, I. & van Dijk, D., 2021, In: Journal of Business and Economic Statistics. 39, 4, p. 1066-1079 14 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access4 Citations (Scopus) -
Combining expert-adjusted forecasts
van Dijk, D. & Franses, P. H., 2019, Econometric Institute Reprint EI-1680 ed. Rotterdam. 7 p. (Econometric Institute Reprint, Vol. EI-1680).Research output: Book/Report/Inaugural speech/Farewell speech › Report › Academic
Open AccessFile11 Downloads (Pure)
Activities
- 3 Editorial work
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Journal of Applied Econometrics (Journal)
Dick Dijk (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)
Dick Dijk (Editor)
1 Jul 2004 → 31 Oct 2012Activity: Publication peer-review and editorial work › Editorial work › Academic
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Applied Economics (Journal)
Dick Dijk (Editor)
1 Sept 2001 → …Activity: Publication peer-review and editorial work › Editorial work › Academic