Dick J. C. van Dijk

Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

P.O. Box 1738

3000 DR Rotterdam

Netherlands

ERIM

P.O. Box 1738

3000 DR Rotterdam

Netherlands

http://people.few.eur.nl/djvandijk

  • ERIM

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    • Tel: +31 10 408 1263
    • Fax: +31 10 4089162
SCHOLARLY PAPERS

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Scholarly Papers (68)

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1.

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Tinbergen Institute Discussion Paper No. 06-046/4
Number of pages: 30 Posted: 19 May 2006 Last Revised: 20 Mar 2008
Roger Lord, Remmert Koekkoek and Dick J. C. van Dijk
Cardano Risk Management, Credit Suisse and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 2,397 (10,170)
Citation 68

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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour

2.

How to Identify and Forecast Bull and Bear Markets?

Paris December 2010 Finance Meeting EUROFIDAI - AFFI, ERIM Report Series Reference No. ERS-2013-016-F&A
Number of pages: 77 Posted: 22 Oct 2010
Erik Kole and Dick J. C. van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,833 (15,646)
Citation 8

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forecast evaluation, regime switching, stock market, economic comparison

3.

High-Frequency Technical Trading: The Importance of Speed

Tinbergen Institute Discussion Paper 12-018/4
Number of pages: 63 Posted: 02 Mar 2012
Martin L. Scholtus and Dick J. C. van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,364 (24,548)
Citation 5

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technical trading, high-frequency trading, latency costs, trading speed, market activity

4.

The Success of Stock Selection Strategies in Emerging Markets: Is it Risk or Behavioral Bias?

ERIM Report Series Reference No. ERS-2005-012-F&A
Number of pages: 35 Posted: 20 Sep 2005
Jaap van der Hart, Dick J. C. van Dijk and Gerben J. de Zwart
ROBECO Group - Emerging Markets Team, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and APG Asset Management
Downloads 1,180 (30,402)
Citation 6

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value, momentum, earnings revisions, risk, behavioral models, overreaction, underreaction

5.

The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

ERIM Report Series Reference No. ERS-2007-096-F&A, EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 29 Jan 2008 Last Revised: 19 Oct 2010
Thijs D. Markwat, Dick J. C. van Dijk, Laurens Swinkels and Gerben J. de Zwart
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) and APG Asset Management
Downloads 1,146 (31,752)
Citation 2

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emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents

6.

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Tinbergen Institute Discussion Paper No. 04-067/4
Number of pages: 43 Posted: 24 Jun 2004
Martin Martens, Michiel De Pooter and Dick J. C. van Dijk
Robeco Asset Management, Amazon Web Services, Inc. and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,061 (35,354)
Citation 33

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Realized volatility, high-frequency data, long memory, day-of-the-week effect, leverage effect, volatility forecasting, smooth transition

7.

When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?

Downloads 988 (39,088)
Citation 6

When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?

WBS Finance Group Research Paper No. 75
Number of pages: 33 Posted: 04 Mar 2007 Last Revised: 23 Dec 2019
Jana P. Fidrmuc, Peter Roosenboom and Dick J. C. van Dijk
Warwick Business School - Finance Group, Rotterdam School of Management, Erasmus University and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 415 (117,815)
Citation 5

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Going Private Transactions, Corporate Governance, Private Equity

When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?

Review of Finance, Forthcoming, EFA 2008 Athens Meetings Paper, WBS Finance Group Research Paper No. 93
Number of pages: 49 Posted: 17 Mar 2008 Last Revised: 23 Dec 2019
Jana P. Fidrmuc, Alessandro Palandri, Peter Roosenboom and Dick J. C. van Dijk
Warwick Business School - Finance Group, University of Florence - Department of Statistics, Computer Science, Applications, Rotterdam School of Management, Erasmus University and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 316 (159,697)
Citation 1

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Public-to-Private Transactions, Private Equity, Corporate Governance

When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?

