prof.dr. DJC (Dick) van Dijk

Biography

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 ��ֱ�� in 1999.

Erasmus School of Economics

Full professor | Econometrics

Email: djvandijk@ese.eur.nl

Work

Bart Keijsers & Dick van Dijk (2025) - - International Journal of Forecasting, 41 (2), 748-762 - doi: -
Bram van Os & Dick van Dijk (2024) - - International Journal of Forecasting, 40 (1), 313-323 - doi: -
Erik Kole & Dick van Dijk (2023) - - Journal of Econometrics, 236 (2) - doi: -
Sander Barendse, Erik Kole & Dick van Dijk (2023) - - Journal of Financial Econometrics, 21 (2), 528-568 - doi: -
C (Cem) Cakmakli, Richard Paap & Dick van Dijk (2022) - - Central Bank Review, 22 (4), 129-140 - doi:
Erik Kole & Dick van Dijk (2021) - - doi:
Anne Opschoor, André Lucas, István Barra & Dick van Dijk (2021) - - Journal of Business and Economic Statistics, 39 (4), 1066-1079 - doi: -
Philip Hans Franses & Dick van Dijk (2019) - - Journal of Forecasting, 38 (5), 415-421 - doi: -
Dick van Dijk & Philip Hans Franses (2019) - -
P Janus, A (André) Lucas, A (Anne) Opschoor & Dick van Dijk (2018) - - Journal of Business and Economic Statistics, 36 (4), 643-657 - doi: -

Richard Paap & Dick van Dijk (28 December 2022) - New Data from Koc University Illuminate Research in Economics (Modeling and estimation of synchronization in size-sorted portfolio returns)

Dick Dijk (2007) - Journal of Applied Econometrics (Journal) (Editor)
Activity: Editorial work › Academic
Dick Dijk (2004) - International Journal of Forecasting (Journal) (Editor)
Activity: Editorial work › Academic
Dick Dijk (2001) - Applied Economics (Journal) (Editor)
Activity: Editorial work › Academic

International Journal of Forecasting

Start date approval: January 2024
End date approval: January 2027
Place: AMSTERDAM
Description: Editor

Milan Lovric
Behavioral Finance and Agent-Based Artificial Markets
- Member Doctoral Committee
- 2005 - 2011
Melissa Porras Prado
The Long and Short Side of Real Estate, Real Estate Stocks, and Equity
- Member Doctoral Committee
- 2006 - 2012
Haikun Ning
Hierarchical Portfolio Management: Theory and Applications
- Member Doctoral Committee
- 2003 - 2007
Karim Bannouh
Measuring and Forecasting Financial Market Volatility using High-Frequency Data
- Promotor
- 2006 - 2013
Thijs Markwat
Extreme Dependence in Asset Markets Around the Globe
- Promotor
- 2006 - 2011
Karen Watkins Fassler
Macroeconomic Crisis and Firm Performance
- Promotor
- 2007 - 2007
Bert de Groot
Essays on Economic Cycles
- Member Doctoral Committee
- 2002 - 2006
Gerben de Zwart
Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets
- Promotor
- 2004 - 2008
Martijn van den Assem
Deal or No Deal? Decision Making under Risk in a Large-Stake TV Game Show and Related Experiments
- Member Doctoral Committee
- 2004 - 2008
Marc Schauten
Valuation, Capital Structure Decisions and the Cost of Capital
- Promotor
- 2004 - 2008
Liesbeth Noordegraaf
Contested Communication: A Critical Analysis of Central Bank Speech
- Promotor
- 2006 - 2010
Justinas Brazys
Aggregated macroeconomic news and price discovery
- Member Doctoral Committee
- 2011 - 2015
David Blitz
Benchmarking Benchmarks
- Member Doctoral Committee
- 2007 - 2011
Darya Yuferova
Price Discovery, Liquidity Provision, and Low-Latency Trading
- Member Doctoral Committee
- 2011 - 2016
Mariska Douwens-Zonneveld
Animal Spirits and Extreme Confidence: No Guts, No Glory?
- Member Doctoral Committee
- 2008 - 2012
Roy Verbeek
Essays on Empirical Asset Pricing
- Member Doctoral Committee
- 2013 - 2017
Johan Duyvesteyn
Empirical studies on sovereign fixed income markets
- Member Doctoral Committee
- 2011 - 2015
Bram van Os
'Time Varying Risk and Dependence Structure of Financial Securities'.
- Promotor
- 2018
Sebastiaan Vermeulen
bridging time series econometrics and machine learning
- Promotor
- 2017
Xun Gong
forecasting implied volatility surface
- Promotor
- 2016
Sander Barendse
Estimation and Evaluation of Financial Risk’
- Promotor
- 2013

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