Research output per year
Research output per year
Personal profile
Research interests
Dick van Dijk (PhD Tinbergen Institute, 1999) is a professor of financial econometrics at the Econometric Institute, Erasmus School of Economics (ESE). His research interests include volatility modelling and forecasting, high-frequency data, risk management, asset return predictability, business cycle analysis, factor models, and non-linear time series analysis. He 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 the American Statistical Association, Journal of Business and Economic Statistics, Journal of Econometrics, Review of Economics and Statistics, and Review of Finance. He is currently editor of the International Journal of Forecasting.
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Collaborations and top research areas from the last five years
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Implicit score-driven filters for time-varying parameter models
Lange, R. J., van Os, B. & van Dijk, D., May 2026, In: Journal of Econometrics. 255, 106251.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Dynamic Conditional Correlations with Partial Information Pooling
van Os, B. & van Dijk, D., 2026, In: Journal of Business and Economic Statistics. 44, 1, p. 309-320 12 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile9 Downloads (Pure) -
Localizing Strictly Proper Scoring Rules
de Punder, R. F. A., Diks, C. G. H., Laeven, R. J. A. & van Dijk, D. J. C., 2026, In: Journal of the American Statistical Association. 121, 554, p. 1447-1459 13 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Slow Expectation–Maximization Convergence in Low-Noise Dynamic Factor Models
Opschoor, D. & van Dijk, D., 1 Nov 2025, In: Journal of Applied Econometrics. 40, 7, p. 829-845 17 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile10 Downloads (Pure) -
Does economic uncertainty predict real activity in real time?
Keijsers, B. & van Dijk, D., Apr 2025, In: International Journal of Forecasting. 41, 2, p. 748-762 15 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile5 Downloads (Pure)
Datasets
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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
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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
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