ERIM Report Series Reference No. ERS-2007-028-F&A
Number of pages: 43 Posted: 20 May 2007 Last Revised: 24 Jul 2013
Jana P. Fidrmuc, Peter Roosenboom and Dick J. C. van Dijk
Warwick Business School - Finance Group, Rotterdam School of Management, Erasmus University and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 257 (197,894)

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corporate governance, private equity, public-to-private transactions

8.

Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility

Tinbergen Institute Discussion Paper 2010-115/4
Number of pages: 63 Posted: 25 Nov 2010
Cem Cakmakli and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 985 (39,266)
Citation 7

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return predictability, model uncertainty, dynamic factor models, variable selection

9.

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

Number of pages: 52 Posted: 04 Mar 2007 Last Revised: 04 May 2010
Michiel De Pooter, Francesco Ravazzolo and Dick J. C. van Dijk
Amazon Web Services, Inc., Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 936 (42,229)
Citation 10

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Term structure of interest rates, Nelson-Siegel model, Affine term structure model, forecast combination, Bayesian analysis

10.

Common Factors in Commodity Futures Curves

Number of pages: 67 Posted: 01 Feb 2015 Last Revised: 13 Dec 2017
Dennis Karstanje, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 808 (51,652)
Citation 4

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Commodity futures prices, comovement, term structure, dynamic Nelson Siegel model

11.

A Recommitment Strategy for Long Term Private Equity Fund Investors

ERIM Report Series Reference No. ERS-2007-097-F&A
Number of pages: 46 Posted: 29 Jan 2008
Brian I. Frieser, Dick J. C. van Dijk and Gerben J. de Zwart
ROBECO Group - Robeco Alternative Investments - Private Equity, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and APG Asset Management
Downloads 737 (58,483)

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private equity funds, recommitment strategy, strategic asset allocation, overcommitment

12.

Corporate Governance and the Value of Excess Cash Holdings of Large European Firms

ERIM Report Series Reference No. ERS-2008-027-F&A
Number of pages: 40 Posted: 04 Jun 2008
Marc Schauten, Dick J. C. van Dijk and Jan-Paul van der Waal
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR)
Downloads 607 (74,999)

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corporate governance, excess cash, take-over defences

13.

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Tinbergen Institute Discussion Paper No. 05-089/4
Number of pages: 29 Posted: 02 Nov 2005
Michiel De Pooter, Martin Martens and Dick J. C. van Dijk
Amazon Web Services, Inc., Robeco Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 548 (85,212)
Citation 19

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realized volatility, high-frequency data, volatility timing, mean-variance analysis, tracking error

14.

Corporate Governance and the Cost of Debt of Large European Firms

ERIM Report Series Reference No. ERS-2010-025-F&A
Number of pages: 49 Posted: 07 Jun 2010
Marc Schauten and Dick J. C. van Dijk
Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 518 (91,613)

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corporate governance, disclosure, cost of debt, shareholder rights, agency costs, information risk, interaction effect

15.

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

ERIM Report Series Reference No. ERS-2007-066-F&A
Number of pages: 50 Posted: 27 Nov 2007
Helena Chuliá, Dick J. C. van Dijk and Martin Martens
University of Barcelona - Faculty of Economic Science and Business Studies, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Robeco Asset Management
Downloads 507 (93,837)
Citation 3

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realized volatility, monetary policy announcements, high-frequency data, interest rate surprises

16.

Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements

Tinbergen Institute Discussion Paper No. 12-121/III
Number of pages: 70 Posted: 14 Nov 2012
Martin L. Scholtus, Dick J. C. van Dijk and Bart Frijns
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Open University of the Netherlands - School of Management
Downloads 472 (102,300)
Citation 24

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macroeconomic news, high frequency trading, latency costs, market activity, event-based trading

17.

Dynamic Factor Models for the Volatility Surface

Advances in Econometrics, 35, 2016
Number of pages: 51 Posted: 01 Feb 2015 Last Revised: 17 Dec 2016
Michel van der Wel, Sait Ozturk and Dick J. C. van Dijk
Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 390 (127,751)

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Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Maximum likelihood

18.

Getting the Most out of Macroeconomic Information for Predicting Stock Returns

Number of pages: 43 Posted: 13 Apr 2016
Cem Cakmakli and Dick J. C. van Dijk
Koc University - Department of Economics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 368 (136,428)

Abstract:

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return predictability, model uncertainty, dynamic factor models, variable selection

19.

Intraday Price Discovery in Fragmented Markets

Journal of Financial Markets, Forthcoming, Tinbergen Institute Discussion Paper TI 14-027/III
Number of pages: 49 Posted: 27 Feb 2014 Last Revised: 17 Dec 2016
Sait Ozturk, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 350 (144,134)
Citation 1

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High-frequency data, Market microstructure, Price Discovery, Kalman filter

20.

The Inefficient Use of Macroeconomic Information in Analysts' Earnings Forecasts in Emerging Markets

ERIM Report Series Reference No. ERS-2008-007-F&A
Number of pages: 49 Posted: 09 Apr 2008
Gerben J. de Zwart and Dick J. C. van Dijk
APG Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 349 (144,571)

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analysts' earnings forecasts, emerging markets, macroeconomic forecasts, forecast accuracy

21.

Forecasting Interest Rates with Shifting Endpoints

Journal of Applied Econometrics, 29, p693-712, Tinbergen Institute Discussion Paper 12-076/4
Number of pages: 78 Posted: 27 Jul 2012 Last Revised: 05 Aug 2014
Dick J. C. van Dijk, Siem Jan Koopman, Michel van der Wel and Jonathan H. Wright
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Erasmus University Rotterdam and Johns Hopkins University - Department of Economics
Downloads 348 (145,043)
Citation 10

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Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve

22.

Term Structure Forecasting Using Macro Factors and Forecast Combination

FRB International Finance Discussion Paper No. 993, Norges Bank Working Paper 2010/01
Number of pages: 54 Posted: 07 Apr 2010
Michiel De Pooter, Francesco Ravazzolo and Dick J. C. van Dijk
Amazon Web Services, Inc., Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 347 (145,500)
Citation 13

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Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set

23.

Order Flow and Volatility: An Empirical Investigation

Journal of Empirical Finance, Vol. 28, 2014, Tinbergen Institute Discussion Paper No. 2011-077/4
Number of pages: 40 Posted: 23 May 2011 Last Revised: 16 Dec 2016
Anne Opschoor, Nicholas Taylor, Michel van der Wel and Dick J. C. van Dijk
Vrije Universiteit Amsterdam, University of Bristol Business School, Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 338 (149,624)
Citation 6

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Information, order flow, macroeconomic announcements, treasury futures

24.

Bayesian Model Averaging in the Presence of Structural Breaks

Number of pages: 43 Posted: 01 Apr 2007
Francesco Ravazzolo, Dick J. C. van Dijk and Philip Hans Franses
Free University of Bozen-Bolzano - Faculty of Economics and Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 338 (149,624)
Citation 11

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Stock return predictability, model uncertainty, Bayesian model averaging, structural breaks, portfolio selection

25.

Optimal Portfolios with Minimum Capital Requirements

Journal of Banking and Finance, Vol. 36, No. 7, 2012
Number of pages: 55 Posted: 04 May 2010 Last Revised: 17 Jul 2012
Andre A. P. Santos, Francisco J. Nogales, Esther Ruiz and Dick J. C. van Dijk
CUNEF Universidad, Universidad Carlos III de Madrid - Department of Statistics, Charles III University of Madrid - Department of Statistics and Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 316 (160,736)

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Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation

26.

Time Variation in Asset Return Dependence: Strength or Structure?

22nd Australasian Finance and Banking Conference 2009, ERIM Report Series Reference No. ERS-2009-052-F&A
Number of pages: 64 Posted: 25 Aug 2009 Last Revised: 25 Nov 2013
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 315 (161,291)
Citation 9

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Dependence, Stock markets, Copulas, International correlations

27.

Predicting Volatility and Correlations with Financial Conditions Indexes

Journal of Empirical Finance, Vol. 29, 2014, Tinbergen Institute Discussion Paper 13-113/III
Number of pages: 26 Posted: 10 Aug 2013 Last Revised: 17 Dec 2016
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 305 (166,848)
Citation 1

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Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies

28.

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

ERIM Report Series Reference No. ERS-2012-017-F&A
Number of pages: 45 Posted: 24 Oct 2012
Karim Bannouh, Martin Martens, Roel C. A. Oomen and Dick J. C. van Dijk
NN Investment Partners, Robeco Asset Management, Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 293 (174,041)

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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading

29.

Combining Density Forecasts using Focused Scoring Rules

Tinbergen Institute Discussion Paper 14-090/III
Number of pages: 35 Posted: 22 Jul 2014 Last Revised: 14 Jan 2017
Anne Opschoor, Dick J. C. van Dijk and Michel van der Wel
Vrije Universiteit Amsterdam, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Downloads 290 (175,949)
Citation 5

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Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk

30.

Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

Tinbergen Institute Discussion Paper 13-068/III
Number of pages: 35 Posted: 18 May 2013
Eran Raviv, Kees E. Bouwman and Dick J. C. van Dijk
APG Asset Management, Cardano Risk Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 273 (187,141)
Citation 11

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Electricity market, Forecasting, Hourly prices, Dimension reduction, Shrinkage, Forecast combinations

31.

Instability and Nonlinearity in the Euro Area Phillips Curve

ECB Working Paper No. 811
Number of pages: 40 Posted: 26 Sep 2007
Alberto Musso, Livio Stracca and Dick J. C. van Dijk
European Central Bank (ECB), European Central Bank (ECB) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 249 (205,115)
Citation 4

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Inflation, output gap, structural change, asymmetry, smooth transition model

32.

Semi-Parametric Modelling of Correlation Dynamics

Econometric Institute Report No. EI 2005-26
Number of pages: 47 Posted: 27 Sep 2005
Christian Hafner, Dick J. C. van Dijk and Philip Hans Franses
Catholic University of Louvain (UCL) - School of Statistics, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 247 (206,698)
Citation 4

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Multivariate GARCH, dynamic conditional correlation, kernel regression, minimum variance portfolio, tracking error minimization

33.

Contagion as Domino Effect in Global Stock Markets

ERIM Report Series Reference No. ERS-2008-071-F&A
Number of pages: 50 Posted: 21 Nov 2008
Thijs D. Markwat, Erik Kole and Dick J. C. van Dijk
Robeco Asset Management, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 234 (217,863)
Citation 10

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contagion, stock market crises, interdependence

34.

Forecasting Value-at-Risk Under Temporal and Portfolio Aggregation

Tinbergen Institute Discussion Paper 15-140/III
Number of pages: 91 Posted: 06 Jan 2016 Last Revised: 25 Apr 2017
Erik Kole, Thijs D. Markwat, Anne Opschoor and Dick J. C. van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Robeco Asset Management, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 233 (218,800)
Citation 5

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forecast evaluation, aggregation, Value-at-Risk, model comparison

35.

Market Set-Up in Advance of Federal Reserve Policy Rate Decisions

Economic Journal, 126, 2016
Number of pages: 56 Posted: 17 Dec 2013 Last Revised: 17 Dec 2016
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 232 (219,710)

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FOMC, announcements, federal funds rate, anticipatory signals

36.

Nonlinear Forecasting with Many Predictors Using Kernel Ridge Regression

Tinbergen Institute Discussion Paper 11-007/4
Number of pages: 32 Posted: 12 Jan 2011
Peter Exterkate, Patrick J. F. Groenen, Christiaan Heij and Dick J. C. van Dijk
University of Sydney - School of Economics, Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 208 (243,436)
Citation 5

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High dimensionality, nonlinear forecasting, ridge regression, kernel methods

37.

Forecasting the Yield Curve in a Data-Rich Environment Using the Factor-Augmented Nelson-Siegel Model

Number of pages: 40 Posted: 22 Mar 2010
Peter Exterkate, Dick J. C. van Dijk, Christiaan Heij and Patrick J. F. Groenen
University of Sydney - School of Economics, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR)
Downloads 195 (258,110)
Citation 7

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yield curve prediction, Nelson-Siegel model, factor extraction, variable selection

38.

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Journal of Economic Dynamics and Control, Vol. 34, No. 9, 2010, UNSW Australian School of Business Research Paper No. 2008 ECON 23, Tinbergen Institute Discussion Paper No. 08-105/4
Number of pages: 27 Posted: 04 Nov 2008 Last Revised: 20 Jun 2011
Cees G. H. Diks, Valentyn Panchenko and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), UNSW Business School, Economics, University of New South Wales and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 184 (271,936)
Citation 4

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Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula

39.

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Tinbergen Institute Discussion Paper 11-023/4
Number of pages: 49 Posted: 10 Feb 2011
Sjoerd van den Hauwe, Richard Paap and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 179 (278,525)

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Structural breaks, Bayesian analysis, forecasting, MCMC methods, nonlinear time series

40.

An Arithmetic Modeling Framework for the Term Structure of Electricity Prices

Number of pages: 41 Posted: 14 Jul 2011 Last Revised: 14 May 2012
Kees E. Bouwman, Eran Raviv and Dick J. C. van Dijk
Cardano Risk Management, APG Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 176 (282,760)

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Electricity market, Forwards and futures, Factor models, Affine processes

41.

Moments, Shocks and Spillovers in Markov-switching VAR Models

Tinbergen Institute Discussion Paper 2021-080/III
Number of pages: 67 Posted: 20 Sep 2021 Last Revised: 18 Jan 2023
Erik Kole and Dick J. C. van Dijk
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 162 (303,407)

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Markov-switching VAR, moments, impulse response analysis, bull and bear markets

42.

Robust Observation-Driven Models Using Proximal-Parameter Updates

Number of pages: 40 Posted: 29 Sep 2022 Last Revised: 21 Dec 2022
Rutger‐Jan Lange, Bram van Os and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 155 (314,956)

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Implicit gradient, Proximal point method, Robust filters, Score-driven methods, Time-varying parameter models

43.

Modeling and Estimation of Synchronization in Multistate Markov-Switching Models

Number of pages: 43 Posted: 09 Jan 2011 Last Revised: 16 Jan 2011
Cem Cakmakli, Richard Paap and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 154 (316,717)
Citation 14

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imperfect synchronization, phase shifts, regime-switching models, Bayesian analysis

44.

Evaluating Real-Time Forecasts in Real-Time

Number of pages: 25 Posted: 11 Sep 2007
Francesco Ravazzolo, Philip Hans Franses and Dick J. C. van Dijk
Free University of Bozen-Bolzano - Faculty of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 145 (332,646)

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Data revision, forecast evaluation, parameter uncertainty, Bayesian estimation, structural breaks

45.

Structural Differences in Economic Growth

Tinbergen Institute Discussion Paper No. 2008-085/4
Number of pages: 40 Posted: 19 Sep 2008
Nalan Basturk, Richard Paap and Dick J. C. van Dijk
Maastricht University - Department of Quantitative Economics, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 144 (334,396)
Citation 3

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Economic growth, parameter heterogeneities, latent class models, panel time series

46.

A Unified Approach to Nonlinearity, Structural Change, and Outliers

Econometric Institute Report EI 2005-09
Number of pages: 37 Posted: 24 Jan 2006
Paolo Giordani, Robert Kohn and Dick J. C. van Dijk
Norwegian Business School, University of New South Wales - School of Economics and School of Banking and Finance and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 143 (336,272)
Citation 4

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State-space models, Markov-switching models, Threshold models, Bayesian inference, Business cycle asymmetry

47.

The Euro Introduction and Non-Euro Currencies

Tinbergen Institute Discussion Paper No. TI 2005-044/4
Number of pages: 35 Posted: 20 May 2005
Haris Munandar, Christian Hafner and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Economics, Catholic University of Louvain (UCL) - School of Statistics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 142 (338,198)
Citation 4

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Exchange rates, multivariate GARCH, dynamic conditional correlation, structural breaks

48.

Macroeconomic Crisis and Individual Performance: The Mexican Experience

Tinbergen Institute Working Paper No. TI 04-057/2
Number of pages: 42 Posted: 03 Jun 2004
Karen Watkins, J. Spronk and Dick J. C. van Dijk
UPAEP, Erasmus Research Institute of Management (ERIM) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 142 (338,198)

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Financial crisis, firm-level data

49.

Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading

ERIM Report Series Reference No. ERS-2012-018-F&A
Number of pages: 27 Posted: 26 Oct 2012
Karim Bannouh, Martin Martens and Dick J. C. van Dijk
NN Investment Partners, Robeco Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 124 (375,073)
Citation 9

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forecasting, high frequency data, market microstructure noise, realized range, two time scales, realized variance

50.

Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models

Number of pages: 48 Posted: 17 Apr 2023
Daan Opschoor and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 116 (393,784)

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dynamic factor models, EM algorithm, artificial noise, convergence speed, nowcasting

51.

Why Do the Pit Hours Outlive the Pit?

Tinbergen Institute Discussion Paper 15-082/III
Number of pages: 49 Posted: 07 Jul 2015 Last Revised: 21 May 2016
Sait Ozturk, Michel van der Wel and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR), Erasmus University Rotterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 113 (401,421)
Citation 2

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Afterhours Trading, Market microstructure, Kalman filter

52.

Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Tinbergen Institute Discussion Paper 13-061/III
Number of pages: 40 Posted: 23 Apr 2013
Cees G. H. Diks, V. Panchenko, Oleg Sokolinskiy and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance, Board of Governors of the Federal Reserve System and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 112 (404,043)
Citation 3

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Copula-based density forecast, Kullback-Leibler Information Criterion, out-of-sample forecast evaluation

53.

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error

Tinbergen Institute Discussion Paper 2019-058/III
Number of pages: 75 Posted: 22 Aug 2019 Last Revised: 11 Mar 2021
Sander Barendse, Erik Kole and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 84 (489,209)
Citation 1

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expected shortfall, backtesting, risk management, tail risk, Value-at-Risk

54.

Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings

Tinbergen Institute Discussion Paper 2019-013/IV
Number of pages: 61 Posted: 05 Nov 2019
Anne Opschoor, Andre Lucas, Istvan Barra and Dick J. C. van Dijk
Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, VU University Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 74 (526,611)
Citation 2

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factor copulas, factor structure, score-driven dynamics, multivariate density forecast

55.

Measuring and Predicting Heterogeneous Recessions

Tinbergen Institute Discussion Paper No. 2011-154/4
Number of pages: 59 Posted: 03 Nov 2011
Cem Cakmakli, Cem Cakmakli, Richard Paap and Dick J. C. van Dijk
Department of Economicsaffiliation not provided to SSRN, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 71 (538,874)

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Business cycle, phase shifts, regime-switching models, Bayesian analysis

56.

Heterogeneity in Manufacturing Growth Risk

Tinbergen Institute Discussion Paper 2021-036/III
Number of pages: 73 Posted: 07 May 2021 Last Revised: 27 Oct 2021
Daan Opschoor, Dick J. C. van Dijk and Philip Hans Franses
Erasmus University Rotterdam (EUR) - Department of Econometrics, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 69 (547,235)

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downside risk, business cycle, quantile regression, manufacturing, financial conditions

57.

Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model

Tinbergen Institute Discussion Paper 2020-057/VI
Number of pages: 45 Posted: 04 Nov 2020 Last Revised: 15 Dec 2020
Bram van Os and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 56 (607,496)

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Business cycles, generalized autoregressive score models, time-varying transition probabilities, turning points

58.

Pooling Dynamic Conditional Correlation Models

Tinbergen Institute Discussion Paper 2021-083/IV
Number of pages: 45 Posted: 28 Sep 2021
Bram van Os and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 50 (639,427)

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Dynamic conditional correlation; Equicorrelation; Mixture model; Composite likelihood; Nonlinear shrinkage

59.

Are Statistical Reporting Agencies Getting it Right? Data Rationality and Business Cycle Asymmetry

Journal of Business and Economic Statistics, Vol. 24, pp. 24-42, 2006
Number of pages: 38 Posted: 16 Jul 2013
Norman R. Swanson, Norman R. Swanson and Dick J. C. van Dijk
Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 41 (693,097)

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efficiency, real-time data set, unbiasedness, non-linearity, structural change

60.

Does Economic Uncertainty Predict Real Activity in Real-time?

Tinbergen Institute Discussion Paper TI 2022-069/III
Number of pages: 67 Posted: 03 Oct 2022 Last Revised: 02 Mar 2023
Bart Keijsers and Dick J. C. van Dijk
University of Amsterdam - Amsterdam School of Economics (ASE) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 36 (726,789)

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Economic uncertainty, real-time forecasting, quantile forecasting, factor analysis

61.

Market Set-Up in Advance of Federal Reserve Policy Decisions

NBER Working Paper No. w19814
Number of pages: 49 Posted: 18 Jan 2014 Last Revised: 20 Feb 2023
Dick J. C. van Dijk, Robin L. Lumsdaine and Michel van der Wel
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, American University - Department of Finance and Real Estate and Erasmus University Rotterdam
Downloads 28 (786,693)

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62.

Forecasting with Many Predictors: Allowing for Non-Linearity

Posted: 16 Feb 2015
Eran Raviv and Dick J. C. van Dijk
APG Asset Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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Variable selection; Multiple testing; False discovery rate; Data-rich environment.

63.

Private Equity Recommitment Strategies for Institutional Investors

Financial Analysts Journal, Vol. 68, No. 3, 2012
Posted: 26 May 2012
Gerben J. de Zwart, Brian I. Frieser and Dick J. C. van Dijk
APG Asset Management, ROBECO Group - Robeco Alternative Investments - Private Equity and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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Alternative Investments, Private Equity, Portfolio Management, Alternative Investment Portfolio Management Strategies, Private Equity, Private Equity Capital Portfolios, Management of Institutional Investor Portfolios

64.

Bayesian Forecasting of Federal Funds Target Rate Decisions

Tinbergen Institute Discussion Paper No. 11-093/4
Posted: 15 Jul 2011
Sjoerd van den Hauwe, Dick J. C. van Dijk and Richard Paap
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics

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federal funds target rate, real-time forecasting, dynamic ordered probit, variable selection, Bayesian analysis, importance sampling

65.

Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range

Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 341-372, 2009
Posted: 09 Oct 2009
Karim Bannouh, Dick J. C. van Dijk and Martin Martens
NN Investment Partners, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam

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bias-correction, high-frequency data, market microstructure noise, realized co-range, realized covariance

66.

Testing for Smooth Transition Nonlinearity in the Presence of Outliers

A1.89 WP 9622/A
Posted: 14 Jan 1998
Philip Hans Franses, Andre Lucas and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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67.

Testing for Arch in the Presence of Additive Outliers

Posted: 22 Jul 1997
Philip Hans Franses, Andre Lucas and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics, Vrije Universiteit Amsterdam and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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68.

Do We Often Find Arch Because of Neglected Outliers?

Posted: 08 May 1997
Philip Hans Franses and Dick J. C. van Dijk
Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute

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